Description of An Introduction to the Mathematics of Financial Derivatives
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, and advanced MBA students who are specifically interested in these financial products. The Second Edition is designed to make the book 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.
'An excellent treatment of the mathematics underlying the pricing of derivatives.'
- John Hull, University of Toronto
'This book will be a major convenience to derivative 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
Contents of An Introduction to the Mathematics of Financial Derivatives
1. Financial Derivatives
2. A Primer on the Arbitrage Theorem
3. Calculus in Deterministic and Stochastic Environments
4. Pricing Derivatives
5. Tools in Probability Theory
6. Martingales and Martingale Representations
7. Differentiation in Stochastic Environment
8. The Wiener Process and Rare Events in Financial Markets
9. Integration in Stochastic Environments
10. Ito's Lemma
11. The Dynamics of Derivative Prices
12. Pricing Derivative Products
13. The Black-Scholes PDE
14. Pricing Derivative Products
15. Equivalent Martingale Measures
16. Tools for Complicated Derivative Structures
About Salih N. Neftci
Professor Neftci completed his PhD at the University of Minnesota. Currently he teaches at the Graduate School, City University of New York, ICMA Centre, University of Reading, UK, and at the University Of Lausanne, Switzerland. He is also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. He is the head of the FAME Certificate program in Switzerland. Professor Neftci is known for his books and articles. His books, An Introduction to the Mathematics of Financial Derivatives and Principles of Financial Engineering, are standard texts in most university derivatives courses. The more recent book, Principles of Financial Engineering, was selected as the runner up for The Book of the Year award by Risk magazine during 2004. His current research deals with pricing of contingent credit lines, the relationship between yield curve curvature and volatility. He is also working on using the Credit Default Swap prices to predict financial crises. Overall, Professor Neftci's research and teaching is in the areas of financial engineering, risk management of extreme events and in emerging market asset trading strategies. His latest papers deal with risk measurement using extreme value theory and volatility dynamics. Professor Neftci is a consultant to various financial institutions and teaches high-level courses on cutting-edge issues to advanced financial market professionals. He was recently a consultant with the World Bank and with the IFC. He regularly holds highly visible workshops for market professionals on Financial Engineering, Mathematics for Financial Derivatives, and Calibration Methods. Currently he is a Risk Management Advisor to IMF. Professor Neftci is also a regular columnist for CBN daily, a financial daily in Shanghai, the most influential financial newspaper in China. His columns dealing with current financial market activity are regularly quoted on sina.com and on sohu.com.
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