Average customer rating:
- Good Companion Book
- Good book
- Very thoughtful and clear explanation of financial math
- sophisticated maths
- Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications
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Introduction to the Mathematics of Financial Derivatives
Salih N. Neftci
Manufacturer: Academic Press
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Similar Items:
-
Options, Futures and Other Derivatives (6th Edition)
-
Principles of Financial Engineering (Academic Press Advanced Finance)
-
Financial Calculus : An Introduction to Derivative Pricing
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Heard on the Street: Quantitative Questions from Wall Street Job Interviews
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Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)
ASIN: 0125153929 |
Book 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.
Customer Reviews:
Good Companion Book.......2007-08-29
good companion book for the other book "Principles of Financial Engineering" by the same author
Clear and easy to understand treatment. The author does not assume a high level of math knowledge of the reader.
Good book.......2007-05-09
As title states this is a good Introduction to the mathematics of derivatives.
If you're looking for some book with C/C++/C#/Java code samples this isn't the book. Indeed a good mathematical introduction; its pre-requirements are a good mathematical and statistical ones.
Very thoughtful and clear explanation of financial math.......2007-02-05
I turn to this book after I get frustrated with Tomas Bojork's book "Arbitrage Theory in Continuous Time." As I am not from a strict math background, this Neftci's book makes much more sense to me. What I particularly like about this book is explanation in plain English of why the mathematical formulae are so, and how they are connected to the bigger picture. Also Neftci has a good grasp of how many real-life examples included in this book so that it doesn't lose its focus on the real math in finance.
sophisticated maths.......2006-06-16
Neftci takes us on a mathematically sophisticated tour of financial derivatives. The treatment is on a level akin to a senior-level undergrad text on physics or engineering. Indeed, to a reader who might come from that background, there will be a lot of similarities and familiar ideas.
For example, partial differential equations arise naturally in the pricing of derivative assets. But unlike many places in physics, here it is not sufficient to assume smoothly varying variables. The inherently discrete nature of most financial variables means that derivatives have to be approximated numerically.
Neftci also describes the various types of options, like basket, knock-out, multi-asset and so on. Each has a slightly different modelling. Another key idea involves the time aspect of pricing. So Wiener processes naturally arise, and the text shows how to handle these.
Much more is covered in the book. Perhaps just as importantly, it gives you enough maths preparation that you should be able to analyse other new types of financial instruments. Maybe even ones that you create yourself.
Remarkable Introduction to Serious Math, Serious Finance, and Real-World Applications.......2006-06-14
Neftci's book is easily grouped into a large number of texts that provide graduate level (considerable more rigorous than the MBA version) introductions to mathematical finance. Some are written for MBA with want to be exposed to as little math as possible without short changing the financial and valuation aspects and with considerable attention to a broad range of financial products and applications (Hull's classic comes to mind). Others are extremely implementation driven and are more a hybrid of finance and computer programming (Duffy, London, Wilmont). Still others are math books that speak above the heads of almost all practitioners and cover the finance topics poorly (or not at all).
Netfci's book is a rare gem in this field. Excellent coverage of financial topics and fundamentals (Arbitrage Theorem, Forwards Futures, Equity Derivatives, Interest Rate Derivatives), serious graduate level review of financial math and mathematical techniques (Probability, Numeric Processes, Binomial Methods, Stochastic Calculus, Finite Difference, Martingales, Monte Carlo methods), and applications (Bond Pricing, Term Structure Modeling, Exotic Options, Rare Event Modeling).
Best of all, it start assuming very little, builds aggressively, and progresses logically.
The biggest drawbacks are a lack of coverage for credit modeling and credit derivatives, Merton-model and contingent claim models for distressed equity, and more common financial engineering applications (hedging, rebalancing).
It is also remarkable well-written.
Book Description
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue.
Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Customer Reviews:
read this before going for it.......2007-04-25
The book covers the basics of credit risk modeling and derivative pricing (both structural and intensity type of models), explained in a clear style with enough detail to enable implementation (a rarity in financial literature!). Basics of the theory of stochastic processes and risk-neutral pricing are also covered. Calibration methods for the models are clearly explained. Due to the limited scope, some topics are given only cursory coverage (Copula function methods, role of interest-rates models etc.), but even then, enough references are provided. A very useful, concisely written tome!
Very bad presentation. I was bored to death before I finished the first 20 pages.......2007-04-16
The author should rewrite this book. The presentation and organisation are terrible. Often you will see formulas come out without an explanation.
Would definitely not recommend it.
Grab any papers wrote by the market-practitioners, you will find they are much easier for you to understand the concepts of various credit derivatives models than the book could.
BTW, I wrote a negative review in amazon.co.uk, but was deleted twice.
