Martin Baxter (University of Cambridge), Andrew Rennie (Union Bank of Switzerland)

Financial Calculus

• Gebundenes Buch

Produktbeschreibung

Here is a rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities. An essential purchase for market practitioners, quantitative analysts, and derivatives traders, whether existing or trainees, in investment banks in the major financial centres throughout the world.

Produktdetails

• Verlag: Cambridge University Press
• 1996
• Seitenzahl: 244
• Erscheinungstermin: 11. Juni 2015
• Englisch
• Abmessung: 235mm x 157mm x 19mm
• Gewicht: 565g
• ISBN-13: 9780521552899
• ISBN-10: 0521552893
• Artikelnr.: 09680327

Inhaltsangabe

The parable of the bookmaker; 1. Introduction; 2. Discrete processes; 3. Continuous processes; 4. Pricing market securities; 5. Interest rates; 6. Bigger models; Appendix 1. Further reading; Appendix 2. Notation; Appendix 3. Answers to exercises; Appendix 4. Glossary of technical terms; Index.

Rezensionen

'... a very readable and useful introduction to the pricing of derivatives ... A recommendable book.' Wil Schilders, ITW Nieuws