Financial calculus: an introduction to derivative pricing
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 skil...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
1996
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| Schlagworte: | |
| Online-Zugang: | BSB01 FHN01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 05 Oct 2015) |
| Beschreibung: | 1 online resource (ix, 233 pages) |
| ISBN: | 9780511806636 |
| DOI: | 10.1017/CBO9780511806636 |
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Datensatz im Suchindex
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|---|---|
| any_adam_object | |
| author | Baxter, Martin 1968- |
| author_facet | Baxter, Martin 1968- |
| author_role | aut |
| author_sort | Baxter, Martin 1968- |
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| building | Verbundindex |
| bvnumber | BV043942760 |
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| dewey-full | 332.63/221 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/221 |
| dewey-search | 332.63/221 |
| dewey-sort | 3332.63 3221 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/CBO9780511806636 |
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| indexdate | 2024-07-10T07:39:18Z |
| institution | BVB |
| isbn | 9780511806636 |
| language | English |
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| spelling | Baxter, Martin 1968- Verfasser aut Financial calculus an introduction to derivative pricing Martin Baxter, Andrew Rennie Cambridge Cambridge University Press 1996 1 online resource (ix, 233 pages) txt rdacontent c rdamedia cr rdacarrier Title from publisher's bibliographic system (viewed on 05 Oct 2015) 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 Mathematik Derivative securities / Prices / Mathematics Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s Derivat Wertpapier (DE-588)4381572-8 s 1\p DE-604 Optionspreistheorie (DE-588)4135346-8 s 2\p DE-604 Rennie, Andrew 1968- Sonstige oth Erscheint auch als Druckausgabe 978-0-521-55289-9 Erscheint auch als Druckausgabe 978-0-521-55766-5 https://doi.org/10.1017/CBO9780511806636 Verlag URL des Erstveröffentlichers Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Baxter, Martin 1968- Financial calculus an introduction to derivative pricing Mathematik Derivative securities / Prices / Mathematics Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4381572-8 (DE-588)4135346-8 |
| title | Financial calculus an introduction to derivative pricing |
| title_auth | Financial calculus an introduction to derivative pricing |
| title_exact_search | Financial calculus an introduction to derivative pricing |
| title_full | Financial calculus an introduction to derivative pricing Martin Baxter, Andrew Rennie |
| title_fullStr | Financial calculus an introduction to derivative pricing Martin Baxter, Andrew Rennie |
| title_full_unstemmed | Financial calculus an introduction to derivative pricing Martin Baxter, Andrew Rennie |
| title_short | Financial calculus |
| title_sort | financial calculus an introduction to derivative pricing |
| title_sub | an introduction to derivative pricing |
| topic | Mathematik Derivative securities / Prices / Mathematics Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Optionspreistheorie (DE-588)4135346-8 gnd |
| topic_facet | Mathematik Derivative securities / Prices / Mathematics Finanzmathematik Derivat Wertpapier Optionspreistheorie |
| url | https://doi.org/10.1017/CBO9780511806636 |
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