Great but Incomplete Tech for Quantitative Credit Traders / Analysts.......2006-12-06
Schonbucher's book has major strengths:
1) the bredth and un-biased approach to a broard range of methods for pricing and identifying (pseudo-)arbitrage opportunities including approaches based on reduced form / intensity models, structural/statistical/Merton-like models, and credit rating based approachs to modeling and trading credit.
2) The emphasis on implementation issues -- issues and problems bootstrapping and fitting credit curves, impact of product and market specific risk premium in credit spread than inflated market-implied default probabilities -- is very good and his chapters on modeling market-implied recovery assumptions and recovery modeling are also very good.
The major drawbacks are that is
1) It is sufficiently mathematical, but not strong enough in explaining the mathematics, such that anyone who can undedrstand the book probably already has a good handle on the space.
2) It spends a good deal of time on interesting but only marginally relevant modeling approachs (like the credit rating discussions and modeling counter-party risk) but misses key opportunities (like cash-cds convexity and basis trading) that many need for their day jobs.
3) Recent innovations like recovery products, loan and preferred CDS, and greater liquidity in basket and coorelation products either post-date the text or are not covered well enough to be of practical use.
That said, it is still one of the two four and five texts I have seen in the space (if you are considering the book also look at Geoff Chaplin's excellent text. Many people rave about Credit Derivatives by George C. Chacko et al. but I haven't yet read this, so don't have an opinion other than people I have high regard for like the book a lot.)
excellent book but hard to understand.......2006-11-11
The book is written by a Professor in a insightful way.
The reader needs to be well prepared in knowledge, and be ready for frustration.
Excellent intermediate book.......2005-10-20
The book is a look at credit risk through the glasses of mathematics, and is not a beginner's book. It is a bit dry in the beginning, yet after that I discovered lots of valuable intuitive explanations. While it does require a certain level of probability knowledge, the author walks you through most necessary steps for the presented models. The book covers almost everything needed for an intermediate course on credit modelling. The lack of numerical implementation menthods took the last star.
Book Description
Swaps and Other Instruments focuses on the pricing and hedging of swaps, showing how various models work in practice and how they can be built. The book also covers options and interest rates as they relate to swaps, as they are often traded together. The book will include coverage of all the latest swaps including credit, commodity and equity swaps. Exercises and simulations are also provided on an accompanying CD ROM, including Excel spreadsheets enabling the reader to simulate and build their own spreadsheet models.
Customer Reviews:
If you trade swaps, this is one book you have to have........2004-08-28
This book fills a huge gap in linking a diverse number of products together. From cross currency swaps to swapping bond issues to floating structures, as well as optionality and fixed income risk management as it should be done. Swaps and other Derivatives is the culmination of Richard Flavell's long and respected career in the markets, giving back to the reader exactly what you need to know..in a practical form. No heavy math, just good clean excel style pricing examples.
an excellent book for pricing swaps.......2004-06-26
give clear excel examples on how to implement swap calculation.
Excellent field guide.......2004-02-20
This is definitely the best book in the market for Swaps and related derivatives. The level of detail is extraordinary in comparision with other available books. Leaves very little gaps which means it is easy to apply the knowledge in practical situations.
Most books lean either towards the technical/quantitative side or the financial business side. Richard Flavell's books is a much-needed well rounded book on the issue. Definitely a much better book than Satyajit Das/Fabozzi books.
I wish Richard Flavell would write more. If you're buying one book on Swaps and related OTC derivatives, its got to be this one!
Flavell's book find the right balance.......2002-07-14
Whilst I have only read the first 100 pages or so of Favell's book so far, my impression is very favourable. This is simply an excellent book that finds the perfect middle ground between academic texts and introductory works, both of which usually leave out practical market issues such as day count conventions, business day adjustments, rounding rules, interpolation concerns, available market data etc
As a quant working for financial software company finding the detailed information required to write documentation to drive software development is often difficult. This book supplies the level of detail needed, and also contains excellent descriptions of different pricing methodologies for interest rate swaps.
Later chatpers on risk management and pricing of other derivatives look equally impressive, and I look forward to reading them.
This is the best book on swaps that I seen so far; a definite improvement on Das in my opinion.
Book Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Download Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Customer Reviews:
Nice targeting, but some ptfalls.......2007-10-05
The subject of this book is very modern. Programming derivatives is the most hot issue nowadays. I think this book is one of the essentials for quant developers.
The problem is how much the author himself is accustomed at programming?
I found that the author used 'minus array index' many times in the contents. Does C++ supports minus array index like A[-10]? I don't think so. Perhaps I could be wrong, because I, myself, have forgot C++ programming language for several years, and IT world changes so fast.
