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An Introduction to the Mathematics of Financial Derivatives (Academic Press Advanced Finance) 2nd Edition

by Salih N. Neftci (Author)
4.4 4.4 out of 5 stars 55 ratings
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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.

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  1. ISBN-10
    0125153929
  2. ISBN-13
    978-0125153928
  3. Edition
    2nd
  4. Publisher
    Academic Press
  5. Publication date
    June 2, 2000
  6. Part of series
    Academic Press Advanced Finance
  7. Language
    English
  8. Dimensions
    5.98 x 1.19 x 9.02 inches
  9. Print length
    560 pages
  10. See all details
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Page 1 of 1 Start overPage 1 of 1
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  1. A Primer For The Mathematics Of Financial Engineering, Second Edition (Financial Engineering Advanced Background Series)
  2. Options, Futures, and Other Derivatives, Global Edition
  3. Financial Calculus: An Introduction to Derivative Pricing
  4. The Mathematics of Financial Derivatives: A Student Introduction
  5. Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability, 53)
  6. Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
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Editorial Reviews

Review

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

PRAISE FOR THE SECOND EDITION:
"As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably."
JOURNAL OF ECONOMIC LITERATURE

"This book is a self-contained first step into mathematical finance, and it covers the fundamentals of the topic beautifully. The conclusions and references at the end of each chapter are very useful. The former provides a broad picture of each chapter's content. The latter offer invaluable links for those who would like a more detailed discussion..."
SIAM Review (Society for Industrial and Applied Mathematics)

Review

Includes 6 new chapters!

Product details

  • Publisher ‏ : ‎ Academic Press; 2nd edition (June 2, 2000)
  • Language ‏ : ‎ English
  • Hardcover ‏ : ‎ 560 pages
  • ISBN-10 ‏ : ‎ 0125153929
  • ISBN-13 ‏ : ‎ 978-0125153928
  • Item Weight ‏ : ‎ 1.89 pounds
  • Dimensions ‏ : ‎ 5.98 x 1.19 x 9.02 inches
  • Customer Reviews:
    4.4 4.4 out of 5 stars 55 ratings

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Salih N. Neftci

Salih N. Neftci

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Customer reviews

4.4 out of 5 stars
4.4 out of 5
55 global ratings

Top reviews from the United States

Marc
5.0 out of 5 stars Hits the mark very well, just know if this is the book for you!
Reviewed in the United States on January 24, 2011
Verified Purchase
First, this book hits the mark 100% and it fills a specific void in derivative books.
And that is really the key as to whether you find this book perfect or if you finding it lacking.

It is an intro to the core math background and concepts that are a required before progressing deeper into the other treatments on derivatives.

The coverage of derivatives is deep enough for someone who has the math background to understand how Stochastics are applied to finance. So yes, if you have a rigirous background in math then you will find this lacking after you progress to other books. And maybe you do not even need this book.

