Principles of Financial Engineering (Academic Press Advanced Finance)

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9780125153942: Principles of Financial Engineering (Academic Press Advanced Finance)

Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies.

In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills.

Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems.

This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering.

* Exercises and case studies at end of each chapter and on-line Solutions Manual provided
* Explains issues involved in day-to-day life of traders, using language other than mathematics
* Careful and concise analysis of the LIBOR market model and of volatility engineering problems

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Book Description:

Best-selling finance author presents a fresh introduction to financial engineering

From the Back Cover:

On a topic where there is already a substantial body of literature, Salih Neftci succeeds in presenting a fresh, original, informative, and quite up-to-date introduction to financial engineering. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks, from John Hull's popular editions to more mathematical books such as one by Musiela-Rutkowski. The book introduces a rationale that can be used for obtaining synthetic instruments for any purpose. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems.

About the Author
Salih N. Neftci completed his Ph.D. at the University of Minnesota and subsequently taught at George Washington University, Boston College, and the Graduate Institute for International Studies in Geneva. He currently serves as a professor at the Graduate School of the City University of New York and at the ISMA Centre, University of Reading. Professor Neftci is also head of the FAME Certificate Program, an intensive 5-week training course of young market professionals and academics, and he participates in the FAME Ph.D. program as well. In addition to teaching, Professor Neftci works with financial institutions on applied pricing and risk management problems.

"Neftci's book captures much of the excitement of the recent surge of theoretical and practical work on financial engineering. A variety of readers
will be interested in this book, including lay people who are interested in better understanding how financial markets can be used to share and mitigate
risks and practitioners who are interested in constructing and valuing new securities."
- Thomas Sargent, Professor of Economics at NYU, and a Senior Fellow at the Hoover Institution, Stanford University

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