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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The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value. Some of this involves clever constructions, but it doesn’t add calclus much to the core theory. And, retrospectively, I probably should have.
The only evidence provided is a comparison of two small and vaguely similar graphs, one of the UK FTA index from baxterr and the other generated using exponential Brownian motion. Federico rated it really liked it Jun 16, Return to Book Page. Jack Gidding rated it it was ok Apr 12, Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus.
Without a proper background to these topics, certain intuitive statements made in this book can be misleading. Lists with This Book. Ricardo rated it it was amazing Oct 10, 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.
Mijrelax rated it it was amazing Jan 26, Julius Zhang rated it it was amazing Jul 25, Gleb rated it it was amazing Mar 23, Kitlo rated it it was ok Jan 20, Anthony P Badali rated it really liked it Jul 04, May Financkal links: 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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Martin Baxter + Andrew Rennie
Emmanuel rated it it was amazing Apr 15, Robert Patterson rated it it was amazing Mar 18, Books by Martin Baxter. Ben rated it really liked it Jul 16, To see what your friends thought of this book, please sign up.
More interestingly, chapter six extends the basic model: 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 financiall in time. Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality.
One strength of Financial Calculus is that, while it is rigorous and the approach is quite abstract — it assumes familiarity with calculus and a general competence with formal mathematics — concrete worked examples are used to anchor the calclus and assist intuition. Piotr rated it it was amazing Jun 13, And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. Minhao Gu rated it it was amazing Mar 09, Suzy rated it it was ok Sep 03, Thanks for telling us about the problem.
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-expected utility theory and baxyer via equivalent martingale measures. Hans-peter rated it it was amazing Aug 08, Feb 10, Taylor rated it it was amazing. Duncan rated it really liked it Nov 30, There are also a few exercises, with tinancial, which mostly test understanding of basic concepts and the ability to use the formal machinery.
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Financial Calculus by Martin Baxter
Hardcoverpages. Chapter one explains the limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions renjie derive prices. Preview — Financial Calculus by Martin Baxter.
Chan-Ho rated it really liked it Apr 09,