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.
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Includes 6 new chapters!From the Back Cover:
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
"As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably."
--JOURNAL OF ECONOMIC LITERATURE
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.
About the Author:
Salih Neftci completed his Ph.D. at the University of Minnesota and subsequently taught at George Washington University, Columbia University, and the Graduate Institute for International Economics, Geneva. He is currently teaching at CUNY Graduate School, New York, New York, and ISMA Centre, University of Reading, UK. Professor Neftci is also a consultant to the Citibank New Products Group in Stamford, Connecticut, and has been a consultant to the World Bank, the U.S. Department of State, and the Agency for International Development. His teaching is in the areas of numerical methods in asset pricing, the mathematics of financial derivatives, emerging market asset trading strategies, and advanced risk management.
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Book Description Academic Press, 2000. Book Condition: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: 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. Bookseller Inventory # ABE_book_new_0125153929
Book Description Academic Press, 2000. Hardcover. Book Condition: New. 2. Bookseller Inventory # DADAX0125153929
Book Description Academic Press. Hardcover. Book Condition: New. 0125153929 This is a hardcover book. !!!!This is a 1st Edition!!!!!. Bookseller Inventory # 251.X7
Book Description Academic Press, 2000. Hardcover. Book Condition: New. Bookseller Inventory # P110125153929
Book Description Academic Press, 2000. Hardcover. Book Condition: New. book. Bookseller Inventory # 0125153929