Financial Calculus : An Introduction to Derivative Pricing
Average customer rating: 4 out of 5 stars
  • Stochastic Calculus
  • One of the best written books on the foundational mathematics, weaker on implementation and applied techniques
  • understanding finance
  • A Necessary Book for (aspiring) Financial Engineers
  • A gem of a book
Financial Calculus : An Introduction to Derivative Pricing
Martin Baxter , and Andrew Rennie
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

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ASIN: 0521552893

Book Description

Here is the first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities. With mathematical precision and in a style tailored for market practioners, the authors describe key concepts such as martingales, change of measure, and the Heath-Jarrow-Morton model. Starting from discrete-time hedging on binary trees, the authors develop continuous-time stock models (including the Black-Scholes method). They stress practicalities including examples from stock, currency and interest rate markets, all accompanied by graphical illustrations with realistic data. The authors provide a full glossary of probabilistic and financial terms.

Customer Reviews:

5 out of 5 stars Stochastic Calculus.......2007-08-13

Baxter/Renie's book makes it easier to understand Shreve's texts on stochastic calculus (vol.1,2). In particular, ch 2 (discrete) & ch. 3
(continuous) gives nice and simple descriptions of the essential concepts: filtration, measure, numeraire, drift, Ito formula. (These concepts can be difficult without a more detailed description of a stochastic process). The chapters 4,5,6 can be considered applying the concepts to SDE's in a number of cases, say, forex., equities, interest rates and multi-dimensional problems. These applications provide a good grasp of the mechanics to better understand the more detailed description of the same concepts in Shreve's texts.

5 out of 5 stars One of the best written books on the foundational mathematics, weaker on implementation and applied techniques.......2006-12-06

Baxter starts off with a formula familiar to anyone who has read even one text on mathematical finance. Set up the basic terminology and core mathematical expectations, introduce discret time times, evolve the discret time models to now-classic continuous time models, and then adapt for the continuous time models for specific products and situations (American option expiration, interest rate models, jump diffusion, etc...).

What I liked best about the book was the skillful narrative and witty presentation of the foundational concepts. Chapter 3 -- the introduction to continuous time models and Black Scholes -- is by far the best introduction that I have read -- to why stochastic models do not follow the classic rules of Newtonian calculus and heuristic proof that explain the "why" behind the basics of stochatsic integration, Ito's lemma, and Brownian motion. Although I was familiar with the material before reading it, the clarity and insight of his presentation fundementally changed by view of the craft of quantitative finance and simplified the manner in which these topics were organized in my mind.

This is not a Paul Willmott book -- full of pseudo-code and real-code implementations, sweeping in its coverage of the many topical specifics that practitioners reply on day-to-day. It does not replace the need for these other approaches. Like Willmott, though, it is geared for the new student of computational finance.

The lack of implementations is disappointing because his pedagolical style is so basic that the final expressions evolve right up to the edge of practical use but then stops. Yet the discipline is this evolution keeps the book moving at a fast pace from start to finish and keeps the entirity of the book very short.

Additionally, there is a lack of applications and material relevant to the credit markets and fixed income worlds that would have been nice to have covered with the same style. Perhaps he will follow up with a second book that explores a larger universe of financial markets and products.

5 out of 5 stars understanding finance.......2005-10-11

Good point: you understand the derivatives pricing spirit in particular martingale and risk neutral principle.

The only problem with this book is that there is NO implementation. Therefore after reading it you cannot do anything ... for this read the Clewlow

5 out of 5 stars A Necessary Book for (aspiring) Financial Engineers.......2005-06-24

Baxter/Rennie deserves its reputation as the best introductory book to modern financial engineering because of its terse, elegant description of the martingale approach to asset pricing. The basic machinery of financial engineering comes from fields in applied analysis such as stochastic calculus and martingale theory, whose presentation is often weighed down with overbearing technical considerations. While necessary from a mathematician's perspective (and often relevant even in many real-world cases), a reader with mathematical maturity but without formal training in measure theory or probability can nonetheless appreciate and understand the basic tools used over and over again in Black-Scholes, and more generally, in martingale methods for pricing.

The quantitative analyst often needs to thorougly understand both the theory and the techical aspects of implementation of these models, and often studies these subjects in graduate programs. Many participants in quantitative fields such as fixed income and derivative trading/pricing often want an intuitive notion of what these "quants" are doing. Baxter/Rennie serves as a good book that is far more advanced than the excellent book by Hull; the latter is a wonderful introduction to quantitative fields, but Baxter/Rennie is the first book that truly introduces the math in a unified presentation that encompasses the three most important tools of mathematical finance (assuming, of course, the Ito-Doeblin calculus driven by Brownian motion); the Cameron-Martin-Girsanov (CMG) Theorem that permits changes of measure, the Feynman-Kac formula and the Martingale Representation Theorem.

Like most books on the subject, Baxter/Rennie attempts (but actually succeeds unlike many competing texts) to give a relatively harmless, intuitive introduction to the Ito-Doeblin calculus and martingales; the two are linked through the martingale properties of Brownian motion, which later permits martingale pricing under a risk-neutral measure.

Chapter 3, the core of the book, introudces Black-Scholes-Merton theory as a simple, special case of martingale pricing. For those who are sick of reading PDE proofs of the Black-Scholes formula that are technically correct but don't actually teach anything about finance, this chapter is for you.

Chapter 5, which introduces the market models of modern fixed income pricing, provides a presentation different from most other books by introducing the general methods (Heath-Jarrow-Morton, or HJM) models first, and giving the short-rate models as a special case of the HJM model. While this is chronologically out-of-order and arguably gives the "harder" case first, it is consistent with the no-arbitrage (or martingale) approach to asset pricing and emphasizes the approach that now dominates the feld.

The final chapter provides an extension of the models in the previous chapter, i.e. by generalizing to the multidimensional cases, etc. These are intuitively similar (although technically more complex) to the cases presented in the earlier chapters, and in keeping with the simple, elegant presentation of the book, are treated appropriately as relatively basic extensions.

Baxter/Rennie emphasizes the models, not the pricing of individual securities; the elegance and economic meaning are stressed at the expense of practical considerations in many cases. For this reason, the book would be a good text for a motivated undergradate studying math/"hard" sciences or an MBA student, quantitative traders or other practitioners responsible for using, but not building models.

For those learning quantitative analysis more seriously, this book would be a good complement to Shreve's Stochastic Calculus in Finance Vol II (not to be confused with the MUCH more technical monograph by the same author). The latter covers many more mathematical topics and their applications in pricing actual instruments, and has an exhaustive list of excellent problems; nonetheless, the book is meant for a full-year sequence in mathematical finance at the Masters' level and by the very nature of being so complete it lacks the elegance of Baxter/Rennie.

My recommendation for those learning mathematical finance is to buy both Baxter/Rennie and Shreve Vol. II. Work through the problems in the latter text and you'll know a little bit of everything from stochastic volatility to jump proceses. Review the former before and interview and you'll be able to quickly answer basic questions in simple English (or whatever language you speak other than math). While it doesn't have many good problems (and they are relatively basic compared to Shreve, for example), that's not the point of the book - it's meant to develop intuition, not technical skill or theoretical abstraction. Buy both - if you're entering this field or are already studying/working in it, you can afford both of them.

5 out of 5 stars A gem of a book.......2005-05-07

This small textbook is a hard find in the finance world. The authors have managed to clearly explain a topic that is very difficult and unclear to begin with. It would be nice to see this book expanded into a larger text with practice problems, solution sets, and discourse on relevant research and current journal articles. Nonetheless, I thoroughly recommend this book to students and practitioners of finance alike.

N.

Securing the Right People Super Series, Fourth Edition (ILM Super Series)
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    Securing the Right People Super Series, Fourth Edition (ILM Super Series)

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    With forty well structured and easy to follow topics to choose from, each workbook has a wide range of case studies, questions and activities to meet both an individual or organization's training needs. Whether studying for an ILM qualification or looking to enhance the skills of your employees, Super Series provides essential solutions, frameworks and techniques to support management and leadership development.

    *Developed by the ILM to support their Level 3 Introductory Certificate and Certificate in First Line Management
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    Destructive and Useful Insects: Their Habits and Control
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      Destructive and Useful Insects: Their Habits and Control
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      Destructive and Useful Insects: Their Habits and Control, Fourth Edition
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        3rd Edition Destructive And Useful Insects
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              Destructive and Useful Insects (Agricultural Science Publications)
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                Destructive and Useful Insects - Their Habits and Control
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                  ASIN: B000IOTMRU
                  Destructive and useful insects,: Their habits and control, (McGraw-Hill publications in the agricultural sciences)
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                    C. L Metcalf
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                      Destructive and Useful Insects: Their Habits and Control (Second Edition)
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                        Destructive and Useful Insects: Their Habits and Control (Second Edition)
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                        Flamsteed's Stars: New Perspectives on the Life and Work of the First Astronomer Royal, 1646-1719
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                          Flamsteed's Stars: New Perspectives on the Life and Work of the First Astronomer Royal, 1646-1719

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                          John Flamsteed played a leading role in English astronomy for nearly half a century, from his appointment as `astronomical observator' to Charles II and first director of the new Royal Observatory at Greenwich, in 1675, through five successive reigns until his death on the last day of 1719. The Observatory's innovative instruments enabled him to plot the movements of the heavenly bodies with unprecedented accuracy, but he was also in correspondence with other astronomers, participating in the controversies of the day and caught up in a lengthy rivalry with Isaac Newton and Edmond Halley - reflected in the complex publishing history of the Historia Coelestis, detailed here. This book confirms Flamsteed's achievements as astronomer, mathematician, instrument maker and writer on optics, and also discusses more personal issues such as his relations with the Royal Society, his pursuit of professional recognition, and the friction between him and his eventual successor Halley.FRANCES WILLMOTH gained her Ph.D. for her biography of Flamsteed's patron, Sir Jonas Moore. Contributors: JIM BENNETT, FRANCES WILLMOTH, MORDECHAI FEINGOLD,ADRIAN JOHNS, HESTER HIGTON, ROB ILIFFE, IAN G. STEWART, OWEN GINGERICH, ALAN COOK, WILLIAM J. ASHWORTH, ADAM PERKINS
                          Flamsteed's Stars: New Perspectives on the Life and Work of the First Astronomer Royal (1646-1719).(Review) (book review): An article from: Canadian Journal of History
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                            Flamsteed's Stars: New Perspectives on the Life and Work of the First Astronomer Royal (1646-1719).(Review) (book review): An article from: Canadian Journal of History
                            Julian Martin
                            Manufacturer: University of Saskatchewan
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                            Release Date: 2005-07-28

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                            This digital document is an article from Canadian Journal of History, published by University of Saskatchewan on August 1, 2000. The length of the article is 1063 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

                            Citation Details
                            Title: Flamsteed's Stars: New Perspectives on the Life and Work of the First Astronomer Royal (1646-1719).(Review) (book review)
                            Author: Julian Martin
                            Publication: Canadian Journal of History (Refereed)
                            Date: August 1, 2000
                            Publisher: University of Saskatchewan
                            Volume: 35 Issue: 2 Page: 320

                            Article Type: Book Review

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                            Great Natural History Books and Their Creators
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                            • As beautifully illustrated at it is historically informative
                            Great Natural History Books and Their Creators
                            Ray Desmond
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                            Among the most admired and rarest works ever created are the large-scale books of natural history.

                            "Great Natural History Books and Their Creators" reveals the incredible stories behind these exceptional collector's books. Ray Desmond engagingly shares with the reader the dramatic behind-the-scenes story of how these rare volumes were created. He conveys the hardships and sacrifices by the early artists whose works are forever preserved in these beautiful volumes.

                            This edition contains over 115 illustrations (69 in full color plates), which were carefully reproduced from the original plate pages at The British Library and other prominent archives.

                            Ray Desmond has written more than 20 books of the history of natural history. This work is co-published with The British Library.

