
Principles of Financial Engineering
Salih N. Neftci(Author)
Academic Press
2nd Edition
Published on 9. December 2008
Book
Hardback
696 pages
978-0-12-373574-4 (ISBN)
Article exhausted; check for reprint
Description
Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices.
This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing.
This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs.
This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing.
This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs.
Reviews / Votes
"Its focus on financial engineering and the actual use of derivative instruments makes Neftci's book an extremely useful complement to the standard introductions to derivative pricing and financial mathematics. The value of the text has been enhanced further by the addition of five chapters on structured products and credit derivatives not present in the first edition." --Ruediger Frey, University of Leipzig "Since its publication in 2004, Neftci's book has become the de facto reference text for financial engineering practitioners and academics. With renewed and extended emphasis on structured products engineering, Neftci keeps the material relevant and up to date for the current state of the financial markets.? --Dan Stefanica, Baruch CollegeMore details
Edition
2nd edition
Language
English
Place of publication
San Diego
United States
Publishing group
Elsevier Science Publishing Co Inc
Target group
College/higher education
Primary: financial engineers, quantitative analysts in banks, investment houses, and other financial industry professionals; graduate students in financial engineering and financial mathematics programs.
Illustrations
Approx. 470 illustrations
Dimensions
Height: 260 mm
Width: 184 mm
Weight
1450 gr
ISBN-13
978-0-12-373574-4 (9780123735744)
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

Robert Kosowski | Salih N. Neftci
Principles of Financial Engineering
Book
11/2014
3rd Edition
Academic Press
€91.50
Shipment within 15-20 days
Additional editions

Salih N. Neftci
Principles of Financial Engineering
E-Book
12/2008
2nd Edition
Academic Press
€73.95
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.
Author
Late of the Global Finance Master's Program, New School for Social Research, New York, NY, USA
Content
1. Introduction
2. The Hedge Fund Industry
3. Cash Flow Engineering and Forward Contracts
4. Engineering Simple Interest Rate Derivatives
5. Introduction to Swap Engineering
6. Repo Market Strategies in Financial Engineering
7. Dynamic Replication Methods and Synthetics
8. Mechanics of Options
9. Engineering Convexity Positions
10. Options Engineering With Applications
11. Pricing Tools in Financial Engineering
12. Some Applications of the Fundamental Theorem
13. Fixed-Income Engineering
14. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
15. Volatility as an Asset Class and the Smile
16. Credit Markets: CDS Engineering
17. Essentials of Structured Product Engineering
18. Credit Indices and their Tranches
19. Default Correlation Pricing and Trading
20. Principle Protection Techniques
21. Caps/Floors and Swaptions with an Application to Mortgages
22. Engineering of Equity Instruments: Pricing and Replication
2. The Hedge Fund Industry
3. Cash Flow Engineering and Forward Contracts
4. Engineering Simple Interest Rate Derivatives
5. Introduction to Swap Engineering
6. Repo Market Strategies in Financial Engineering
7. Dynamic Replication Methods and Synthetics
8. Mechanics of Options
9. Engineering Convexity Positions
10. Options Engineering With Applications
11. Pricing Tools in Financial Engineering
12. Some Applications of the Fundamental Theorem
13. Fixed-Income Engineering
14. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
15. Volatility as an Asset Class and the Smile
16. Credit Markets: CDS Engineering
17. Essentials of Structured Product Engineering
18. Credit Indices and their Tranches
19. Default Correlation Pricing and Trading
20. Principle Protection Techniques
21. Caps/Floors and Swaptions with an Application to Mortgages
22. Engineering of Equity Instruments: Pricing and Replication