PRODUCT INFORMATION PAGE Introduction to the Mathematics of Financial Derivatives View and buy for $66.54 on Amazon.com

Here are some customer reviews of Introduction to the Mathematics of Financial Derivatives : 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! Neftci makes a valiant and serious attempt at explaining stochastic calculus and related mathematics of financial derivatives to the non-expert. I think he succeeds. The exposition may not be as rigourous as many people expect it to be, but that's the whole point of the exercise: to give the reader an introductory and motivated first exposure to risk neutral measures, martingales, stochastic differentiation and integration, Ito's lemma, PDE's, stochastic PDE's, equivalent martingale measures, Girsanov's theorem, and a lot more. This is definitely the very first book that a non-mathematician student of the subject should read. No doubt about that. I guess the burning question now is: Which book makes a natural second read? Baxter and Rennie? Bjork? Bingham and Kiesel? I think it should be one of these three. I came across this book in the library and found it to be absolutely stunning in its simple exposition of financial calculus. This book is highly suited for those interested in furthering their knowledge of derivatives beyond the undergraduate level. A must for any student of derivatives jus starting out. The first edition of Neftci's book became an instant classic in the world of the users and developers of derivatives models. Now Neftci has obliged us again, adding seven new chapters on recent and more complex material in this fast-changing field of applied mathematics. The new material focuses on normalization -- the technique of obtaining pricing equations for ratios of asset prices instead of for the prices themselves. Normalization is a very powerful tool for grapplig with dynamic situations. And as it happens one of its applications is to martingales, the relation of an asset price to the passage of time. Normalizing a martingale proves to be, in Neftci's words, "quite useful in pricing interest sensitive derivative instruments." Obviously not a book for the mathematically faint of heart, but the title provides sufficient warning! If this is the kind of book you want, then this book is the one of the kind you will need. Not only an excellent source on the math of derivatives pricing, but on stochastics itself. Found all of the generous examples intuitive. Great listings of other sources -- not just a huge bibliography to impress other academics. You need this book, even if you dont think you need it.-- Especially if you find Hull wanting, Duffie too dense, and you just dont know why Baxter mentions change of measure.

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