Author: Salih N. Neftci

Publisher: Academic Press; 2 edition

Pub. in: April, 2000

ISBN: 0125153929

Pages: 527

Measurements: 9.3 x 6.2 x 1.2 inches

Origin of product: USA

Order code: BA00326

Other information:  

A leading introduction to introduces the mathematics underlying the pricing of derivatives.

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 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.
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Students of derivative pricing techniques are often in a dilemma: Coming from their MBA or undergrad course, they have just build a "Brealy- Myers" type of intuition on options. Moving towards Hull then allows a deeper understanding. But any serious (e.g. PhD, Wall Street Analyst) student of derivatives needs to understand the math behind modern derivatives pricing. Essentially, this research divides into two streams: Solving Partial differential equations and developing equivalent Martingales. Without a rigorous pre-education (Math, Physics), most students fail to understand (let alone learn to use) these methods. Nefci is the only book that does not assume lots of prior knowledge, as compared to Merton (1992) or Duffie (who is so bold to write "for mathematical preparation little beyond undergraduate analysis...is assumed" - ask PhD Students how easy this book reads! The answer is its tough!!). In Short, Neftci's book is a true blessing for all "normal" people. Can't wait to get the second edition!
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Not only an excellent source on the math of derivatives pricing, but on stochastics itself. Found all of the generous examples intuitive. Great listings of other sources - not just a huge bibliography to impress other academics. You need this book, even if you don’t think you need it.- Especially if you find Hull wanting, Duffie too dense, and you just don’t know why Baxter mentions change of measure.
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Neftci has written an excellent heuristic treatment of what might be called Financial Calculus - the theory of derivative pricing. I enjoyed reading every single chapter, even the ones whose contents I already knew; each of the chapters gives an insightful & complete view of its topic (many times from a fresh perspective) written in an amazingly clear style. I was never once mystified by what I read. Baxter, the author of Financial Calculus, could take lessons from this guy. A good companion work to the other works on financial calculus. As noted by other reviewers, the price is cheap.

(From quoting an American reviewer)

Target readers: Securities analysts, portfolio managers, investment consultants or any other investment professional, business school lecturers, academics, finance graduates and undergraduates, and MBAs.

Better with Principles of Financial Engineering (Academic Press Advanced Finance) :

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