Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a.

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Ben rated it really liked it Jul 16, Anthony P Badali rated it really liked it Jul 04, One concern I have is with the assumption of Brownian price movements, for which Baxter and Rennie offer no more than hand-waving support — but where, given the number of times they wave their hands, they clearly realise there is a problem. Books by Martin Baxter. Ricardo rated it it was amazing Oct 10, Beginning with the discrete case, chapter two introduces a simple binomial tree model.

There are no discussion topics on this book yet. Return to Book Page. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model.

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And chapter five, which I only glanced over, builds progressively more complex models for interest rates. John rated it really liked it Aug 15, If most real-world markets are not Brownian, as Mandelbrot and others have argued, that doesn’t undermine any of the mathematics in Financial Calculus but does make its utility entirely unclear.

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Financial Calculus by Martin Baxter

For example, in the chapter that introduces the binomial asset pricing model, the authors describe filtrations as being the history of the price process up to a given point in time. Julius Zhang rated it it was amazing Jul 25, While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing.

The Radon-Nikodym derivative, the Cameron-Martin-Girsanov theorem, and the martingale representation theorem allow a similar construction to that of chapter two, coming together in the Black-Scholes theorem. Open Preview See a Problem? Hans-peter rated it it was amazing Aug 08, This covers basic options. Alexander rated it liked it Mar 19, To ask other readers questions about Financial Calculusplease sign up.

Chan-Ho rated it really liked it Apr 09, Financial Calculus by Martin Baxter.

Financial Calculus

Goodreads helps you keep track of books you want to read. Sep 05, Austin rated it liked it Shelves: Trinh Quoc Anh rated it finqncial it Nov 07, Trivia About Financial Calculus. Gleb rated it it was amazing Mar 23, To see what your friends thought of this book, please sign up. The only evidence provided is a comparison of two calculu and vaguely similar graphs, one of the UK FTA index from to and the other generated using exponential Fennie motion.


Jack Gidding rated it it was ok Apr 12, Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. This is concise without being terse, clear, and comprehensive.

Martin Baxter + Andrew Rennie

More interestingly, chapter six extends the basic model: Keelhaul rated it really dinancial it Jan 02, Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a range of different financial instruments. Jan rated it liked it Dec 30, Misha rated it really liked it Jan 29, Some of this involves clever constructions, but it doesn’t add that much to the core theory.

In any event, there’s probably too much detail in Financial Calculus for anyone who isn’t actually planning to work in the finance industry. Robert Patterson rated it it was amazing Mar 18, Duncan rated it really liked it Nov 30, This is a “widely accepted model”, “sophisticated enough to produce interesting models and simple enough to be tractable”, “at least a plausible match to the real world”, and “a respectable stochastic model”.

A full Glossary of probabilistic and financial terms is provided along with graphical illustrations with realistic data.