Any comment about which is the most suitable book for a financial calculus course?

If I were you, I would get those two copies ASAP. They are very beautiful books.J

Last edited by J on October 31st, 2002, 11:00 pm, edited 1 time in total.

- blueberrymuffin
**Posts:**29**Joined:**

Has anyone actually read Alison Etheridge's book? I can't find a review on Amazon or elsewhere.If you have read it, could you please tell me1) Does it contain much material that's not already in Baxter and Rennie?2) Are the problems in it challenging?3) What's the quality of exposition?Thanks!

Etheridge's book derived from an undergrad degree course in math. Therefore it is oriented more in terms of the math required for pricing derivatives and in a slightly more formal notation (c.f. Musiela and Rutkowski, but that book is more advanced), whereas Baxter and Rennie's book spends more time in explaining the intuition behind the theorems (and does not intend to prove all the theorems). Both are good books, but the target audience is quite different.

I have just bought the Etheridge book. Well I must say that this book, as announced in the preface, follows the approach of B&R, but in a very different way. She often proves theorems and lemmas by using some elements of measure theory (Williams book is her best reference with this regard). So I can suggest this book just to people who have some good foundation in calculus and in axiomatic probability theory. BTW this book reveals the great knowledge of the author in the mathematics underlying the financial treatment of the subject, and, therefore, overall, I think it is a very good book.

The Baxter book is very good. Brief [when it came out I almost did not look at it because I thought it claimed too many subjects for such a short book] but did a very good job in a short space---partly because it does not try to say everything but make the read work through the issues between the things stated. I was surprised that the Etheridge book claimed to have been patterned after Baxter. I assumed it would follow the same flow, fill-in, etc. but just a little bit higher level. Instead it seemed a wholly different book and substantially more requirements for readers than Baxter.

Errata and extra pages for Baxter & Rennie can be found at:http://www.financialcalculus.co.uk/errata.html Does not seem to be a Errata page for the Etheridge book.

Last edited by jfuqua on February 23rd, 2006, 11:00 pm, edited 1 time in total.

A large drawback to the Etheridge book is that solutions to the exercises are only available to "bona fide" teachers!

- WilmottBookshop
**Posts:**1083**Joined:**

A Course in Financial Calculus by Alison Etheridge is available from the Wilmott Bookshop.

What about MJ book? I always thought that it would be useful to keep the focus on the practitioner's book (with references to classic SDE books).

whilst i am always keen on my own book it's always worth owning a few books. Alison's book is my opinion a successful attempt to rewrite Baxter and Rennie to be suitable as a textbook for a rigorous mathematics course at final year undergrad level/ first year graduate level. It's basically good but could have more financial intuition at points -- this reflects the author's background as a probabilist rather than a finanical mathematician.

I can send you that. Be warned however that the "solution manual" contains hints mostly. PS: B&R contains a lot more material than Etheridge, in particular on rates. QuoteOriginally posted by: dwaringA large drawback to the Etheridge book is that solutions to the exercises are only available to "bona fide" teachers!

While we are on this subject...is it worth reading Wilmott's book if you have read Hull and MJ's

Unkpath,Can you email the solutions to dwaring@shb.com.sa? If not, email me and I'll send you my London postal address.Many Thanks.

- QArbiTrader
**Posts:**38**Joined:**

Unkpath,Could you send me a copy as well at numtech@googlemail.comMany Thanks

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