Introduction to the Mathematics of Financial Derivatives

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.

Money, the Financial System, and the Economy (Addison-Wesley Series in Economics)

Average customer rating:

A well written text book
A mostly complete bridge across a chasm
nah don't buy it
Well written survey
Money, the Financail System, and the Economy

Money, the Financial System, and the Economy (Addison-Wesley Series in Economics)
R. Glenn Hubbard
Manufacturer: Addison Wesley Longman
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Binding: Hardcover

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ASIN: 0201847590

Customer Reviews:

A well written text book.......2007-02-07

This book is easy to read and explains the finacial markets and intermediaries well. I go to Ohio University and this is the primary text book for the class I am in, the chapters are relatively short and the questions are well laid out. We don't use the book enough for me to give it 5 stars.

A mostly complete bridge across a chasm.......2005-06-14

In future editions it'd be helpful to have a stronger discussion of imperfect markets. Hubbard's neo-classicism is what made G W Bush pick him to lead the Council of Economic Advisors. But to get a more full picture of finance (especially on the international scale) one should read this side by side with Stiglitz's "Globalization and its Discontents".

This is a great book for undergrads who are not economics majors - the market features are covered effectively, thoroughly, and without the jargon that characterizes most exchanges between seasoned economists.

This is a decent book for undergrad econ majors, although by the time most of us get around to Money & Banking or Financial Economics, we've had intermediate macro and micro and are juniors looking forward to internships. Still, the presentation is not overly complex, and the assumption that the student is a beginner does indeed help for those who missed a full grasp of some of the finer points of theory.

This is not a great book for grad students, although there really aren't any great books for grad students in financial econ. MBA students will focus more in detail on the derivative and futures markets, particularly in terms of pricing assets. MSF students have their modeling books. Econ students really have to turn to the journals to broaden their scope in terms of theory, and especially to find answers to the "What if's" of imperfect markets.

Written by a grad student in Economics at the University of Missouri - St. Louis

nah don't buy it.......2002-12-12

Please do yourself another favour this year by not buying this textbook. The writter had a difficult time explain the meaning of money and frequency confuse what he was wrtiing in chappeters.

Well written survey.......2000-03-09

Having taken only a few basic econ courses in college I was looking for a book that would explain the workings of the fed in detail. My main interest is in trading. I found this book to be perfect. It was neither too simple nor too complex. Everything was cogently written and accessible to a layman. I found answers to all my questions and it's organized in a manner that chapters can be read independently of one another. It will serve as an excellent reference manual.

Money, the Financail System, and the Economy.......1999-09-02

As a resource for undergraduate work, I found this text invaluable. If I had known of this work earlier in my academic career, it would have appeared in more of my research as a source. A must have for almost any general or specific economic study.

Average customer rating:

Money, Banking, and the Economy
Thomas Mayer , James S. Duesenberry , and Robert Z. Aliber
Manufacturer: W. W. Norton & Company
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ASIN: 0393968480

Practical Microfinance: A Training Manual

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Practical Microfinance: A Training Manual
Malcolm Harper
Manufacturer: Practical Action
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ASIN: 1853395633

Book Description

* essential addition to the microfinance armoury

* photocopiable training manual containing step-by-step descriptions
for 22 sessions

* extensively tested around the world

* free material available on the web

"Modern" or "new paradigm" microfinancial services are reaching perhaps as many as twenty million people worldwide. These services are being provided by existing banks which have added microfinance to their product portfolio, by specialized microfinance institutions (MFIs) and by non-governmental organization (NGOs) which offer microfinance along with other services. This training manual is designed to meet the needs of those who train staff for banks, MFIs and NGOs. It will enable them to provide effective training for those who work, or may in the future work, in the field of microfinance.

"Practical Microfinance" provides detailed step-by-step descriptions for twenty-two sessions which together offer a complete 5--10 day course on microfinance. The sessions may also be used individually, selected from to make up tailor-made courses, or integrated with other materials. The sessions cover a wide range of topics including: introduction to financial accounts; undertaking field visits; analysis of MFIs; group and individual lending; micro-insurance and micro-savings; and measuring the impact of microfinance.

The sessions have been extensively tested in courses at the Cranfield School of Management in the UK, and in a number of different institutions in India, Bangladesh, Pakistan, Kenya, Uganda and elsewhere.

