An Introduction to the Mathematics of Financial Derivatives

Front Cover
Academic Press, 2000 - Business & Economics - 527 pages
11 Reviews
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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This is a great text. Take it slow in the beginning while reading and make sure everything is clear to you. Everything builds very logically. A great educational tool.

Review: An Introduction to the Mathematics of Financial Derivatives

User Review  - Gaurav Agalcha - Goodreads

Very nice book Read full review

Contents

Financial Derivatives A Brief Introduction
1
A Primer on the Arbitrage Theorum
13
Calculus in Deterministic and Stochastic Environments
45
Pricing Derivatives Models and Notation
77
Tools in Probability Theory
91
Martingales and Martingale Representations
119
Differentation in Stochastic Environments
156
The Weiner Process and Rare Events in Financial Markets
173
The BlackScholes PDE
296
Pricing Derivative Products
312
Equivalent Martingale Measures
345
New Results and Tools for InterestSensitive Securities
368
Arbitrage Theorem in a New Setting Normalization and Random Interest Rates
379
Modeling Term Structure and Related Concepts
407
Classical and HJM Approaches to Fixed Income
426
Classical PDE Analysis for Interest Rate Derivatives
451

Integration in Stochastic Environments
204
Itos Lemma
230
The Dynamics of Derivative Prices
252
Pricing Derivative Products
275
Relating Conditional Expectations to PDEs
467
Stopping Times and AmericanType Securities
489
Bibliography
509
Subject Index
513

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About the author (2000)

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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