An Introduction To The Mathematics Of Financial Derivatives (2nd Edition) ANNOTATION
Audience: Students in master's or Ph.D. programs, market professionals, and professionals with mathematical, technical, or physics backgrounds.
FROM THE PUBLISHER
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.
SYNOPSIS
The intuitive, step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih N. Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background, and the math is lucid and fresh. His explanations of financial calculus are remarkable for their simplicity and perception.
FROM THE CRITICS
Journal of Economic Literature
As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably. (Review of the 1st edition.)
Booknews
Introduces the mathematics underlying the pricing of derivatives. The
interest in dynamic pricing models is increasing due to their applicability to practical solutions. With the freeing of exchange, interest rates, and capital controls, the markets for derivative products have matured, and pricing models have become more accurate. Neftci writes for professionals, Ph.D students, and advanced MBA students who are specifically interested in these financial products. Annotation c. by Book News, Inc., Portland, Or. (Review of the 1st edition.)
Booknews
An introduction to the mathematics used in the pricing models of derivative instruments, written for practitioners in financial markets and for beginning graduate students. Assumes some background in finance; a strong background in calculus or stochastic processes, though helpful, is not needed. New to this edition are seven chapters dealing with tools for fixed-income sector and interest rate products, as well as stopping times and American-type securities. Neftci is currently associated with CUNY and the U. of Reading, UK. Annotation c. Book News, Inc., Portland, OR (booknews.com)
WHAT PEOPLE ARE SAYING
An excellent treatment of the mathematics underlying the pricing of derivatives. (Quote about the 1st edition.)
— John Hull
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. (Quote about the 1st edition.) — J. Darrell Duffie
ACCREDITATION
Salih N. Neftci completed his Ph.D. at the University of Minnesota and subsequently taught at George Washington University, Columbia University, and the Graduate Institute for International Economics, Geneva. He is currently teaching at CUNY, New York and ISMA Centre, University of Reading, U.K. Professor Neftci is also a consultant to the Citibank New Products Group in Stamford, Connecticut, and has been a consultant to the World Bank, the US Department of State and the Agency for International Development. His teaching is in the areas of numerical methods in asset pricing, the mathematics of financial derivatives, emerging market asset trading strategies and advanced risk management.
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