Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Stats, Xing, Summer 7. Reference. 1. Martin Baxter & Andrew Rennie ( ). Financial Calculus: An introduction to derivative pricing. Financial Calculus has 50 ratings and 3 reviews. Taylor said: This is the most intuitive and Martin Baxter,. Andrew Rennie. · Rating details · 50 ratings · 3 .
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And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. Trivia About Financial Calculus. And, retrospectively, Baxtwr probably should have.
Financial Calculus by Martin Baxter
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. Federico rated it really liked it Jun 16, More interestingly, chapter six extends the basic model: Chan-Ho rated it really liked it Apr tennie, There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery.
I could have replaced several of my grad school classes with a self-directed course of study using this book. Duncan rated it really liked it Nov 30, Alexander rated it liked it Mar 19, Jan 31, Neal Groothuis rated it it was amazing. This book is not yet featured on Listopia. No trivia or quizzes yet. Financial Calculus by Martin Baxter. Misha rated it really liked it Jan 29, Piotr rated it it was amazing Jun 13, Refresh and try again. Kitlo rated it it was ok Jan 20, Hans-peter rated it it was amazing Aug 08, The models presented in Financial Calculus are abstractions, and obviously any real-world application would need to address a whole range of issues not considered: Jack Gidding rated it it was ok Apr 12, While this is true for a simple binomial model, in continuous time filtrations have a much more subtle nature — this is where a suitable background in measure theory comes in handy.
The only evidence provided is a comparison of two small bqxter vaguely similar graphs, one of the UK FTA index from to and the other generated using exponential Brownian motion. financia,
Martin Baxter + Andrew Rennie
Want to Read Currently Reading Read. This book will be especially useful to people with a background in economic theory who are having trouble making the financlal link between risk aversion, subjective-expected utility theory and pricing via equivalent martingale measures. This is a very nice, reasonably concise little monograph.
Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality.
And chapter five, which I only glanced over, builds progressively more complex models for interest rates. Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus.
Other readers are likely to be less interested in the various elaborations and want more philosophical and ans background. Some of this calculuz clever constructions, but it doesn’t add that much to the core theory.
The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value. Emmanuel rated it it was amazing Apr 15, Want to Read saving…. This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Preview — Financial Calculus by Martin Baxter. Julius Zhang rated it it was amazing Jul 25, The real value of this book lies in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: One concern I have is with the assumption of Brownian price movements, for which Baxter and Rennie offer no more than tennie support — but where, given the number of times they wave their hands, they clearly realise there is a problem.
Suzy rated it it was ok Sep 03, May External links: Robert Patterson rated it it was amazing Mar 18, Minhao Gu rated it it was amazing Mar 09, 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 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”.
In contrast to messier models involving explicit simulations or numerical methods, it’s not so clear here how to evaluate the sensitivity of the results to uncertainties or to changes in the assumptions. Thanks for telling us about the problem. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered.
Jan rated it liked it Dec 30, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas. While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing. Sep 05, Austin rated it liked it Shelves: Beginning with the discrete case, chapter two introduces a simple binomial renhie model. Gleb rated it it was amazing Mar calcu,us,