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An Introduction to the Mathematics of Financial Derivatives (Second Edition) (精装)
by Salih N. Neftci
| Category:
Derivative pricing, Investment, Finance |
| Market price: ¥ 738.00
MSL price:
¥ 698.00
[ Shop incentives ]
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| Stock:
Pre-order item, lead time 3-7 weeks upon payment [ COD term does not apply to pre-order items ] |
MSL rating:
 Good for Gifts |
| MSL Pointer Review:
Excellent coverage of financial topics and fundamentals and extremely well-written, Neftci's book is easily one of the best received references on the derivative pricing and structuring. |
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AllReviews |
1 2   | Total 2 pages 13 items |
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John Hull (University of Toronto)(MSL quote), Canada
<2006-12-29 00:00>
An excellent treatment of the mathematics underlying the pricing of derivatives. |
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. Darrell Duffie (Stanford University) (MSL quote), USA
<2006-12-29 00:00>
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. |
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Journal of Economic Literature (MSL quote), USA
<2006-12-29 00:00>
As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably. |
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Catherine (MSL quote), USA
<2006-12-29 00:00>
So far, the best intro book on the subject of advanced math for derivative pricing theory I've found. I've tried several other books which claim to say you only need some intro calculus to follow along, only to be totally blown away after reading the first few pages (and putting the book back on the shelf). I guess nothing beats having a teacher by your side, but it would be nice to be able to follow along and least pick up some ideas on how the math works and what's behind it. This book allows one to do just that. For the math newbie (like myself), nothing beats a course on stochastic calc, PDEs, etc, to get you up to speed, and this book might be worth reading before taking those courses. This is why I gave 4 stars. However, the book could be vastly improved with worked out exercises and more graphical representations of the material. |
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Jonathon (MSL quote), USA
<2006-12-29 00:00>
Neftci's book is easily grouped into a large number of texts that provide graduate level (considerable more rigorous than the MBA version) introductions to mathematical finance. Some are written for MBA with want to be exposed to as little math as possible without short changing the financial and valuation aspects and with considerable attention to a broad range of financial products and applications (Hull's classic comes to mind). Others are extremely implementation driven and are more a hybrid of finance and computer programming (Duffy, London, Wilmont). Still others are math books that speak above the heads of almost all practitioners and cover the finance topics poorly (or not at all).
Netfci's book is a rare gem in this field. Excellent coverage of financial topics and fundamentals (Arbitrage Theorem, Forwards Futures, Equity Derivatives, Interest Rate Derivatives), serious graduate level review of financial math and mathematical techniques (Probability, Numeric Processes, Binomial Methods, Stochastic Calculus, Finite Difference, Martingales, Monte Carlo methods), and applications (Bond Pricing, Term Structure Modeling, Exotic Options, Rare Event Modeling).
Best of all, it start assuming very little, builds aggressively, and progresses logically.
The biggest drawbacks are a lack of coverage for credit modeling and credit derivatives, Merton-model and contingent claim models for distressed equity, and more common financial engineering applications (hedging, rebalancing). It is also remarkably well-written. |
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W. Bouldville (MSL quote), USA
<2006-12-29 00:00>
Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.
For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.
Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modeling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.
Much more is covered in the book. Perhaps just as importantly, it gives you enough math preparation that you should be able to analyze other new types of financial instruments. Maybe even ones that you create yourself. |
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A reader (MSL quote), USA
<2006-12-29 00:00>
It is amazing that people are not willing to take it what it is, an introduction to mathematics of financial derivatives. IMO gives an extremely clear exposition of the various tools of SDE and having read it has allowed me to progress to books in which mathematical rigor is stressed over intuition. So in a nutshell this book achieved its stated goal of offering an intuitive and heuristic explanation of mathematics of derivatives to the novices taking their first steps in the financial engineering land. |
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Debdeep (MSL quote), USA
<2006-12-29 00:00>
Neftci does a good job in introducing the mathematics of financial derivatives to its readers. This book is ideal for MBA level quant finance knowledge. It does not go into rigorous mathematical depth but does a smart job of discussing the physics behind the principles of pricing derivative securities. The best part about this book is its parallel handling of PDE approach and the equivalent martingale measure. There is sufficient coverage for introductory level fixed income pricing mechanisms. The book does a good job in the end by converging the ideas of the two pricing methods. This gives a lot of clarity in the science behind such derivative contracts.
Although the theory is covered clearly the problems are not correlated with the chapter contents. Do not get disheartened if you are not able to ace the problems. Rather use this book to build the base and clear the concepts. |
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A reader (An American reader), USA
<2006-12-29 00:00>
The first edition of Neftci's book became an instant classic in the world of the users and developers of derivatives models. Now Neftci has obliged us again, adding seven new chapters on recent and more complex material in this fast-changing field of applied mathematics.
The new material focuses on normalization - the technique of obtaining pricing equations for ratios of asset prices instead of for the prices themselves. Normalization is a very powerful tool for grapplig with dynamic situations. And as it happens one of its applications is to martingales, the relation of an asset price to the passage of time. Normalizing a martingale proves to be, in Neftci's words, "quite useful in pricing interest sensitive derivative instruments."
Obviously not a book for the mathematically faint of heart, but the title provides sufficient warning! If this is the kind of book you want, then this book is the one of the kind you will need. |
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Sunanda Dutta (MSL quote), USA
<2006-12-29 00:00>
I do not know why people are against this book. The title clearly says "introduction". True, it does little to provide deep insights into financial modeling, but it does give a preliminary idea into the math involved, and does a good job of walking you into the subject gently. The layout is a little chaotic, but with a judicious choice of subjects, that will not be much of a problem. The problems are the worst part - half of them do not have any relevance considering the chapter in question, and some incorporate concepts which are not mentioned in the book.
The book itself is clear and concise. The intuitive idea about measure and stochastic integral is very nice. Also, after going through this book you will be able to progress into the deeper math quite nicely. It’s worthwhile buying this book.
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1 2 | Total 2 pages 13 items |
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