Overview

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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9780080478647

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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, Canada 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 As an introduction to the mathematics underlying the pricing of derivatives, the book succeeds admirably. - Journal of Economic Literature

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