Financial calculus. An introduction to derivative pricing. Martin Baxter. Nomura International London. Andrew Rennie. Head ofDebt Analytics, Merrill Lynch. Stats, Xing, Summer 7. Reference. 1. Martin Baxter & Andrew Rennie ( ). Financial Calculus: An introduction to derivative pricing. Financial Calculus has 50 ratings and 3 reviews. Taylor said: This is the most intuitive and Martin Baxter,. Andrew Rennie. · Rating details · 50 ratings · 3 .

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Sep 05, Austin rated it liked it Shelves: Misha rated it really liked it Jan 29, Anthony P Badali rated it really liked it Jul 04, 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.

Financial Calculus by Martin Baxter

Alexander rated it liked it Mar 19, 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 range of different financial instruments. Hardcoverpages.

The Radon-Nikodym derivative, the Cameron-Martin-Girsanov theorem, and the martingale representation theorem allow a similar construction to that of chapter two, coming together in the Black-Scholes theorem. Simon Thornington rated it it was amazing Sep 07, This is concise without bater terse, clear, and comprehensive. Piotr rated it it was amazing Jun 13, If most real-world markets are not Brownian, as Mandelbrot and others have argued, that doesn’t undermine any of the mathematics in Cxlculus Calculus but does make its utility entirely unclear.


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. 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. Jack Gidding rated it it was ok Apr 12, Other readers are likely to be less interested in the various elaborations and want more philosophical and empirical background.

Financial Calculus (Martin Baxter, Andrew Rennie) – review

Honestly, while I didn’t love this book, it should still be considered a must-read simply because of the paucity of better offerings. And chapter five, which I only glanced over, builds progressively more complex models for interest rates. Lists with This Book. Books by Martin Baxter.

Financial Calculus

Paradoxically, I also worry about the very elegance and rigour of the results in Financial Calculus. Trivia About Financial Calculus.

Mijrelax rated it it was amazing Jan 26, Gleb rated it it was amazing Financkal 23, A full Glossary of probabilistic and financial terms is The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. Chapter one explains the limitations of expectation pricing, introducing instead the use caculus “no arbitrage” constructions to derive prices.


Federico rated it really liked it Jun 16, Ricardo rated it it was amazing Oct 10, While this is true for a simple binomial model, in continuous time filtrations have a much more caculus nature — this is where a suitable background in measure theory comes in handy. Beginning with the discrete case, chapter two introduces a simple binomial tree model.

Radha rated it it was amazing Apr 05, Unfortunately, this isn’t self-contained, and readers will need to consult other sources to get a full rigorous introduction to the topics of measure theory, martingale theory, and rigorous probability theory.

While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing. Some of this involves clever constructions, but it doesn’t add that much to the core theory. Suzy rated it it was ok Sep 03, Julius Zhang rated it it was amazing Jul 25, It is clearly presented, with a systematic build up of the necessary results, and with extensions separated from the core ideas.

Trinh Quoc Anh rated it liked it Nov 07, Chapter four applies and extends this to other kinds of securities: More interestingly, chapter six extends the basic model: Robert Patterson rated it it was amazing Mar 18,