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

An Introduction to the Mathematics of Financial Derivatives (Academic Press Advanced Finance) [Kindle Edition]

Salih N. Neftci
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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)


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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Die hilfreichsten Kundenrezensionen
6 von 6 Kunden fanden die folgende Rezension hilfreich
5.0 von 5 Sternen Comprehensive analysis of derivative mathematics. 30. Juni 2000
Format:Gebundene Ausgabe
Finally, I have discovered the most comprehensive book on derivative pricing and structuring I could imagine. For some time now I have been looking for a companion to Hull to detail the processes, theory and mathematics involved in derivative pricing which has either been forgotten or not studied. The level at which the book is pitched is superb - it starts low enough to be grasped with little advanced mathematical knowledge, but advances rapidly in depth to please those advanced in mathematics and finance. I have not been through the book thoroughly enough to comment on errors, but in its second edition I would assume many of the errors in the 1st edition have been resolved. With seven new chapters, exercises and most of the 1st editions 15 chapters revised and expanded, it is without doubt the best book on derivative mathematics I have bought.
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5.0 von 5 Sternen A Great Book for a Non-Academic 20. Juli 2000
Von M. Kim
Format:Gebundene Ausgabe
Along with Paul Wilmott's books, I used this book to solidify my understanding of derivatives pricing. This book is accessible to those with elementary calculus and probability college courses.
A must-have for those who want to understand the nuts-and-bolts of math behind derivatives pricing.
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5.0 von 5 Sternen Great! 20. Juni 2000
Format:Gebundene Ausgabe
I greatly enjoyed the first edition of this book. It is a great introduction. It may be hard to believe but the second edition is even more useful. The vast number of practical and insightful problems have added a completely new dimension. Also, for interest rate derivatives, if you are a beginner, don't go anywhere else. First read this book. It should clarify several confusing points. The treatment of the main concepts in stochastic calculus on the other hand are to be enjoyed forever.
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No matter how finely we slice the time interval, they will still be partially unpredictable. &quote;
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sums are bounded from above, the function f (·) is said to be of bounded variation. &quote;
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Randomness of a stochastic process is in terms of the trajectory as a whole, rather than a particular value at a specific point in time. &quote;
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