Financial Calculus by Martin Baxter
The rewards and dangers of speculating in the modern financial markets have come to the fore in recent times with the collapse of banks and bankruptcies of public corporations as a direct result of ill-judged investment. At the same time, individuals are paid huge sums to use their mathematical skills to make well-judged investment decisions. Here now is the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. Key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model are described with mathematical precision in a style tailored for market practitioners. Starting from discrete-time hedging on binary trees, continuous-time stock models (including Black-Scholes) are developed. Practicalities are stressed, including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. A full glossary of probabilistic and financial terms is provided. This unique book will be an essential purchase for market practitioners, quantitative analysts, and derivatives traders.
'… a very readable and useful introduction to the pricing of derivatives … A recommendable book' Wil Schilders, ITW Nieuws
'… the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathématique
'… the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.' L'Enseignement Mathématique
Alexander Lipton is a Managing Director and Co-Head of the Global Quantitative Group at Bank of America Merrill Lynch, and Visiting Professor of Mathematics at Imperial College. Prior to his current role, he was Managing Director and Head of Capital Structure Quantitative Research at Citadel
Investment Group in Chicago. He has also worked at Credit Suisse, Deutsche Bank, and Bankers Trust. Previously, he was a Full Professor of Mathematics at the University of Illinois, Chicago, and Consultant at Los Alamos National Laboratory. He received his undergraduate and graduate degrees from
Moscow State University. Professor Lipton is author of two books and editor of three. He has published numerous research papers on hydrodynamics, magnetohydrodynamics, astrophysics, and financial engineering. He has delivered many invited lectures at leading universities and major conferences
worldwide. Andrew Rennie has spent sixteen years in finance, specialising in derivatives pricing and risk management. He has worked at UBS, Rabobank International, and Merrill Lynch, where he managed all quantitative and modelling activity in derivatives across fixed income, credit, foreign exchange,
commodities, and equities globally. He retired from Merrill Lynch in 2009 to advise on pricing and risk issues to governments, regulators, banks, and hedge funds. He graduated with a First in Mathematics from Cambridge University and published papers in Mathematical Chemistry on the properties of
one-dimensional inclusion compounds. He co-authored a textbook on derivative pricing- Financial Calculus- and has also co-edited Credit Correlation - Life after Copulas.
| SKU | Unavailable |
| ISBN 13 | 9780521552899 |
| ISBN 10 | 0521552893 |
| Title | Financial Calculus |
| Author | Martin Baxter |
| Condition | Unavailable |
| Binding Type | Hardback |
| Publisher | Cambridge University Press |
| Year published | 1996-09-19 |
| Number of pages | 244 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |