Financial Mathematics: Introduction to Derivatives Pricing

Author: (British) Baxter
Publisher:
Publish Date: 2006-01-01
Features: One of the core contents of financial mathematics is the pricing of derivatives. This book delves into the mathematics behind the pricing, structure, and hedging of derivative securities, presented in a rigorous yet accessible manner. The author introduces new concepts such as martingales and measure transformations, as well as the Heath-Jarrow-Morton model, in a way that is easy for market practitioners to understand. Starting with discrete-time hedging using a binomial tree, the book further extends to continuous-time stock models (including the Black-Scholes model). Emphasizing practicality, the book includes numerous examples from stock, currency, and interest rate markets, along with graphs drawn based on real-world data. The appendix provides a glossary of terms related to probability and financial concepts. As a foundational textbook in financial mathematics, this book is suitable for undergraduate and graduate courses in related fields. It can also serve as a reference for market practitioners, quantitative analysts, and derivative traders in the financial industry.