This popular text, publishing Spring 1999 in its Second Edition, introduces the mathematics underlying the pricing of derivatives. The increase of interest in dynamic pricing models stems from their applicability to practical situations: with the freeing of exchange, interest rates, and capital controls, the market for derivative products has matured and pricing models have become more accurate. Professor Neftci's book answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book the main text in first year masters and Ph.D. programs for certain courses, and will continue to be an important manual for market professionals.
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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.
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This book is an introduction to quantitative tools used in pricing financial derivatives. Read the first page
Front Cover | Table of Contents | Excerpt | Index
This book is an introduction to quantitative tools used in pricing financial derivatives. Read the first page
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Front Cover | Table of Contents | Excerpt | Index
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Most Helpful Customer Reviews
10 of 10 people found the following review helpful
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.
9 of 9 people found the following review helpful
By A Customer
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.
14 of 15 people found the following review helpful
By A Customer
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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Most Recent Customer Reviews
1.0 out of 5 stars
difficult to read the text
three main drawbacks:
1. wordy and confusing.
2. Ignorance of essential proof and explanation of what's given.
3. Read more
1. wordy and confusing.
2. Ignorance of essential proof and explanation of what's given.
3. Read more
Published 1 month ago by ReadaLot
5.0 out of 5 stars
Best Best book for a great introduction to complexity of Financial...
Mr Nuclear Physicists
You should have bought a book "Finance for Dummies" and not the great book by Neftci ! Read more
You should have bought a book "Finance for Dummies" and not the great book by Neftci ! Read more
Published 5 months ago by Vivek Bhardwaj
5.0 out of 5 stars
Very good, worked
I disagree with one star review. The book claims it does not require any prior knowledge, but familiarity with basic calculus and probability helps. Read more
Published 10 months ago by jukka
5.0 out of 5 stars
A Simple Thank you to Prof Neftci
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... Read more
Published on 12 April 2009 by sos
2.0 out of 5 stars
lack of rigour makes it useless
This book has the merit of trying to introduce modern math finance theory while avoiding too involved mathematics. Read more
Published on 29 May 2007 by M. MARIN
4.0 out of 5 stars
Basic and Good
This book is an excellent starting point for anyone with a basic understanding of mathematics. The break down of some very complex material into something that is understandable is... Read more
Published on 10 April 2003 by "nazh"
4.0 out of 5 stars
A good introduction to derivative modelling
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... Read more
Published on 29 Aug 2001
1.0 out of 5 stars
An Introduction For Nuclear Physicists. Tediously Presented.
This book was very dissapointing. I bought the book in Amazons US store after reading rave reviews about it. Read more
Published on 10 Oct 1999
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