The session exercise and case study handouts may be photocopied for participants or customized to meet trainees’ needs via freely available web files. An introductory chapter includes advice on how to use the material in the book and a list of recommended resources and full index are provided for ease of reference.

It is hoped that this manual will help improve the content and delivery of microfinance training and thus contribute to the greater availability of affordable, accessible and profitable financial services to the poor.

Average customer rating:

There are many books that survey the social condition of poverty...

More Pathways Out of Poverty

Manufacturer: Kumarian Press
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Microfinance Handbook: An Institutional and Financial Perspective (Sustainable Banking With the Poor)
Banker to the Poor: Micro-Lending and the Battle Against World Poverty

ASIN: 1565492293

Book Description

More Pathways Out of Poverty explores new practices in microfinance, some of them revolutionary, and draws on the success of the industry to illustrate the challenges involved in lifting clients out of poverty. Taken together, the contributions from leading microfinance leaders and institutions serve as a map for ensuring that microcredit contributes powerfully to cutting absolute poverty in half by 2015.

Customer Reviews:

There are many books that survey the social condition of poverty..........2007-02-09

If the title sounds familiar, it's because More Pathways Out of Poverty and its companion follows out the 2002 and 2006 books respectively, and offers new practices in microfinance and economics relating to poverty and social issues. There are many books that survey the social condition of poverty - but far less which examine economic strategies for circumventing poverty in the world. That's why college-level collections must have this - it provides a roadmap for recovery and comes not from ideals but from leading microfinance leaders and institutions determined to cut poverty by as much as half.

Diane C. Donovan
California Bookwatch

Women and Microcredit in Rural Bangladesh: An Anthropological Study of Grameen Bank Lending

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Women and Microcredit in Rural Bangladesh: An Anthropological Study of Grameen Bank Lending
Aminur Rahman
Manufacturer: Westview Press
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Give Us Credit

ASIN: 0813339308

Book Description

The first anthropological study of the Grameen Bank microlending program to rural poor women, focused on both economic and social processes to examine and understand grassroots microlending structure and its implications for women borrowers, societal members, bank workers and for the sustainability and growth of lending institutions.

Restructuring Sovereign Debt: The Case for Ad Hoc Machinery

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A Good Read!

Restructuring Sovereign Debt: The Case for Ad Hoc Machinery
Lex Rieffel
Manufacturer: Brookings Institution Press
ProductGroup: Book
Binding: Hardcover

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ASIN: 081577446X

Book Description

The Western powers established the International Monetary Fund (IMF) and the World Bank after World War II as "permanent machinery" to anchor the Bretton Woods system. When developing countries began experiencing debt problems in the late 1960s, the Paris Club took shape as "ad hoc machinery" to restructure debt from export credit agencies. A decade later the London Club process emerged to handle workouts of commercial bank debt. Restructuring debt in the form of bonds became an issue in the late 1990s in Argentina and several other nations, and the IMF recently proposed a permanent mechanism to deal with that challenge. Restructuring Sovereign Debt explains why ad hoc machinery would function more effectively in the Bretton Woods system.

By describing in detail the origins and operations of the London Club and Paris Club, Lex Rieffel highlights the pragmatism and flexibility associated with ad hoc approaches. He also recalls earlier proposals for creating permanent debt restructuring machinery and the reasons why they were not adopted. Recognizing that the issue of sovereign debt workout is complex, Rieffel has provided a comprehensive and detailed exposition of this important policy issue.

Rieffel's book is an important tool for policymakers and the public, particularly as the global community seeks to resolve the debt problems of countries as diverse as Argentina, Iraq, and Côte d'Ivoire.

Customer Reviews:

A Good Read!.......2004-07-29

Author Lex Rieffel writes with authority on the history of developing countries' debt crises. He describes this difficult and complex subject concisely and meticulously. To be sure, he wrote this text as an argument for a specific policy objective (keeping flexibility in the sovereign debt workout process), and does not shy away from hammering his point home multiple times. However, his agenda in no way diminishes the accuracy of his history or his factual descriptions of the entities that shaped it. The first four chapters are an excellent primer on the subject, and could stand alone. The later chapters provide a wealth of detail, perfect for those who need it, albeit a bit tedious for anyone not directly involved in sovereign lending. We recommend this book to bankers involved in making loans to foreign countries, to government policymakers in borrower countries and lender countries, and to anyone seeking a detailed exploration of how countries pay their debts.

