Principles of Financial Engineering (Academic Press Advanced Finance) - Hardcover

Neftci, Salih N.

Hardcover

ISBN 10: 0125153945 ISBN 13: 9780125153942

Publisher: Academic Press, 2004

Synopsis

Principles of Financial Engineering presents a fresh, original, informative, and up-to-date introduction to financial engineering.

Rather than introducing financial instruments, this book describes the methods of synthetically creating assets in static and in dynamic environments, and shows how to use them. It offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. It emphasizes developing methods that can be used to solve risk management, taxation, regulation, and above all, pricing problems. It explains issues involved in the day-to-day life of traders, using non-mathematical language. It provides a careful and concise analysis of the LIBOR market model and of volatility engineering problems. Exercises and case studies at end of each chapter as well as on-line Solutions Manual are available.

This book will be a useful resource for anyone learning about practical elements of financial engineering. It can also serve as a resource for professionals and academics in all areas of quantitative finance.

* Exercises and case studies at end of each chapter and on-line Solutions Manual provided* Explains issues involved in day-to-day life of traders, using language other than mathematics* Careful and concise analysis of the LIBOR market model and of volatility engineering problems

About this title

About the Author

Professor Neftci completed his Ph.D. at the University of Minnesota and was head of the FAME Certificate program in Switzerland. He taught at the Graduate School, City University of New York; ICMA Centre, University of Reading; and at the University of Lausanne. He was also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. Known his books and articles, he was a regular columnist for CBN daily, the most influential financial newspaper in China.

Salih Neftci was already suffering from gliosarcoma, a malignant brain cancer, while writing the second edition. It published just 5 months before his death on April 15, 2009.

From the Back Cover

On a topic where there is already a substantial body of literature, Salih Neftci succeeds in presenting a fresh, original, informative, and quite up-to-date introduction to financial engineering. Seeking not to introduce financial instruments but instead to describe the methods of synthetically creating assets in static and in dynamic environments and to show how to use them, his book complements all currently available textbooks, from John Hull's popular editions to more mathematical books such as one by Musiela-Rutkowski. The book introduces a rationale that can be used for obtaining synthetic instruments for any purpose. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems.

About the Author
Salih N. Neftci completed his Ph.D. at the University of Minnesota and subsequently taught at George Washington University, Boston College, and the Graduate Institute for International Studies in Geneva. He currently serves as a professor at the Graduate School of the City University of New York and at the ISMA Centre, University of Reading. Professor Neftci is also head of the FAME Certificate Program, an intensive 5-week training course of young market professionals and academics, and he participates in the FAME Ph.D. program as well. In addition to teaching, Professor Neftci works with financial institutions on applied pricing and risk management problems.

"Neftci's book captures much of the excitement of the recent surge of theoretical and practical work on financial engineering. A variety of readers
will be interested in this book, including lay people who are interested in better understanding how financial markets can be used to share and mitigate
risks and practitioners who are interested in constructing and valuing new securities."
- Thomas Sargent, Professor of Economics at NYU, and a Senior Fellow at the Hoover Institution, Stanford University

Edition details

• Publisher: Academic Press
• Publication date: 2004
• Language: English
• ISBN 10: 0125153945
• ISBN 13: 9780125153942
• Binding: Hardcover
• Number of pages: 576