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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Financial Calculus

Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background. Jack Gidding rated it it was ok Apr 12, 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.

Alexander rated baxfer liked it Mar 19, This book is not yet featured on Listopia. This is a very nice, reasonably concise little monograph.

Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s formula and stochastic differential equations. I could have replaced several of my grad school classes with a self-directed course of study using this book.

Simon Thornington rated it it was amazing Sep 07, This is ane most intuitive and concise introduction to asset pricing via equivalent martingale measures that I’ve yet encountered. Lists with This Book. Ben rated it really liked it Jul 16, Just a moment while we sign you in to your Goodreads account. Preview — Financial Calculus by Martin Baxter.

Feb 10, Taylor rated it it was amazing. Keelhaul rated it really liked it Jan 02, Trivia About Financial Calculus.


Martin Baxter + Andrew Rennie

Want to Read Currently Reading Read. Thanks for telling us about the problem. The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this baxted 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. To ask other readers questions about Financial Calculusplease sign up.

Duncan rated it really liked it Nov 30, Emmanuel rated it it was amazing Apr 15, The real value of this book rennke in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: No trivia or quizzes yet. Unfortunately, this isn’t self-contained, and readers will need to consult other sources to get a full rigorous introduction to the topics of measure qnd, martingale theory, and rigorous probability theory.

It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas.

Financial Calculus by Martin Baxter

The only evidence provided is a comparison of two small and vaguely similar graphs, one of the UK FTA renbie from to and the other generated using exponential Brownian motion.

Now “interesting and tractable” is a fine basis for doing mathematics, but not a strong basis for applying the results to reality. This is concise without being terse, clear, and comprehensive. May External links: To see what your friends thought of this book, please sign up. Julius Finamcial rated it it was amazing Jul 25, 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.


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 pricing via equivalent martingale measures. Chan-Ho rated it really liked it Apr 09, More interestingly, chapter six extends the basic model: Sep 05, Austin rated it liked it Shelves: 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.

Sam Nazari rated it liked it Jan 18, There are no discussion topics on this book yet.

Financial Calculus (Martin Baxter, Andrew Rennie) – review

There are also a few exercises, with solutions, which mostly test understanding of basic concepts and the ability to use the formal machinery. Chapter one explains the limitations of expectation pricing, introducing instead the use of “no arbitrage” constructions to derive prices. 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.

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.