                            Customer Reviews:

                            5 out of 5 stars As beautifully illustrated at it is historically informative.......2003-07-19

                            Jointly published by Oak Knoll Press and The British Library, Great Natural History Books And Their Creators by Ray Desmond (formerly Chief Librarian at the Royal Botanic Gardens, Kew, and Deputy Keeper of the Indian office Library), is an absorbing look at the creation of trailblazing natural history references, many of which required patrons to fund the intricate effort of gathering and presenting information with true scientific accuracy. From Besler's "Hortus Eystettensis" to Audubon's "Birds of America" and Thornton's "Temple of Flora," the process behind the creation of great works is examined closely with unique revelations about the lives of those who dedicated themselves to understanding more about the natural world. A work which is as beautifully illustrated at it is historically informative, Great Natural History Books And Their Creators is an ideal selection choice for Library Memorial Fund acquisitions.
                            On the history of natural history.(Great Natural History Books And Their Creators)(Book Review): An article from: The Australian Library Journal
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                              On the history of natural history.(Great Natural History Books And Their Creators)(Book Review): An article from: The Australian Library Journal
                              Peter Judge
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                              This digital document is an article from The Australian Library Journal, published by Australian Library and Information Association on February 1, 2005. The length of the article is 558 words. The page length shown above is based on a typical 300-word page. The article is delivered in HTML format and is available in your Amazon.com Digital Locker immediately after purchase. You can view it with any web browser.

                              Citation Details
                              Title: On the history of natural history.(Great Natural History Books And Their Creators)(Book Review)
                              Author: Peter Judge
                              Publication: The Australian Library Journal (Refereed)
                              Date: February 1, 2005
                              Publisher: Australian Library and Information Association
                              Volume: 54 Issue: 1 Page: 83(1)

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                              Conquest: Pete Carroll And The Trojans' Climb To The Top Of The College Football Mountain
                              Average customer rating: 4.5 out of 5 stars
                              • Solid, well-reported
                              • WILL STAND THE TEST OF TIME!
                              • Excellent Book for USC Football Fans
                              • Very insightful look at big time college football today
                              • Conquest...book review....
                              Conquest: Pete Carroll And The Trojans' Climb To The Top Of The College Football Mountain
                              David Wharton , and Gary Klein
                              Manufacturer: Triumph Books
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                              4 out of 5 stars Solid, well-reported.......2007-01-20

                              David Wharton and Gary Klein know USC and the USC culture (full disclosure: I worked on the Daily Trojan with Wharton but have had virtually no contact with him since I graduated in 1984). "Conquest" will please USC devotees with its summary of the changes from the Trojans' 2002 re-emergence to the 2004 national championship. It contains some insider detail of locker room cheering, reporting on recruiting battles, and even a nice reminder that TV commentator Bob Griese said that Heisman Trophy QB Matt Leinart had "no supporting cast" moments before Leinart and all his teammates crushed Oklahoma in the 2004 National Championship game. I'd venture that even though Griese was a stellar pro football player, he knew a lot less about the Trojans than David Wharton and Gary Klein did. Fortunately, Griese doesn't write books, and equally fortunately, Wharton and Klein do.

                              5 out of 5 stars WILL STAND THE TEST OF TIME!.......2006-04-28

                              When the 2004 season ended, many USC fans were filled with hubris, thinking it was just another step in our march towards replacing Notre Dame as the greatest of all college traditions. Perhaps this march will continue over the next few years, but one nine-yard Vince Evans TD run turned the 2005 team from the best ever to that other list which includes the '79 Trojans, '83 Cornhuskers, '54 Indians. . . Close but no cigar.

                              SOOOO. . . This book turns into that piece of history to be cherished, and both Gary Klein and David Wharton were with Pete Carroll's juggernaut every step of the way. Upon reflection, this - not the '05 team - is Carroll's best team up to the 2006 season. One is inceasingly thinking we will never see their likes again, not just at Troy but in all college football.

                              Who is better than the 2004 Trojans? The 1972 Trojans. Maybe the 1995 Nebraska team. Few if any others. This is an inside look at this greatness, and for those who need to research USC and the collegiate game, it is invaluable as a resource.

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                              4 out of 5 stars Very insightful look at big time college football today.......2005-12-28

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                              5 out of 5 stars Conquest...book review...........2005-09-27

                              A "must read" for fans of USC football. The book is an engaging recap of the games from the past few seasons, along with interesting behind-the-scenes information on Pete Carroll and his role in reviving the USC football program. Even a hard-core USC football fan will likely learn something new about the team and its history. For long-time fans like me, who endured mediocre USC teams through the 1990's, it's fun to read this book and relive the excitement of Pete Carroll's Trojans. Check it out.

