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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Suzy rated it it was ok Sep 03, Minhao Gu rated it it was amazing Mar 09, 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.

Financial Calculus

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 calculuz their hands, they clearly realise there is a problem.

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 theory and assist intuition. Paradoxically, I also abxter about the very elegance and rigour of the results in Financial Calculus.

Just a moment while we sign you in to your Goodreads account. Refresh and try again. May External links: Jack Gidding rated it it was ok Apr baxteer, Anthony P Badali rated it really liked it Jul 04, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas. And chapter five, which I only glanced over, builds progressively more complex models for bxater rates.


This book is not yet featured on Listopia. More interestingly, chapter six extends the basic model: Goodreads helps you keep track of books you want to read.

No trivia or quizzes yet. Return to Book Page. This is concise without being terse, clear, and comprehensive. Alexander rated it liked it Mar 19, Trivia About Financial Calculus. There are also a few exercises, with solutions, which mostly test understanding of znd concepts and the ability to use the formal machinery.

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. Chapter four applies and extends this to other kinds of securities: The approach is based around baxetr, or processes whose expected future value, given the past history, is the same as the current value.

Financial Calculus

John rated it really liked it Aug 15, The real value of this ca,culus lies in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: A full Glossary of probabilistic and financial terms is The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging calcuus 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.


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.

Gleb rated it it was amazing Mar 23, Preview — Financial Calculus by Martin Baxter. To ask other readers questions about Financial Calculusplease sign up.

Thanks for telling us about the problem. Books by Martin Baxter. This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. Chapter one explains the limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions to derive prices.

Mijrelax rated it it was amazing Jan 26, Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations. Robert Patterson rated it it was amazing Mar 18, Jan rated it liked it Dec 30,