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:

Detailed but Comprehensible.......2007-10-14

This booke really helped me understand topics for a class I was taking. After reading it i almost felt like i understood change of measure and numeraire. one of the few books i'd recommend buying.

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.

Business, Economics, and Finance with Matlab, GIS, and Simulation Models

Average customer rating:

A great book that fills the gap
Guide to multifaceted simulation analysis
Excellent instruction and reference
Great book for business economists

Business, Economics, and Finance with Matlab, GIS, and Simulation Models
Patrick L. Anderson
Manufacturer: Chapman & Hall/CRC
ProductGroup: Book
Binding: Hardcover

General | Popular Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

General | Science | Subjects | Books

General | Mathematics | Science | Subjects | Books

General & Reference | Technology | Science | Subjects | Books

General | Arts & Photography | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Arts & Photography | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Computers & Internet | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 1584883480

Book Description

This book takes recent theoretical advances in Finance and Economics and shows how they can be implemented in the real world. It presents tactics for using mathematical and simulation models to solve complex tasks of forecasting income, valuing businesses, predicting retail sales, and evaluating markets and tax and regulatory problems. Business Economics and Finance with Matlab, GIS, and Simulation Models provides a unique overview of sophisticated business and financial applications. It describes models that have been developed for analysis of retail sales, tax policy, location, economic impact, public policy issues, and other challenges faced by executives, investors, and economists on a daily basis. It also offers groundbreaking insight into the many calculation and modeling tools that can be remotely hosted and run over the Internet, resulting in substantial user benefits and cost savings. This book is the first to fully explore the capabilities of MATLAB in the field of business economics, and explain how the benefits of sophisticated mathematical models can be provided to users via the Internet, using a thin-client environment. Many techniques directly incorporate geographic information and GIS in a way that was impossible until quite recently. Some techniques, such as fuzzy logic, retail sales, economic and fiscal impact models, and other Matlab and Simulink models, are described for the first time in print in this book. The sections on business income and value break new ground by directly incorporating uncertainty, real option value, and prediction of variables using Ito and jump processes. Using dozens of examples, hundreds of references, and rigorous explanations of both theory and practice, it will become a prized reference for analysts demanding the best techniques.

Customer Reviews:

A great book that fills the gap.......2004-09-21

As a doctoral student in Finance, I use Matlab a lot for modeling and computation. I had been searching for a reference book that can help me build simulation models using SIMULINK. But the only books available are in specialized fields such as physics or engineering. Patrick Anderson's book attract me immediately by its title. A combination of MATLAB, SIMULATION, GIS and Economics-- that's exactly what I was looking for. It managed to keep up with my high expectation with its highly informative content. The examples given were very well selected and close to application, corresponding Matlab code were neat. It kept surprising me with bonus tricks in using MATLAB(such as getting yahoo stock time seres directly using Matlab, creating XML files), which themselves are well worth the price. I recommend this book to researchers or analysts who want to stand at the frontier of business evaluation, and those who want to exploit the power of Matlab in business forecasting.

Guide to multifaceted simulation analysis.......2004-08-30

This book appeals to me for several reasons. It discusses sophisticated methods of valuing business enterprises, and critiques competing models with a matter-of-course approach. The reader is given the perspective and reference to related work. Pitfalls of prejudiced and lackadaisical estimation are shown with neat examples.

On the technical side, experienced MatLab users find good ready-to-implement tools, code segments, and references in the book. The book encourages the use of simulation analysis, and brings it down from its pedestal to business-management level as part of a standard business-planning procedure. Given the traditional disregard for detailed GIS data (springing from the absence of software and expertise), this book also brings up the role of multifaceted geography in business performance and strategy. While not a textbook in GIS methods, it fills a gap in reference literature and shows how loaded the concepts are.

Excellent instruction and reference .......2004-08-17

Anderson's book is equal parts course and reference guide for using Matlab and simulation models for business and economic analysis. It offers material for both those who have a strong understanding of the programs (though may be relatively new to economic, financial, or market analysis), and those who are just getting started with the program.

The book's greatest strength is the material on Matlab and simulation modeling, combined with the insight the author provides from his extensive experience as a consultant and industry economist.

It should be noted that this book is not an extensive guide to Geographic Information Systems (GIS). Although the book provides many helpful examples, and advice on incorporating GIS into business and economic analyses, this is not its emphasis. However, what it lacks in instruction in the area of GIS, it more than makes up for in its other content.

In all, this book is highly recommended. It provides fantastic instruction and reference in using Matlab and simulation modeling tools for business and economic analysis.

Great book for business economists.......2004-08-06

Most of the applied economic and finance books using a complicated software are very technical and not practical at all. Even though Anderson's book is very technical, it is very practical for business economics. Anderson's book is well-written and sophisticated but easy-to-read and follow. As a MATLAB user, I think this book is very helpful and user-friendly. Anderson provides many real-life examples from his work engagements. This will be one of the pillar books in every business economists' library.

