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An Introduction to the Mathematics of Financial Derivatives (Academic Press Advanced Finance) Hardcover – 22 Jun 2000

4.2 out of 5 stars 11 customer reviews

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Product details

  • Hardcover: 527 pages
  • Publisher: Academic Press; 2 edition (22 Jun. 2000)
  • Language: English
  • ISBN-10: 0125153929
  • ISBN-13: 978-0125153928
  • Product Dimensions: 15.2 x 3 x 22.9 cm
  • Average Customer Review: 4.2 out of 5 stars  See all reviews (11 customer reviews)
  • Amazon Bestsellers Rank: 727,719 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 Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.


Customer Reviews

4.2 out of 5 stars
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Top Customer Reviews

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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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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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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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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Format: Hardcover
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 of great help. It is a little limited in places when it comes to rigour, however, this book in not intended for that, and for anyone who is after rigour should turn to Hull. For a mathematical text, this is an enjoyable read.
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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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