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                              • Building Chicken Coops:
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                              2. Chicken Coops: 45 Building Plans for Housing Your Flock Chicken Coops: 45 Building Plans for Housing Your Flock
                              3. Chickens In Your Backyard: A Beginner's Guide Chickens In Your Backyard: A Beginner's Guide
                              4. How to Build Animal Housing: 60 Plans for Coops, Hutches, Barns, Sheds, Pens, Nestboxes, Feeders, Stanchions, and Much More How to Build Animal Housing: 60 Plans for Coops, Hutches, Barns, Sheds, Pens, Nestboxes, Feeders, Stanchions, and Much More
                              5. The Chicken Health Handbook The Chicken Health Handbook

                              ASIN: 1580172733

                              Book Description

                              Since 1973, Storey's Country Wisdom Bulletins have offered practical, hands-on instructions designed to help readers master dozens of country living skills quickly and easily. There are now more than 170 titles in this series, and their remarkable popularity reflects the common desire of country and city dwellers alike to cultivate personal independence in everyday life.

                              Customer Reviews:

                              3 out of 5 stars Buy the book not this word for word exerpt .......2007-07-27

                              First I would like to say that the information in this pamphlet is useful, and in and of it self is worth the price if you know WHAT YOUR GETTING... This is a word for word copy (and I do mean word for word) of the "Housing" section in "Storey's Guide To Raising Chickens" By Gail Damerow. The book is well worth the money for all the information (outside of this chicken coop section) in it. You can pick up the book between 10 and 15 dollars (and it's worth every penny). Most people I have talked with (and some of the reviews below) stated they just ended up buying the book.

                              Next thing to consider is that this is not a chicken coop construction manual. There are really no plans in it (just ideas). If your looking for chicken coop designs with plans I would suggest "Poultry House Construction" By Michael Roberts. It has 8 or 9 coop PLANS with black and white photos to show you what it will look like. Mr. Roberts book also gives you nesting box plans, broody coops, and much more in under a hundred pages. I think the book was only $11.00 american dollars.

                              In closing do buy "Storey's Guide to Raising Chickens" By Gail Damerow, and do buy "Poultry House Construction" By Micheal Roberts. I just can't in good faith tell you to buy this pamphlet given you will probably end up buying another book because the pamphlet really needs the rest of the book to be useful.

                              5 out of 5 stars Great pamphlet.......2007-06-27

                              I have several books on this subject, but this little pamphlet beats them all. It's precise and to the point. I loved it.

                              4 out of 5 stars Good, basic information.......2007-05-07

                              It seems no one book on chickens gave us the exact plan we wanted for 5 hens, but this one, along with a few others, gave us enough of the basics to design our own.

                              1 out of 5 stars Reduntant totally useless if you buy Raising Chicken by same author.......2007-03-09

                              If you buy Storeys Guide to Raising Chickens then do not bother with this book it is just an excerpt from his other book word for word.

                              5 out of 5 stars Building Chicken Coops: .......2007-01-16

                              This is a most excellent book. Especially for someone (like me) who doesn't have any experience with caring for chickens. Full of necessary information.

                              Women Explorers of the World: Isabella Bird Bishop, Florence Dixie, Nellie Bly, Gertrude Bell, Margaret Bourke-White (Capstone Short Biographies,)
                              Average customer rating: Not rated
                                Women Explorers of the World: Isabella Bird Bishop, Florence Dixie, Nellie Bly, Gertrude Bell, Margaret Bourke-White (Capstone Short Biographies,)
                                Margo McLoone , and Lydia Savage
                                Manufacturer: Capstone Press
                                ProductGroup: Book
                                Binding: Library Binding

                                GeneralGeneral | Biographies | People & Places | Children's Books | Subjects | Books
                                GeneralGeneral | Ages 9-12 | Children's Books | Subjects | Books
                                GeneralGeneral | Geography | Earth Sciences | Science | Subjects | Books
                                ASIN: 0736803130
                                Heart's Treasures
                                Average customer rating: Not rated
                                  Heart's Treasures
                                  Nellie Lewis Bishop
                                  Manufacturer: Vantage Press
                                  ProductGroup: Book
                                  Binding: Hardcover
                                  ASIN: B000MAR5TC

