FINANCIAL CALCULUS: AN INTRODUCTION TO DERIVATIVE PRICING

Bent E. S renson

Econometric Theory, 1998, vol. 14, issue 03, pages 365-368

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.

Date: 1998

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