Financial Calculus : An Introduction to Derivative Pricing
Author: Martin Baxter, Andrew Rennie
List Price: $47.95
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ISBN: 0521552893
Publisher: Cambridge University Press (19 September, 1996)
Sales Rank: 14,786
Average Customer Rating: 4.16 out of 5
Customer Reviews
Rating: 5 out of 5
Substance with Style
Baxter & Rennie are the clear descendents of Silvanus P. Thompson(Calculus Made Easy). A pair of Brits with an engaging style and clear expository prose. They take the reader on a tour of some heavy duty mathematics, without excessive formalism. The basics of arbitrage pricing, binomial branch models, the Ito calculus, and the martingale representation theorem are contained in 100 pages. The second hundred pages are devoted to the construction of models for contemporary financial derivatives in foreign exchange, stock, and fixed income markets. This book is a must read for practitioners of, and students in financial engineering.
Rating: 5 out of 5
Best Introduction to Stochastic Calculus in Finance.PERIOD.
Having been a student of this subject for a short 18 months now, and having looked at many books on the same subject, this is by far THE BEST. What this book does is simple. It lays the groundwork for pricing derivative securities using stochastic calculus. It helps build the intuition behind the stochastics. Then, from this intuition and foundation, you are equipped to read more advanced treatments of the subject. This is not a book on solving partial differential equations, nor is it supposed to be. If you are looking for a book on solving and creating financial PDE's, then buy Wilmott's books. Rather, this book uses discounted expectations under the risk neutral measure to price securities. What does that mean? Well, all I can say is "READ THE BOOK".
The first three chapters of this book are so fundamental and necessary to building a firm and solid intuition that I have read them over three or four times now. The reason I have read it so many times is because it is so well written and new things pop out at you every time. It really is a delight to read.
Moreover, the section on fixed income models is extremely well written as well.
I can't stress enough how great this text is.
You should buy it even if you already know the material.
Rating: 5 out of 5
Best Introduction to Quantitative Finance--Ever
This book is amazing. It's probably the best place to start if you want to learn quant finance. If you have a solid grasp of probability and calculus, you'll have little trouble following the text. You won't even need to know any measure theory.The authors' expanations of even the toughest concepts (eg, Girsanov's Theorem and the Martingale Representation Theorem) are very clear and easy to understand. And their proofs and derivations of financial concepts give the reader a lot of valuable intuition. As I said, this book is a great place to start. After reading it, working through more advanced math books (like Oksendal) and more advanced finance books (like Duffie) is a lot easier.
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