Which Book First?

[JustGravy]

Hi,

I am an Econ Phd Student trying to learn some asset pricing stuff from the finance point of view over the summer. I have learned it from the Macro perspective (i.e. starting with utility functions and getting to the consumption CAPM, discrete time for the most part) but do not really know anything about derivative pricing in continuous time.

The end goal is to understand the work that some people have done applying Contingent Claims Analysis in a Macro/International Finance application to whole economies, not to be a financial engineer.

I have the following books:
Hull Options Futures Other Derivatives
Baxter Rennie Financial Calculus An Intro to Deriv. Pricing
Baz and Chacko Financial Derivatives
Merton Continuous Time Finance.

I was wondering if anyone had any advice on a plan of attack. It seems like Hull is at a lower level than the others and I was gonna start there.

Thanks for the help!

Gravy

 

[Zeuge]

If you're looking for something a bit more advanced, Duffie's Dynamic Asset Pricing Theory is pretty popular among the PhD's I've talked to. Take this with a grain of salt because I'm just an undergrad, though.

 

[Dave Haan]

start with Baxter & Rennie, short and coherent.

 

[JustGravy]

Thanks for the help both of you!

 

[Barny]

Neftci is the one and only, especially if you're an econ undergrad.