Financial Calculus

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• Create · Nov 22, 2009 · Recommends

  …automatically tweak the few k base parameters (SVM, associative memory etc). http://www.bbc.co.uk/science/horizon/1999/midas.shtml Options, Futures and Other Derivatives, J. C. Hull, Prentice Hall Int’l Financial Calculus, M. Baxter and A. Rennie, Cambridge University Press but the ML part is almost irrelevant: it is not the lever in the leverage (think CDO trade).

  on “Ask HN: Has anyone used machine learning to trade?” ↗
• daleroberts · Nov 20, 2012 · Recommends

  …only a tool. This link between no-arbitrage and martingale theory is called the 'Fundamental Theorem of Asset Pricing'. There is a nice (basic) explanation of this idea in the book by Baxter and Rennie "Financial Calculus" where they compare the 'expected value' approach of a bookmaker and the 'no-arbitrage' approach. For a more advanced explanation, you can have a look at the book by Delbaen and Schachermayer (2006).

  on “Basic Option Strategies, Part 2 - Options Pricing” ↗
• shogunmike · Oct 31, 2011 · Recommends

  …mean option pricing then check out the books by Mark Joshi: - 'The Concepts and Practice of Mathematical Finance' - 'C++ Design Patterns and Derivatives Pricing' Also of note is Baxter & Rennie: - 'Financial Calculus: An Introduction to Derivative Pricing' Once you've studied those and have a good grasp of Measure Theory, you'll want to tackle Shreve, Vol II. And a brief plug of my (slightly out of date!) quant…

  on “Good books for hackers interested in quant finance?” ↗
• pjacotg · Apr 18, 2025 · Recommends

  There's a book on financial calculus by Rennie and Baxter [0] that gave me very good intuition on the ideas behind option pricing. It starts with the binomial model and moves on to using stochastic calculus. If you get into the topic you'll…

  on “An Introduction to Stochastic Calculus (2022)” ↗