But any programmers didn't confirm that C++ supports negative array index. Maybe JAVA does? I don't know. Anyway, the thing is that the source code in the book is not compilable without some deep experience. In those levels, I think Wilmott's code or (financial) recipes are more reliable and easy to handle.
Absolutely, this bookk is one of front runners. But don't expect too much.
Great Book.......2007-07-19
There are few financial books that fill the gap between
the raw theory and the practical implementation, this
is one of the best beside Clewlow & Strickland's "Implementing
Derivatives Models".
horrible code.......2007-07-04
I wasted too much time with the horrible code the book, it is a shame I hadn't read the other reviews before that.
most of the code in the book does not compile.
this book does not pay off.......2007-06-09
This book has to much code (also for developers!), almost nothing of a high level description of the code (UML? some picture? APIs?), and a quite short mathematical formulation and explanation. The combination is a book that tals about everything but does not help to undersatnd nothing.
I do not know if the problem comes from the many pages (that will imply a bigger price) or to the strategy. I would prefer a better understanding of the patterns involved in the the development...
Not received the product.......2007-03-12
I have not received the product yet. How am I to write a review!
Book Description
Fully revised and updated
Here is the only comprehensive source that explains the various instruments in the market, their economic value, how to document trades, and more. This new edition includes enhanced treatment of U.S. and worldwide regulatory issues, and new product structures.
"If you want to know more about credit derivatives--and these days an increasing number of people do--then you should read this book."
--Merton H. Miller, winner, Nobel Prize in Economics, 1990
"Tavakoli brings extraordinary insight and clarity to this fascinating financial evolution . . ."--Carl V. Schuman, Manager, Credit Derivatives, West LB New York
Janet M. Tavakoli (Chicago, IL) is Vice President of the Chicago branch of Bank of America, where she directs the company's overall marketing of global derivatives and manages its CreditMetrics initiative.
Customer Reviews:
Great Book.......2007-03-31
Great book for introduction of CDS and other structured products. I work in risk and this book helped clarify several things.
a practical guide.......2006-10-31
This is a good book about how credit risk derivatives are handled in the daily practice of a big international bank. Although the author clearly knows her math the book contains hardly any formula. Since I am a model builder and most clients of our treasury consultancy firm are medium seize companies there initially was a misfit. However this book is a very good antidote for people putting too much faith in mathematical models. I can not help being one of them. I liked the down to earth approach very much. In the end I learned a lot more than I thought I would.
Recommendation from a Credit Derivatives Trader.......2005-10-15
This is my fourth purchase; this one is for a new analyst I hired. I have read Janet Tavakoli's book as well as all of the current literature on credit derivatives. This book is one of the best books on derivatives I have read in terms of style of writing and content (I'm not after the mathematics on finance; there are plenty of those). I am a current successful credit derivatives trader.
Good collection.......2005-03-27
I am a Fin Math student and by now a Google search expert. I do have this book from my library and it requires patience .
Personally I would keep it that way borrow from a library and read free research on the net with more math. It is a good buy for a practioner who needs to refer various structures and market structure in one place. The author has definetely put in effort to collate all her years of market experience.
Derivatives Sales view:.......2004-03-24
POSITIVE POINTS: Best indepth book on Credit Derivatives. Very readable. Explains very nicely why this derivatives are so important for banks. Non technical.
NEGATIVE POINTS: Focus on banks with only a little chapter on Credit Derivatives as investment products. No explanation how those derivatives are priced (but hey, there are loads of technical books)
Book Description
Accounting for Derivatives and Hedging, by Mark Trombley, is a short (250-page) supplement for Advanced Accounting and other upper level accounting courses. While many books used for these courses contain some coverage of Derivatives, professors must spend valuable time preparing their own materials in order to thoroughly cover this complex subject. Trombley's text provides the desired information and detail, allowing faculty to cover derivatives in class without a lot of prep work. Using simple but realistic examples, Trombley explains options, forwards, futures, swaps, and other types of derivatives, and helps students understand applications of derivative financial instruments.
Customer Reviews:
Nice attempt, fails in execution.......2004-11-20
The book provides an introduction to the accounting for derivatives. Its attempt is good, but it fails because it attempts to cover too much and worse it is riddled with mistakes. Many examples have one or more errors, making the book frustrating to follow.
Book Description
Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets.
Customer Reviews:
Me thinks some reviewers protest too much.......2004-07-11
This book has been damned for being too simplistic, therefore consign it to the trash cart, or so we are expected to do. But given the relative novelty of these financial products simplicity in the best sense of word could be seen as a virtue in any work dealing with this topic. So, why the evident annoyance from some. Could it be that this work dissolves some of the mystery involved, and threatens some closed shop in these markets ?
