An Introduction To The Mathematics Of Financial Derivatives (2nd Edition)
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,...
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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. Journal of Economic Literature As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably. (Review of the 1st edition.)
Financial Derivatives: A Brief Introduction 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 Ito Integral Ito's Lemma The Dynamics of Derivative Prices: Stochastic Differential Equations. Pricing Derivative Products: Partial Differential Equations The Black-Scholes PDE: An Application Pricing Derivative Products: Equivalent Martingale Measures Equivalent Martingale Measures: Applications 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.
\ From the PublisherPraise 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 LiteratureAs an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably.\ \ \ BooknewsIntroduces 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.\ \