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The Economics of Banking
Kent Matthews , and John Thompson
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The Economics of Banking describes and explains trends and operations in banking within an accessible microeconomic framework. It incorporates theory with the practical aspects of banking so as to set banking within the economics paradigm. A primary section on trends within banking leads on to chapters on the microeconomics of banking, market structure and regulation. The overall objective is to provide a mathematically accessible microeconomic context that will help students understand and analyze trends and operations in banking.

Download Description

Driven by the desire to boost the quality of service of wireless systems closer to that afforded by wireline systems, space-time processing for multiple-input multiple-output (MIMO) wireless communications research has drawn remarkable interest in recent years. Exciting theoretical advances have been complemented by rapid transition of research results to industry products and services, thus creating a vibrant new area. Space-time processing is a broad area, owing in part to the underlying convergence of information theory, communications and signal processing research that brought it to fruition. This book presents a balanced and timely introduction to space-time processing for MIMO communications, including highlights of emerging trends, such as spatial multiplexing and joint transceiver optimization. Includes detailed coverage of wireless channel sounding, modelling, characterization and model validation. Provides state-of-the-art research results on space-time coding, including comprehensive tutorial coverage of orthogonal space-time block codes. Discusses important recent developments in spatial multiplexing, transmit beam-forming, pre-coding and joint transceiver design for the multi-user MIMO downlink using full or partial CSI. Illustrates all theory with numerous examples gleaned from cutting-edge research from around the globe. This valuable resource will appeal to engineers, developers and consultants involved in the design and implementation of space-time processing for MIMO communications. Its accessible format, amply illustrated with real world case studies, contains relevant, detailed advice for postgraduate students and researchers specializing in this field.

Frontiers of the New Institutional Economics

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Frontiers of the New Institutional Economics
John N. Drobak , and John V.C. Nye
Manufacturer: Academic Press
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ASIN: 0122222407

Book Description

The New Institutional Economics incorporates a theory of institutions into economics. It builds upon the fundamental assumptions of scarcity and competition but abandons institutional rationality. Consequently, NIE assumes that individuals make choices based on incomplete information and limited mental capacity, forming institutions to reduce uncertainty in human exchange. These insights have implications for technological change, property rights, and public choice. The Frontiers of the New Institutional Economics presents new essays written specifically for this volume. These essays Provide an introduction to the nature and practice of the New Institutional Economics, with a special emphasis on economic history and political economy. Among the contributors are Nobel Prize winners Douglass North and Robert Fogel.

Key Features
* Contains essays by Nobel Prize winners Douglass North and Robert Fogel
* Presents a field of economics useful to students of political science and sociology.
* Applicable to studies of technological change, property rights, and public choice

Mainstreaming Microfinance: How Lending to the Poor Began, Grew, and Came of Age in Bolivia

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Mainstreaming Microfinance: How Lending to the Poor Began, Grew, and Came of Age in Bolivia
Elisabeth H. Rhyne
Manufacturer: Kumarian Press
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The Economics of Microfinance
The Fortune at the Bottom of the Pyramid: Eradicating Poverty Through Profits (Wharton School Publishing Paperbacks)
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Book Description

The history of the microfinance movement in Latin America is brought to life through the lens of the Bolivian experience in MAINSTREAMING MICROFINANCE. Microcredit in Bolivia grew and became successful in only a decade, lifting an enormous segment of the country's population into the financial mainstream in the process. The example of its high-achieving institutions charted a course for the development of the international microfinance field.

Drawing on participant interviews, Elisabeth Rhyne details how Bolivia's special breed of social entrepreneurs found the keys to unlock the huge unmet demand of informal clients. She explores how these social activists shaped the character of the institutions that now dominate Bolivia's microfinance sector, and traces how these institutions proved that lending to microenterprises could become a commerical business. Rhyne investigates the transformation of NGOs into formal financial institutions, led by the creation of BancoSol, and closely examines microfinance under the conditions of commercialization and competition that have altered the dynamics of the new industry.

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