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  3. Financial Calculus
  • Cited by 306
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    • Publisher:
      Cambridge University Press
      Publication date:
      05 February 2014
      19 September 1996
      ISBN:
      9780511806636
      9780521552899
      DOI:
      https://doi.org/10.1017/CBO9780511806636
      Dimensions:
      (228 x 152 mm)
      Weight & Pages:
      0.565kg, 244 Pages
      Dimensions:
      Weight & Pages:
      • Subjects:
      Economics, Mathematics, Mathematical Finance, Finance and Accountancy
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    Subjects:
    Economics, Mathematics, Mathematical Finance, Finance and Accountancy
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    Book description

    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.

    Reviews

    ‘… a very readable and useful introduction to the pricing of derivatives … A recommendable book.’

    Wil Schilders Source: ITW Nieuws

    ‘… the first rigorous and accessible account of the mathematics behind the pricing, construction and hedging of derivative securities.’

    Source: L’Enseignement Mathématique

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