An Introduction to the Mathematics of Financial Derivatives, Second Edition (Academic Press Advanced Finance) |  | Author: Salih N. Neftci
Publisher: Academic Press
List Price: $94.95
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Rating:  65 reviews
Sales Rank: 210674
Media: Hardcover
Edition: 2
Pages: 527
Number Of Items: 1
Shipping Weight (lbs): 2.8
Dimensions (in): 9.1 x 6 x 1.3
ISBN: 0125153929
Dewey Decimal Number: 332.632
EAN: 9780125153928
ASIN: 0125153929
Publication Date: June 2, 2000
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Product Description
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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Showing reviews 1-5 of 65
 Truly excellent! July 4, 2009
O. Ozsan
This book was recommended to me for its excellent introduction to stochastic calculus.
I spent much time reading the reviews before purchasing the book, as I wanted to ensure it a good return on investment.
This book is highly readable and very well written. It covers vast areas of the mathematics underlying financial derivatives pricing. As a practitioner I most valued the insight and intuition the book imparts, each topic is developed consistently and heuristically, leading to a qualitative understanding of assumptions and methodology which might not be initially apparent from more purely mathematical accounts when one is taking a first approach to a subject.
It is not a book on finance in the sense that Hull or Das might be -- but builds a good foundation of tools for Quantitative Finance.
Highly recommended.
The Best Beginner's Book on Stochastic Calculus Ever Written April 6, 2009
Anonymous Coward (USA)
3 out of 3 found this review helpful
This book can be summarized in one sentence:
It is the single most gentle introduction to stochastic calculus ever written.
Seriously. You will NOT find a more gentle introduction to this topic. Neftci took a very difficult topic and wrote a very simple and clear book on the subject material.
This book does not dot the i's and cross the t's the way Shrieve does. It's not the clever tour de force that Baxter and Rennie is. You will not be an expert in stochastic calc after reading it. Not by any stretch of the imagination.
However, you'll have a few things that are more valuable than being an expert at stoch calc:
1. You'll have a gut feeling for what all this stuff means. Ever take a really difficult class and you got A's on all the homeworks and tests, but at the end of the semester you scratch your head and wonder what the heck you just learned? Yes, Shrieve, Øksendal, and a whole bunch of others will make you an expert. But you'll get very little gut feeling understanding from those books. They teach you about calculations, and are very skimpy on the meaning or any kind of intuition. This book is ALL ABOUT intuition and meaning.
2. You'll learn what you need to know. Face it. Stoch calc is a part of all financial engineering programs. But how many quants really use it? For every Peter Carr or Bruno Dupire there are hundreds of quants whose main purpose in life is to calculate cashflow waterfalls on Excel or price a CDS using some company's automated CDS pricing program. For the VAST majority of us, stochastic calculus is mostly for our interviews. We're asked what Girsanov's theorem is. Maybe we're asked to price some weird derivative. Maybe. Most likely we're asked to compute something mindless like the change in some function of a stochastic variable. Unless you're interviewing for some kind of quant R&D position, everything you need to know for your interview is in this book. I promise you.
3. You'll be competent enough to have an intelligent conversation with someone about stochastic calc. You'll be in a better position to read and understand the more advanced books and actually "get it" rather than parrot a bunch of calculations.
I can guarantee you -- the people who don't like this book are either the wrong audience for it and should be reading something more advanced, or they're a bunch pretentious a******s who think that a book's value is proportional to how densely packed it is with arcane equations.
And, no, I don't shy away from nuclear chicken scratching. I have a PhD in theoretical physics. I've done my fair share of reading and writing chicken scratching. I'm not impressed by advanced formalism. It has a proper time and place. I *am* impressed by clarity of thought and exposition, and in this regard, this book is in a universe all its own.
Baxter and Rennie comes close, but their book is subtle and clever. And it doesn't cover the wealth of topics this book covers. I love their book, but this book is ultimately more useful. Think about the difference between Feynman's physics books compared to other beginning texts. To see the real beauty of Feynman's approach, you really need to know the topic.
One of my top book list in Financial Engineering January 21, 2009
Will Hau (Hong Kong, Hong Kong)
This book introduces mathematics of derivative in a clear way. Strong mathematical background is not required to understand the logic of the contents. The strength of the book is that it shows the relationship between PDE and the martingale method with good example. The proof of Ito lemma is easy to understand too. Paul Wilmott's book has skipped the proof. It is a good complement with Paul Wilmott's Quantitative Finance.
 Not a good book to read, even for beginners December 5, 2008
Bobby Karp
0 out of 1 found this review helpful
This was the first book I read (cover to cover) when I decided to consider quantitative finance. It was suggested to me by a friend.
Unfortunately the book offers very little in return for investing your time into reading it. I find it poorly edited; the author repeats certain things over and over again. It's true that he gives an introduction to the BS world, but it's just way too lengthy for an intro.
A good intro is Baxter & Rennie's: short, to the point, and informative. After that I find Shrieve's two volumes superb. Shrieve really knows what he is talking about, and I think he uses the right amount of math, and nothing more.
Conclusion: don't waste your time with Neftci, there are much better books out-there.
The Best Intro' November 19, 2008
Riaz Ahmad (7city Learning, London, UK)
1 out of 1 found this review helpful
The best introduction to Stochastic Calculus.
As a quant finance tutor on the 7city CQF course I have consistently (and without hesitation) recommended this text to course delegates and university students.
Showing reviews 1-5 of 65
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