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FINANCIAL CALCULUS: AN INTRODUCTION TO DERIVATIVE PRICING

Martin Baxter and Andrew Rennie, Cambridge University Press, 1996

Published online by Cambridge University Press:  01 June 1998

Bent E. Sørenson
Bent E. Sørenson
Affiliation:
Brown University
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Abstract

“Notoriously, works on mathematical finance can be precise, and they can be comprehensible. Sadly, as Dr. Johnson might have put it, the ones which are precise are not necessarily comprehensible, and those comprehensible are not necessarily precise.” So starts the preface to Baxter and Rennie's recent treatise on financial calculus. The book attempts to give an introduction to modern continuous time finance in a precise and comprehensible fashion. Does it succeed? Yes, it is a very clear and precise little (233 pages) book, although the claim that the book is accessible to a reader with only “some knowledge of (classical) differential calculus and experience with symbolic notation” is exaggerated. Such a reader would find the material hard going indeed.

Type
Book Review
Information
Econometric Theory , Volume 14 , Issue 3 , June 1998 , pp. 365 - 368
Copyright
© 1998 Cambridge University Press

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