Outdated and Shallow.......1999-09-02
The book easily shows its age in its focus on standards and issues which have long ago fallen by the wayside in this dynamic market. Far worse is that the book is preciously short on quantitative and analytic methods, and long on third-grade-teacher types of admonishments. I read the whole book becasue I paid for it, there are better, more up-to-date volumes out there. Could possibly be re-named "Swaps for English Majors", although, English majors as a group might correctly be upset at this association.
Average customer rating:
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Managing Risk in the Foreign Exchange, Money and Derivative Markets
Heinz Riehl
Manufacturer: McGraw-Hill
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Binding: Hardcover
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ASIN: 0070526737 |
Book Description
A professional's guide to controlling risk when investing in the foreign exchange and money markets. Particular emphasis on the use of derivatives. The book offers a unique perspective combining coverage of all three areas.
Average customer rating:
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Derivatives Accounting and Risk Management
Manufacturer: Risk Books
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ASIN: 1904339271 |
Book Description
Comprising views from the leading industry experts this new volume contains current and highly topical assessments of the latest auditing and accounting standards for the ever-growing derivatives market - presented through practically focused, results-driven content designed to keep you up-to-date in your everyday work.
Provides auditors and accountants with a current and comprehensive guide to auditing standards for derivatives. Covers definitions of derivatives, current problems in auditing them, current and future audit plans, audit tests, as well as what constitutes a true and fair view of a company's accounts. Updates your auditing methods and skills to incorporate IAS 39, including an assessment of its pros and cons, and additionally covers of the practical implementation issues of SAS 92, FASB 133 and others. Highlights the risks present in current derivatives auditing techniques and illustrates how new accounting standards can help reduce them. In-depth coverage of: derivative instruments, including their applications, key risks and control; auditing employee compliance risks; key concepts for the internal auditor when approaching credit risk; and derivatives disaster case studies. The advent of international accounting standards such as IAS 39 and the growing importance and variety of derivatives used in risk management has focused debate on the pros and cons of the current and proposed hedge accounting standards and new audit tests. To give you a broad understanding of the field, this title combines the unique knowledge of experts from both the private and public sectors, as well as the latest insights from leading academics to answer such questions as:
- What constitutes a true and fair view of a company's accounts? - How will the new standards affect the risk management practices of banks and corporates? - What are the consequences for overall market volatility? - What tests can auditors apply in order for them to confidently sign off on a company's accounts? - What are the key risks associated with derivatives?
Book Description
Structured Credit Products are one of today's fastest growing investment and risk management mechanisms, and a focus of innovation and creativity in the capital markets. The building blocks of these products are credit derivatives, which are among the most widely used products in finance. This book offers a succinct and focused description of the main credit derivative instruments, as well as the more complex products such as synthetic collateralised debt obligations.
The book features:
- Detailed product descriptions and analysis
- Case studies on US, European and Asian transactions
- Latest developments in synthetic structures.
Written in an accessible style by an acclaimed author in the field of finance, this book is aimed at the entire banking, securitisation and fund management market.
Customer Reviews:
Useful book.......2006-01-16
Choudhry has done well in expressing this sometimes difficult subject. Worth the money as ever!
Same Old.......2005-09-02
I bought this on the strength of another review, but was very disappointed. Much of the book is not new, and what is new seems cloned from previous publications. It seems this author puts out a lot of books after reading previously published research. That is reason enough not to pay $70 plus dollars. To add to the injury, the book is not a pleasant read. The writing style is oddly stilted.
Concise and practical.......2004-11-15
In my view, Choudry's new book on credit derivatives and synthetic securization is simply the best book in the market (at the moment). The book is extremely readable, with fantastic examples using many illustrated examples of cash flows and samples of Bloomberg pages. The book targest clearly market practitionars, while it doesn't neglect aspects like pricings of those instruments (you don't need to be a quant to understand the technical part). The author begins with the basics of credit derivatives, it's use in the market, Basel I and II, market size etc. and leads to more and more detailed dicussions of how those new instruments are used (ink. termsheet examples). A huge amount of information comprised in a relatively small book of 400 pages.
Fantastic job Mr. Choudhry. Thank you!
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- Monte Carlo Methods in Financial Engineering (Stochastic Modelling and Applied Probability)
- MP Principles of Auditing and Other Assurance Services with Updated Chapters 5, 6 & 7
- Nothing Down for Women: The Smart Woman's Quick-Start Guide to Real Estate Investing
- Office 2007 All-in-One Desk Reference For Dummies (For Dummies (Computer/Tech))
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- Prentice Hall's Federal Taxation 2007: Individuals (20th Edition) (Prentice Hall's Federal Taxation Individuals)
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