However, students who have completed the fundamental math requirements and statistics courses will find that this book fills in a learning gap.
2 people found this helpful
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tommy lee kreger
5.0 out of 5 stars The best introduction to modern pricing models
Reviewed in the United States on May 14, 2023
Verified Purchase
For those of us who haven't used higher math in decades this book let's us in to the enter workings of modern derivative pricing models allowing use to better implement them in our trading strategies.
One person found this helpful
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G. Pritsch
5.0 out of 5 stars The best intro book ever!
Reviewed in the United States on July 14, 1999
Verified Purchase
Students of derivative pricing techniques are often in a dilemma: Coming from their MBA or undergrad course, they have just build a "brealy-myers" type of intuition on options. Moving towards Hull then allows a deeper understanding. But any serious (eg PhD, Wall Street Analyst) student of derivatives needs to undertstand the math behind modern derivatives pricing. Essentially, this research divides into two streams: Solving Partial differential equations and developing equivalent Martingales. Without a rigorous pre-education (Maths, Physics), most students fail to understand (let alone learn to use) these methods. Nefci is the only book that does not assume lots of prior knowledge, as compared to Merton (1992) or Duffie (who is so bold to write "for mathematical preparation little beyong undergraduate analysis...is assumed" -ask PhD Students how easy this book reads! The answer is its tough!!). In Short, Neftci's book is a true blessing for all "normal" people. Can't wait to get the second edition!
74 people found this helpful
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Sunanda Dutta
4.0 out of 5 stars Above average introduction to math finance
Reviewed in the United States on May 27, 2003
Verified Purchase
I do not know why people are against this book. The title clearly says "introduction". True, it does little to provide deep insights into financial modeling, but it does give a preliminary idea into the math involved, and does a good job of walking you into the subject gently. The layout is a little chaotic, but with a judicious choice of subjects, that will not be much of a problem. The problems are the worst part- half of them do not have any relevance considering the chapter in question, and some incorporate concepts which are not mentioned in the book.
The book itself is clear and concise. The intuitive idea about measure and stochastic integral is very nice. Also, after going through this book you will be able to progress into the deeper math quite nicely. Its worthwhile buying this book..
5 people found this helpful
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quant
5.0 out of 5 stars i found this book very helpful
Reviewed in the United States on December 6, 2011
Verified Purchase
the reason i like this book is that it builds a lot of intuition. it is not math heavy, for that there are other books in the market. but it tells you why we need to do math this way...overall very good book seriously. With the exception of chapter 2, every other chapter was fun to read. chapter 2 was written very poorly...
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SICHEN LIU
5.0 out of 5 stars good
Reviewed in the United States on October 26, 2011
Verified Purchase
This book is my textbook to study master in financial engineering. However, it is a little difficult to me on stochastic. If you read this book, you must study and understand probability and statistic before.
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Nicola
5.0 out of 5 stars Excellent reading
Reviewed in the United States on May 5, 2014
Verified Purchase
This book is very well-written and contains excellent material for people like little-old-me, who need a bit of a helping hand and additional patience on the subjects of maths and derivative instruments. Thank you, author!
One person found this helpful
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O. E. Ergungor
1.0 out of 5 stars Kindle edition: piece of junk
Reviewed in the United States on March 1, 2013
Verified Purchase
The book itself deserves 5 stars. But the kindle edition is a piece of junk. Mathematical symbols did not transfer properly. What a shame!
One person found this helpful
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Top reviews from other countries

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TM
4.0 out of 5 stars L'une des meilleures introductions sur le sujet
Reviewed in France on July 8, 2016
Verified Purchase
Un classique des mathématiques financières, sans doute l'un des meilleurs compromis entre les approches purement financières, et les ouvrades de modélisation plus inspirés de la physique
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Tinu
5.0 out of 5 stars Best Best book for a great introduction to complexity of Financial Mathematics
Reviewed in the United Kingdom on November 24, 2012
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Mr Nuclear Physicists
You should have bought a book "Finance for Dummies" and not the great book by Neftci !

Guys believe me this is a great book which all financial engineering institutions should recommend or i should say enforce to the students.
This books provides you with depth coverage of foundations of Financial Mathematics which are unfortunately not covered by any book available. They all are either very complicated to understand or lack the reasoning
This book should be considered base for understanding Springer books of Steve Shreve, have to admit, which for me at least were very difficult to understand for start
I would also recommend to buy the Solutions manual for the book as the excercises are very good and helpful in more understanding of the topic
Also another book "Principals of Financial Engineering" is a great work as well.

I would recommend these 2 books above all of starter material by Wilmott, Springer

thanks and i hope this is helpful
vivek
2 people found this helpful
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Alpha_Beta
5.0 out of 5 stars Excellent book, very intuitive
Reviewed in the United Kingdom on July 28, 2016
Verified Purchase
Excellent book, very intuitive ,that is logical as Neftci is a master in the area, he goes direct to THE objective, he hasn't nothing to proof (by using ambiguous formulas);
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購入者
4.0 out of 5 stars いい本だが、誤植があるのが残念。
Reviewed in Japan on August 15, 2005
Verified Purchase
初学者にも読みやすいと、定評の本である。確かに数学の基礎があまり無い人（高校の数学レベル）でも読めるレベルである。ただ、第2版にしていまだに少なからず、誤植がある。また、時間関数と偏微分で同じ記号を使っているため混乱する。説明が丁寧すぎて、かえって分かりにくい部分が多くある。自習用にはいまだ薦められない。
彼のWeb　（[...])から,Solutions manualとErrata がダウンロードできる。Solutions manual は、Ph.D.の学生が作ったような感があり、１００％の信頼性はない。Errata（正誤表）は、第３者によって作られたものであるが、時間関数と偏微分で同じ記号を使っているための混乱を訂正しようとしている。しかし、その他の誤植についてはふれられていない。
One person found this helpful
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Iulian Sova
5.0 out of 5 stars Five Stars
Reviewed in the United Kingdom on August 31, 2017
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The best introduction on Stochastic Calculus, really simple to understand.
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