An Introduction to the Mathematics of Financial Derivatives
2nd Edition
Published on 22. June 2000
Book
Hardback
560 pages
978-0-12-515392-8 (ISBN)
Description
An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.
The increased 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. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.
This edition is also designed to become 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 and professionals with mathematical, technical, or physics backgrounds.
The increased 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. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.
This edition is also designed to become 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 and professionals with mathematical, technical, or physics backgrounds.
Reviews / Votes
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
PRAISE FOR THE SECOND EDITION:
"As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably." --JOURNAL OF ECONOMIC LITERATURE
"This book is a self-contained first step into mathematical finance, and it covers the fundamentals of the topic beautifully. The conclusions and references at the end of each chapter are very useful. The former provides a broad picture of each chapter's content. The latter offer invaluable links for those who would like a more detailed discussion..." --SIAM Review (Society for Industrial and Applied Mathematics)
More details
Series
Edition
2nd edition
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
Professional and scholarly
Postgraduate students and researchers, financial market professionals and professionals with mathematical, technical or physics backgrounds
Edition type
New edition
Dimensions
Height: 229 mm
Width: 152 mm
Weight
860 gr
ISBN-13
978-0-12-515392-8 (9780125153928)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
New editions
Book
12/2013
3rd Edition
Academic Press
€98.00
Shipment within 15-20 days
Additional editions
Salih N. Neftci
An Introduction to the Mathematics of Financial Derivatives
Book
06/2000
2nd Edition
Academic Press
€118.43
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Neftci | Salih N. Neftci
An Introduction to the Mathematics of Financial Derivatives
E-Book
01/2000
2nd Edition
Academic Press
€79.95
Available for download
Person
Professor Neftci completed his Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.
Salih Neftci was already suffering from gliosarcoma, a malignant brain cancer, while writing the second edition. It published just 5 months before his death on April 15, 2009.
Salih Neftci was already suffering from gliosarcoma, a malignant brain cancer, while writing the second edition. It published just 5 months before his death on April 15, 2009.
Content
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.