Articles liés à Financial Calculus: An Introduction to Derivative Pricing

Financial Calculus: An Introduction to Derivative Pricing - Couverture rigide

Baxter, Martin; Rennie, Andrew

 
9780521552899: Financial Calculus: An Introduction to Derivative Pricing
Couverture rigide
ISBN 10 : 0521552893 ISBN 13 : 9780521552899
Editeur : Cambridge University Press, 1996

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Présentation de l'éditeur

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.

Revue de presse

'... 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

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
1996
Langue
anglais
ISBN 10 
0521552893
ISBN 13 
9780521552899
Reliure
Relié
Numéro d'édition
1
Nombre de pages
244
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

chemin des peupliers 27
Dardilly
France