Principles of Financial Engineering (Academic Press Advanced Finance)

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9780125153942: Principles of Financial Engineering (Academic Press Advanced Finance)

Bestselling author Salih Neftci presents a fresh, original, informative, and up-to-date introduction to financial engineering. The book offers clear links between intuition and underlying mathematics and an outstanding mixture of market insights and mathematical materials. Also included are end-of-chapter exercises and case studies. In a market characterized by the existence of large pools of liquid funds willing to go anywhere, anytime in search of a few points of advantage, there are new risks. Lacking experience with these new risks, firms, governmental entities, and other investors have been surprised by unexpected and often disastrous financial losses. Managers and analysts seeking to employ these new instruments and strategies to make pricing, hedging, trading, and portfolio management decisions require a mature understanding of theoretical finance and sophisticated mathematical and computer modeling skills. Important and useful because it analyzes financial assets and derivatives from the financial engineering perspective, this book offers a different approach than the existing finance literature in financial asset and derivative analysis. 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. It emphasizes developing methods that can be used in order to solve risk management, taxation, regulation, and above all, pricing problems. This perspective forms the basis of practical risk management. It will be useful for anyone learning about practical elements of financial engineering. Exercises and case studies at end of each chapter and on-line Solutions Manual are provided. It explains issues involved in day-to-day life of traders, using language other than mathematics. It offers careful and concise analysis of the LIBOR market model and of volatility engineering problems.

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Review:

"This is the first comprehensive hands-on introduction to financial engineering. Neftci is enjoyable to read, and finds a natural balance between theory and practice." - Darrell Duffie, James I. Miller Professor of Finance, The Graduate School of Business, Stanford University "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 practicioners 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 "...an excellent book on which to base an initial course in a financial engineering or mathematics program ... [It] has a breadth and consistency that make it an excellent introduction to what practitioners need to know." - Financial Analysts Journal

About the Author:

Professor Neftci completed his PhD at the University of Minnesota. Currently he teaches at the Graduate School, City University of New York, ICMA Centre, University of Reading, UK, and at the University Of Lausanne, Switzerland. He is also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. He is the head of the FAME Certificate program in Switzerland. Professor Neftci is known for his books and articles. His books, An Introduction to the Mathematics of Financial Derivatives and Principles of Financial Engineering, are standard texts in most university derivatives courses. The more recent book, Principles of Financial Engineering, was selected as the runner up for The Book of the Year award by Risk magazine during 2004. His current research deals with pricing of contingent credit lines, the relationship between yield curve curvature and volatility. He is also working on using the Credit Default Swap prices to predict financial crises. Overall, Professor Neftci's research and teaching is in the areas of financial engineering, risk management of extreme events and in emerging market asset trading strategies. His latest papers deal with risk measurement using extreme value theory and volatility dynamics. Professor Neftci is a consultant to various financial institutions and teaches high-level courses on cutting-edge issues to advanced financial market professionals. He was recently a consultant with the World Bank and with the IFC. He regularly holds highly visible workshops for market professionals on Financial Engineering, Mathematics for Financial Derivatives, and Calibration Methods. Currently he is a Risk Management Advisor to IMF. Professor Neftci is also a regular columnist for CBN daily, a financial daily in Shanghai, the most influential financial newspaper in China. His columns dealing with current financial market activity are regularly quoted on sina.com and on sohu.com.

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