Financial Calculus
an introduction to derivative pricing
$172.74
- Hardcover
244 pages
- Release Date
19 September 1996
Summary
Mastering Derivatives: A Calculus Approach
Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practitioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the…
Book Details
| ISBN-13: | 9780521552899 |
|---|---|
| ISBN-10: | 0521552893 |
| Author: | Martin Baxter |
| Publisher: | Cambridge University Press |
| Imprint: | Cambridge University Press |
| Format: | Hardcover |
| Number of Pages: | 244 |
| Edition: | 17th |
| Release Date: | 19 September 1996 |
| Weight: | 576g |
| Dimensions: | 18mm x 164mm x 239mm |
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What They're Saying
Critics Review
“This is an excellent book for anyone who want an intuitive understanding of the use of stochastic calculus in financial engineering.” riskbook.com
’… 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 Mathematique
About The Author
Martin Baxter
Christof Paar holds the Chair for Communication Security at the Ruhr-University Bochum, Germany, and is director of the Horst Görtz Institute for IT Security. Before coming to Bochum, he was with WPI’s ECE Department, USA, for seven years. He is co-founder of CHES (Cryptographic Hardware and Embedded Systems), the international leading workshop series for embedded security. He has over 70 peer-reviewed publications and patents in the area of applied security. Dr. Paar has lectured intensively in academia and industry, including courses at NASA, Motorola Research and Philips Research.
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