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An Introduction to the Mathematics of Financial Derivatives (Academic Press Advanced Finance) Hardcover – 19 May 2000


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Product details

  • Hardcover: 556 pages
  • Publisher: Academic Press; 2 edition (19 May 2000)
  • Language: English
  • ISBN-10: 0125153929
  • ISBN-13: 978-0125153928
  • Product Dimensions: 15.2 x 3 x 22.9 cm
  • Average Customer Review: 4.4 out of 5 stars  See all reviews (9 customer reviews)
  • Amazon Bestsellers Rank: 384,578 in Books (See Top 100 in Books)
  • See Complete Table of Contents

Product Description

Review

PRAISE FOR THE FIRST EDITION: "An excellent treatment of the mathematics underlying the pricing of derivatives." - JOHN HULL, University of Toronto "This book will be a major convenience to derivatives traders, risk managers, and other users and developers of derivatives models. It greatly reduces the cost of entry into the mathematical world of valuation, hedging, and risk measurement for derivatives positions." - J. DARRELL DUFFIE, Stanford University PRAISE FOR THE SECOND EDITION: "As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably." - JOURNAL OF ECONOMIC LITERATURE "This book is a self-contained first step into mathematical finance, and it covers the fundamentals of the topic beautifully. The conclusions and references at the end of each chapter are very useful. The former provides a broad picture of each chapter's content. The latter offer invaluable links for those who would like a more detailed discussion..." - SIAM Review (Society for Industrial and Applied Mathematics)

About the Author

Professor Neftci completed his PhD at the University of Minnesota. Currently he teaches at the Graduate School, City University of New York, ICMA Centre, University of Reading, UK, and at the University Of Lausanne, Switzerland. He is also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. He is the head of the FAME Certificate program in Switzerland. Professor Neftci is known for his books and articles. His books, An Introduction to the Mathematics of Financial Derivatives and Principles of Financial Engineering, are standard texts in most university derivatives courses. The more recent book, Principles of Financial Engineering, was selected as the runner up for The Book of the Year award by Risk magazine during 2004. His current research deals with pricing of contingent credit lines, the relationship between yield curve curvature and volatility. He is also working on using the Credit Default Swap prices to predict financial crises. Overall, Professor Neftci's research and teaching is in the areas of financial engineering, risk management of extreme events and in emerging market asset trading strategies. His latest papers deal with risk measurement using extreme value theory and volatility dynamics. Professor Neftci is a consultant to various financial institutions and teaches high-level courses on cutting-edge issues to advanced financial market professionals. He was recently a consultant with the World Bank and with the IFC. He regularly holds highly visible workshops for market professionals on Financial Engineering, Mathematics for Financial Derivatives, and Calibration Methods. Currently he is a Risk Management Advisor to IMF. Professor Neftci is also a regular columnist for CBN daily, a financial daily in Shanghai, the most influential financial newspaper in China. His columns dealing with current financial market activity are regularly quoted on sina.com and on sohu.com.

Inside This Book (Learn More)
First Sentence
This book is an introduction to quantitative tools used in pricing financial derivatives. Read the first page
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Customer Reviews

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Most Helpful Customer Reviews

10 of 10 people found the following review helpful By aliboray@yahoo.co.uk on 12 Feb 2001
Format: Hardcover
Professor Neftci has once again provided a strong and yet not over-technical introduction to the mathematics of derivatives. An ideal springboard to launch into deeper study, and particularly suited to Masters and starting PhD students, as well as a good reference source for quants.
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9 of 9 people found the following review helpful By A Customer on 8 Dec 2000
Format: Hardcover
After sitting through several weeks of a derivative pricing course in total confusion Neftci has finally helped clear the fog. THis is the fourth book I have tried on the subject and the first one that provides a logical, clear and simple path that starts from the beginning.
A good introductrion book.
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14 of 15 people found the following review helpful By A Customer on 8 Dec 2002
Format: Hardcover
i have read a lot of quant finance books and looked at a number of sources focussed to the mandatory mathematical understanding but this is the only example so far that i have been compelled to finish. the book starts at the beginning and takes a clearly well considered approach to the methodical exposition of all the concepts leading to the application of stochastic differential equations in derivatives pricing. further i think that for most practitioners, all but the real math enthusiasts, this is a self contained guide to the math used in practise.
as a result i feel indebted to the author for very real-world useful expositions that I couldnt seem to grasp elsewhere. very good job indeed.
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2 of 2 people found the following review helpful By sos on 12 April 2009
Format: Hardcover
I wasn't very sure what to expect when I first read the content page on amazon.co.uk. In fact, one reviewer made things very difficult for me when he/she rated the book as "very dissapointing" and that it was written by a mad professor totally out of touch with the requirments of sophisticated market practioners for good 'how to' tools for quant finance.

Well, this is a very perfect book for people looking for basics underlying the maths in financial engineering. I have tried about 5 books. Each I suppose has its merits but did not satisfy my need. Neftci's has so far given me the satisfaction others have failed to.

If you are interested in understanding the underlying concepts of mathematical finance (avoid the misconceptions) and not just 'know the maths', then try this book. In fact, it (even) makes the maths easier afterwards.
Thank you prof Neftci.
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10 of 11 people found the following review helpful By A Customer on 29 Aug 2001
Format: Hardcover
I must disagree with the reviewer who cites this as a physicist trying his hand at quant finance. Nefcti has produced a rigorous introduction to the subject and proves an excellent grounding in both PDE and, more importantly, martingale valuation techniques. Sure Wilmott is the default financial engineering text, but it is not perfect and places too much emphasis on PDEs. In you want to rise above the herd to be classed a serious derivatives expert this book is a good start.
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