Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Financial Calculus. The website of Financial Calculus: an introduction to derivative pricing. This book has been written by Martin Baxter and Andrew Rennie, and. Financial Calculus is a presentation of the mathematics behind derivative pricing, building up to the Black-Scholes theorem and then extending the theory to a.

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Baxetr Thornington rated it it was amazing Sep 07, Refresh and try again. 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 wave their hands, they clearly realise there is a problem.

Some of this involves clever constructions, but it doesn’t add that much to the core theory. Goodreads helps you keep track of books you want to read. Chapter one explains the limitations of expectation pricing, introducing finabcial the use of “no arbitrage” constructions to derive prices.

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Financial Calculus

Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. Robert Patterson rated it it was amazing Mar 18, Misha rated it really liked it Jan 29, Julius Zhang rated it it was amazing Jul 25, Want to Read saving…. And a reluctance to lose the beauty of the analytic formalism may make it harder to face up to empirical ugliness. 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.


No trivia or quizzes yet. Chapter four applies and extends this to other kinds of securities: Federico rated it really liked it Jun 16, Hardcoverpages.

Trinh Quoc Anh rated it liked it Nov 07, Gleb rated it it was amazing Mar 23, Beginning with the discrete case, chapter two introduces a simple binomial tree model. 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. There are no discussion topics on this book yet.

Duncan rated it really liked it Nov 30, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated financiap the core ideas. To see what your friends thought of this book, please sign up.

Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background.

Alexander rated it liked it Mar 19, The approach is based around martingales, or processes whose expected future value, given the past history, is the same as the current value.

Return to Book Page. This is a very nice, reasonably concise little monograph.

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. Want to Read Currently Reading Read.


Martin Baxter + Andrew Rennie

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. Kitlo rated it it was ok Jan 20, Jack Gidding rated it it was ok Apr 12, A full Renniie of probabilistic cqlculus financial terms is provided along with graphical illustrations with realistic data.

Books by Martin Baxter. Ricardo rated it it was amazing Oct 10, Keelhaul rated it really liked it Jan 02, While this is true for a simple binomial model, in continuous time filtrations have a much more subtle nature — this is where a suitable background in measure theory comes in handy. Chapter three extends this to the continuous realm, using basic stochastic calculus, Ito’s cqlculus and stochastic differential equations.

Financial Calculus (Martin Baxter, Andrew Rennie) – review

Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus. Just a moment while we sign you in to your Goodreads account. Thanks for telling us about the problem. Renhie 10, Taylor rated it it was amazing.

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