“Notoriously, works on mathematical finance
can be precise, and they can be comprehensible. Sadly,
as Dr. Johnson might have put it, the ones which are precise
are not necessarily comprehensible, and those comprehensible
are not necessarily precise.” So starts the preface
to Baxter and Rennie's recent treatise on financial
calculus. The book attempts to give an introduction to
modern continuous time finance in a precise and comprehensible
fashion. Does it succeed? Yes, it is a very clear and precise
little (233 pages) book, although the claim that the book
is accessible to a reader with only “some knowledge
of (classical) differential calculus and experience with
symbolic notation” is exaggerated. Such a reader
would find the material hard going indeed.