Title: A Good Book, But not a Good Intro
Review: Baxter & Rennie's book is really very enjoyable if you have already had experience with stochastic calculus, martingale methods, including Girsanov's Theorem, the Black-Scholes, and so forth. The writing is subtle and very concise, and every sentence is informatio-dense (to the point that it may be necessary to reread sentences over and over again to be certain that you have extracted the idea). A beginner receiving his first exposure to derivative pricing, however, unless he is mathematically very sophisticated, will not be pleased with this book, as it presumes more mathematical sophistication than the preface states, and focuses the crux of derivative mathematics (i.e., stochastic calculus) in one chapter. That said, this is a very good book and will be the standard for more advanced courses on the subject and for practitioners.
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