An Introduction to the Mathematics of Financial Derivatives (PDF)
The increased interest in dynamic pricing models stems from their applicability to practical situations:...
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An Introduction to the Mathematics of Financial Derivatives, Second Edition, introduces the mathematics underlying the pricing of derivatives.
The increased 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. This updated edition has six new chapters and chapter-concluding exercises, plus one thoroughly expanded chapter. The text answers the need for a resource targeting professionals, Ph.D. students, and advanced MBA students who are specifically interested in financial derivatives.
This edition is also designed to become 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 and professionals with mathematical, technical, or physics backgrounds.
Salih Neftci was already suffering from gliosarcoma, a malignant brain cancer, while writing the second edition. It published just 5 months before his death on April 15, 2009.
- Autor: Salih N. Neftci
- 2000, 2. Auflage, 527 Seiten, Englisch
- Verlag: Elsevier Science & Techn.
- ISBN-10: 0080478646
- ISBN-13: 9780080478647
- Erscheinungsdatum: 22.06.2000
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- Dateiformat: PDF
- Größe: 2.52 MB
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"An excellent treatment of the mathematics underlying the pricing of derivatives."
- John Hull, University of Toronto, Canada
"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
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