Financial calculus
An introduction to derivative pricing
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Financial calculus
An introduction to derivative pricing
Martin Baxter
Nomura International London
Andrew Rennie
Head of Debt Analytics, Merrill Lynch, Europe
. . .~! CAMBRIDGE
~~~ UNIVERSITY PRESS
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CAMBRIDGE UNIVERSITY PRESS
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CambridgeUniversity Press
The Edinburgh Building, Cambridge CB2 8RU,UK
Published in the United States of America by CambridgeUniversity Press, New York
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© M.W Baxter and A.J.O. Rennie 1996
This publication is in copyright. Subject to statutory exception
and to the provisions of relevant collective licensing agreements,
no reproduction of any part may take place without
the written permission of Cambridge University Press.
First published 1996
Reprinted with corrections 1997
20th printing 2012
Printed in the United Kingdom at theUniversity Press, Cambridge
A catalogue record for this publication is available from the British Library
ISBN 978-0-521-55289-9 hardback
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factual information given in this work are correct at the time of first printing but
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