Description

Book Synopsis

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.

Trade Review

'… 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

Table of Contents

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.

Financial Calculus

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    A Hardback by Martin Baxter, Andrew Rennie

    £71.24

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    RRP £74.99 – you save £3.75 (5%)

    Order before 4pm today for delivery by Tue 17 Nov 2026.

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      Book details

      Publisher Cambridge University Press
      Published 19 September 1996
      ISBN-13 9780521552899
      978-0521552899
      ISBN-10 0521552893
      Also in:
      Finance and the finance industry

      Description

      Book Synopsis

      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.

      Trade Review

      '… 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

      Table of Contents

      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.

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