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Financial Calculus --- An introduction to derivative pricing
by Martin Baxter & Andrew Rennie
311710.pdf
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Chapter1: Introduction
1.1 Expectation pricing
1.2 Arbitrage pricing
1.3 Expectation vs arbitrage
Chapter2: discrete process
2.1 The binomial branch model
2.2 The binomial tree model
2.3 Binomial representation theorem
2.4 Overture to continuous models
Chapter3: continuous process
3.1 Continuous process
3.2 Stochastic process
3.3 Ito calculus
3.4 Change of measure – the C-M-G theorem
3.5 Martingale representation theorem
3.6 Construction strategies
3.7 Black-Scholes model
3.8 Black-Scholes in action
Chapter4: price market securities
4.1 Foreign exchange
4.2 Equities and dividends
4.3 Bonds
4.4 Market price of risk
4.5 Quantos
Chapter5: interest rates
5.1 The interest rate market
5.2 A simple model
5.3 Single-factor HJM
5.4 Short-rate models
5.5 Multi-factor HJM
5.6 Interest rate products
5.7 Multi-factor models
Chapter6: bigger models
6.1 General stock model
6.2 Log-normal models
6.3 Multiple stock models
6.4 Numeraires
6.5 Foreign currency interest-rate models
6.6 Arbitrage-free complete models
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