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An Introduction to the Mathematics of Financial Derivatives
Review
PRAISEFOR THE FIRST EDITION:
"An excellent treatment of the mathematics underlying the pricing ofderivatives."
—JOHN HULL, University of Toronto
"This book will be a major convenience to derivatives traders, riskmanagers, and other users and developers of derivatives models. It greatlyreduces 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 ofderivatives, the book succeeds admirably."
—JOURNAL OF ECONOMIC LITERATURE
"This book is a self-contained first step into mathematical finance, andit covers the fundamentals of the topic beautifully. The conclusions andreferences at the end of each chapter are very useful. The former provides abroad picture of each chapter's content. The latter offer invaluable links forthose who would like a more detailed discussion..."
—SIAM Review (Society for Industrial and Applied Mathematics)
Book Description
Includes6 new chapters!
Product Description
Thispopular text, publishing Spring 1999 inits Second Edition, introduces the mathematics underlying the pricing ofderivatives. The increase of interest in dynamic pricing models stems fromtheir applicability to practical situations: with the freeing of exchange,interest rates, and capital controls, the market for derivative products hasmatured and pricing models have become more accurate. Professor Neftci's bookanswers the need for a resource targeting professionals, Ph.D. students, andadvanced MBA students who are specifically interested in these financialproducts. The Second Edition is designed to make the book the main text infirst year masters and Ph.D. programs for certain courses, and will continue tobe an important manual for market professionals.
From the Back Cover
Praisefor the First Edition
"An excellent treatment of the mathematics underlying the pricing ofderivatives."
--JOHN HULL, University of Toronto
"This book will be a major convenience to derivatives traders, riskmanagers, and other users and developers of derivatives models. It greatlyreduces the cost of entry into the mathematical world of valuation, hedging,and risk measurement for derivatives positions."
--J. DARRELL DUFFIE, Stanford University
"As an introduction to the mathematics underlying the pricing ofderivatives, the book succeeds admirably."
--JOURNAL OF ECONOMIC LITERATURE
The intuitive, step-by-step approach of this book makes it one of the mostaccessible and popular explanations of the mathematical models used to pricederivatives. For the Second Edition, Salih Neftci has thoroughly expanded onechapter, added six new ones, and inserted chapter-concluding exercises. He doesnot assume that the reader has a thorough mathematical background, and the mathis lucid and fresh. His explanations of financial calculus are remarkable fortheir simplicity and perception.
About the Author:
SalihNeftci completed his Ph.D. at the Universityof Minnesota and subsequently taughtat George WashingtonUniversity, ColumbiaUniversity, and the Graduate Institutefor International Economics, Geneva.He is currently teaching at CUNY Graduate School,New York, New York,and ISMA Centre, University of Reading, UK. ProfessorNeftci is also a consultant to the Citibank New Products Group in Stamford, Connecticut,and has been a consultant to the World Bank, the U.S. Department of State, andthe Agency for International Development. His teaching is in the areas ofnumerical methods in asset pricing, the mathematics of financial derivatives,emerging market asset trading strategies, and advanced risk management.
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