Introduction to Financial Mathematics: Derivatives Pricing

Author: (English) Baxter, (English) Rennie
Publisher:
Publish Date: 2006-01-05
Features: This book delves into the mathematics behind the pricing, structure, and hedging of derivative securities, offering a rigorous yet accessible approach. The authors introduce 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 binomial trees, the book further extends to continuous-time stock models (including the Black-Scholes model).