                                  Product Description

                                  A Collection of Poems
                                  Nellie Bishop
                                  Average customer rating: 4 out of 5 stars
                                  • Nellie Bishop and her family
                                  Nellie Bishop
                                  Clara Gillow Clark
                                  Manufacturer: Boyds Mills Pr
                                  ProductGroup: Book
                                  Binding: School & Library Binding

                                  Homelessness & PovertyHomelessness & Poverty | Social Issues | People & Places | Children's Books | Subjects | Books
                                  GeneralGeneral | Literature & Fiction | Teens | Subjects | Books
                                  ASIN: 1563974916

                                  Customer Reviews:

                                  4 out of 5 stars Nellie Bishop and her family.......2000-12-01

                                  This story takes place in 1886 in Providence, Rhode Island. This is when girls and women are of little value and men are more important. This is a story of a girl living through her tough life. Her family very poor because of her fathers bad gambling addiction, they have very little food, a one room house, and only cots to sleep on. In this day young girls are expected to wed at a young age. Her mother has sold her to a very nice man. She is still unhappy because she has to leave her family. In the end she leads a happy life with her new family.
                                  A school for bishops ;: A history of the Church of St. Michael and All Angels, Baltimore, Maryland, 1876-1951 / Nellie W. Jones
                                  Average customer rating: Not rated
                                    A school for bishops ;: A history of the Church of St. Michael and All Angels, Baltimore, Maryland, 1876-1951 / Nellie W. Jones
                                    Nellie W Jones
                                    Manufacturer: s.n
                                    ProductGroup: Book
                                    Binding: Unknown Binding
                                    ASIN: B0007FS7SA
                                    School for Bishops: A History of the Church of St. Michael and All Angels, Baltimore, Maryland, 1876-1951
                                    Average customer rating: Not rated
                                      School for Bishops: A History of the Church of St. Michael and All Angels, Baltimore, Maryland, 1876-1951
                                      Nellie W Jones
                                      Manufacturer: Church of St. Michael and All Angels
                                      ProductGroup: Book
                                      Binding: Hardcover
                                      ASIN: B000LP42BW
                                      Beautiful Bible stories
                                      Average customer rating: Not rated
                                        Beautiful Bible stories
                                        Nellie Lewis Bishop
                                        Manufacturer: Nell's Treasures]
                                        ProductGroup: Book
                                        Binding: Unknown Binding

                                        GeneralGeneral | Education | Christianity | Religion & Spirituality | Subjects | Books
                                        GeneralGeneral | Christianity | Religion & Spirituality | Subjects | Books
                                        ASIN: B0006XU2ZY
                                        A School For Bishops- A History of The Church of St. Michael and All Angels Baltimore, Maryland 1876- 1951
                                        Average customer rating: Not rated
                                          A School For Bishops- A History of The Church of St. Michael and All Angels Baltimore, Maryland 1876- 1951
                                          Nellie W. Jones
                                          Manufacturer: The Church of St. Michael and All Angels
                                          ProductGroup: Book
                                          Binding: Hardcover
                                          ASIN: B000O02EAA

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                                          1. Financial Portion of Accounting Principles Chapters 1-20 and General Ledger Software, Third EDI
                                          2. Franchising in Canada: An Accounting, Auditing and Tax Analysis
                                          3. Fundamental Accounting Principles: Student Spreadsheet Applications Template Software for Microsoft Windows, Chapters 1-26
                                          4. Fundamental Accounting Principles Volume 2 Softcover with Working Papers, Krispy Kreme 2003 Annual Report, Topic Tackler CD, Nettutor, Online Learning
                                          5. Globalization: A Very Short Introduction (Very Short Introductions)
                                          6. Good to Great CD: Why Some Companies Make the Leap...And Others Don't
                                          7. Guide to Audits of Small Businesses, Set
                                          8. Handbook for Productivity Measurement and Improvement
                                          9. Hidden Financial Risk: Understanding Off Balance Sheet Accounting
                                          10. Impey: Operational Review

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