An Introduction to the Mathematics of Financial Derivatives / Edition 2

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2000 Hardcover 2nd Edition Near Fine Second edition hardback book in near fine condition.

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San Diego, CA 2000 Hard cover 2nd ed. Fair. Sewn binding. Cloth over boards. 527 p. Academic Press Advanced Finance.

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Overview

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
"As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably."
—JOURNAL OF ECONOMIC LITERATURE
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 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.
About the Author:
Salih 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 Graduate School, New York, New York, and ISMA Centre, University of Reading, UK. 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 U.S. 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.

Using an intuitive, systematic approach to the material, this text introduces the mathematics underlying the pricing of derivatives. The interest in dynamic pricing models is increasing due to their applicability topractical situations. With the freeing of exchange, interest rates, and capital controls, the markets for derivative products has matured, and pricing models have become more accurate. An Introduction to the Mathematics of Financial Derivatives fills the need for a resource targeting professionals, Ph.D. students and advanced MBA students who are specifically interested in these financial products

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Editorial Reviews

From the Publisher
Praise for the First Edition:
"An excellent treatment of the mathematics underlying the pricing of derivatives."
- John Hull, University of Toronto, Canada

"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

"As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably."
- Journal of Economic Literature

Journal of Economic Literature
As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably.
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.
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Product Details

  • ISBN-13: 9780125153928
  • Publisher: Elsevier Science
  • Publication date: 5/1/2000
  • Series: Academic Press Advanced Finance Series
  • Edition description: REV
  • Edition number: 2
  • Pages: 527
  • Product dimensions: 6.23 (w) x 9.27 (h) x 1.25 (d)

Meet 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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Table of Contents

Financial Derivatives; A Primer on Arbitrage Theorem; Calculus in Deterministic and Stochastic Environments; Pricing Derivatives: Models and Notation; Tools in Probability Theory; Martingales and Martingale Representations; Differentiation in Stochastic Environments; The Wiener Process and Rare Events in Financial Markets; Integration in Stochastic Environments; The Dynamics of Derivative Prices; Pricing Derivative Products; The Black-Scholes PDE; Pricing Derivative Products; Equivalent Martingale Measures; New Results and Tools for Interest Sensitive Securities; Arbitrage Theorem in a New Setting: Normalization and Random Interest Rates; Modeling Term Structure and Related Concepts; Classical and HJM Approaches to Fixed Income; Classical PDE Analysis for Interest Rate Derivatives; Relating Conditional Expectations to PDEs; Stopping Times and American-Type Securities; Bibliography; Index.

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