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The first rigorous and accessible account of the mathematics behind the pricing, construction, and hedging of derivative securities, this book explains, with mathematical precision and in a style tailored for market practitioners, such key concepts as martingales, change of measure, and the Heath-Jarrow-Morton model. A full Glossary of probabilistic and financial terms is ...more
Hardcover, 244 pages
Published June 11th 2015 by Cambridge University Press
(first published September 19th 1996)
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(showing 1-30 of 138)
This is the most intuitive and concise introduction to asset pricing via equivalent martingale measures that I've yet encountered. The real value of this book lies in how successfully it motivates each of the pieces of theoretical machinery used in risk-neutral asset pricing: equivalent martingale measures, Ito Calculus, and so on. This book will be especially useful to people with a background in economic theory who are having trouble making the conceptual link between risk aversion, subjective ...more
This is a very nice, reasonably concise little monograph. While some background knowledge of options and Black-Scholes is appropriate, this is a fairly self-contained introduction to risk-neutral pricing. Honestly, while I didn't love this book, it should still be considered a must-read simply because of the paucity of better offerings.