Financial Calculus An Introduction to Derivative Pricing 20th Edition by Martin Baxter, Andrew Rennie ISBN 0521552893 978-0521552899
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Product details:
ISBN 10: 0521552893
ISBN 13: 978-0521552899
Author: Martin Baxter, Andrew Rennie
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.
Financial Calculus An Introduction to Derivative Pricing 20th Table of contents:
The parable of the bookmaker
Chapter 1 Introduction
1.1 Expectation pricing
1.2 Arbitrage pricing
1.3 Expectation vs arbitrage
Chapter 2 Discrete processes
2.1 The binomial branch model
2.2 The binomial tree model
2.3 Binomial representation theorem
2.4 Overture to continuous models
Chapter 3 Continuous processes
3.1 Continuous processes
3.2 Stochastic calculus
3.3 Itô calculus
3.4 Change of measure – the C-M-G theorem
3.5 Martingale representation theorem
3.6 Construction strategies
3.7 Black–Scholes model
3.8 Black–Scholes in action
Chapter 4 Pricing market securities
4.1 Foreign exchange
4.2 Equities and dividends
4.3 Bonds
4.4 Market price of risk
4.5 Quantos
Chapter 5 Interest rates
5.1 The interest rate market
5.2 A simple model
5.3 Single-factor HJM
5.4 Short-rate models
5.5 Multi-factor HJM
5.6 Interest rate products
5.7 Multi-factor models
Chapter 6 Bigger models
6.1 General stock model
6.2 Log-normal models
6.3 Multiple stock models
6.4 Numeraires
6.5 Foreign currency interest-rate models
6.6 Arbitrage-free complete models
Appendices
A1 Further reading
A2 Notation
A3 Answers to exercises
A4 Glossary of technical terms
Index
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Tags: Martin Baxter, Andrew Rennie, Financial Calculus, Derivative Pricing