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Financial Calculus: An Introduction To Derivative Pricing

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  • Sørenson, Bent E.

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.

Suggested Citation

  • Sørenson, Bent E., 1998. "Financial Calculus: An Introduction To Derivative Pricing," Econometric Theory, Cambridge University Press, vol. 14(3), pages 365-368, June.
    • Handle: RePEc:cup:etheor:v:14:y:1998:i:03:p:365-368_14
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    Cited by:

    1. Calum G. Turvey & Shihong Yin, 2002. "On the Pricing of Cross Currency Futures Options for Canadian Grains and Livestock," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 50(3), pages 317-332, November.

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