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.
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)
- Author(s): Salih N. Neftci
- Number of pages : 560 pages
- ISBN-10 : 0125153929
- ISBN-13 : 978-0125153928
- Publisher : Academic Press; 2nd Edition (June 2, 2000)
- Language: : English