Average customer rating:

Resource Economics a Great Book

Resource Economics
Jon M. Conrad
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

Natural Resources | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Manager's Guides to Computing | Business & Culture | Computers & Internet | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Computers & Internet | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 0521649749

Book Description

Resource Economics is a text for students with a background in calculus, intermediate microeconomics, and a familiarity with the spreadsheet software Excel. The book covers basic concepts, shows how to set up spreadsheets to solve dynamic allocation problems, and presents economic models for fisheries, forestry, nonrenewable resources, stock pollutants, option value, and sustainable development. Within the text, numerical examples are posed and solved using Excel's Solver. Through these examples and additional exercises at the end of each chapter, students can make dynamic models operational, develop their economic intuition, and learn how to set up spreadsheets for the simulation of optimization of resource and environmental systems.

Download Description

Resource Economics is a text for students with a background in calculus, intermediate microeconomics, and a familiarity with the spreadsheet software Excel. The book covers basic concepts, shows how to set up spreadsheets to solve dynamic allocation problems, and presents economic models for fisheries, forestry, nonrenewable resources, stock pollutants, option value, and sustainable development. Within the text, numerical examples are posed and solved using Excel's Solver. These problems help make concepts operational, develop economic intuition, and serve as a bridge to the study of real-world problems of resource management. Through these examples and additional exercises at the end of Chapters 1 to 8, students can make dynamic models operational, develop their economic intuition, and learn how to set up spreadsheets for the simulation of optimization of resource and environmental systems.

Customer Reviews:

Resource Economics a Great Book.......2000-10-13

When you read resource economic books the first problem you face is that the auther uses his or her own special experiance and builds the entire book based on this experiance, however Doctor Conrad uses plenty of real time cases to elastrate and point out his different objectives.

Mathematics for Economists (Economic Theory, Econometrics, and Mathematical Economics)

Average customer rating:

Mathematics for Economists (Economic Theory, Econometrics, and Mathematical Economics)
William Novshek
Manufacturer: Academic Press
ProductGroup: Book
Binding: Hardcover

Econometrics | Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

Theory | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Mathematics | Science | Subjects | Books

General | Business & Finance | New & Used Textbooks | Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Professional & Technical | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 012522575X

Book Description

This text contains the mathematical material necessary as background for the topics covered in advanced microeconomics courses. It focuses on two key components of microeconomics - optimization subject to constraints and the development of comparative statistics. Assuming familiarity with calculus of one variable and basic linear algebra, the text allows more extensive coverage of additional topics like constrained optimization, the chain rule, Taylor's theorem, line integrals and dynamic programming. It contains numerous examples that illustrate economics and mathematical situations, many with complex solutions.

Applied Environmental Economics: A GIS Approach to Cost-Benefit Analysis

Average customer rating:

Applied Environmental Economics: A GIS Approach to Cost-Benefit Analysis
Ian J. Bateman , Andrew A. Lovett , and Julii S. Brainard
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Hardcover

Economic Policy & Development | Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

Natural Resources | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

General | Real Estate | Business & Investing | Subjects | Books

Environmental Science | Earth Sciences | Science | Subjects | Books

General | Databases | Computers & Internet | Subjects | Books

General | Business & Finance | New & Used Textbooks | Stores | Books

All Amazon Upgrade | Amazon Upgrade | Stores | Books

Business & Investing | Amazon Upgrade | Stores | Books

Computers & Internet | Amazon Upgrade | Stores | Books

Science | Amazon Upgrade | Stores | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Computers & Internet | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

A Primer on Nonmarket Valuation (The Economics of Non-Market Goods and Resources)

ASIN: 0521809568

Book Description

The complex real-world interactions between the economy and the environment form both the focus of and main barrier to applied research within the field of environmental economics. However, geographical information systems (GIS) allow economists to tackle such complexity head on by directly incorporating diverse datasets into applied research rather than resorting to simplifying and often unrealistic assumptions. This innovative book applies GIS techniques to spatial cost-benefit analysis of a complex and topical land use change problem--the conversion of agricultural land to multipurpose woodland--looking in detail at issues such as opportunity costs, timber yield, recreation, carbon storage, etc.,

Download Description

The complex real world interactions between the economy and environment form both the focus of and main barrier to applied research within the field of environmental economics. However, geographical information systems (GIS) allow economists to tackle such complexity head on by directly incorporating diverse data sets into applied research rather than resorting to simplifying and often unrealistic assumptions. This innovative book applies GIS techniques to spatial cost-benefit analysis of a complex and topical land use change problem, the conversion of agricultural land to multipurpose woodland, looking in detail at issues such as opportunity costs, recreation, carbon storage, etc., and embracing cross cutting themes such as the evaluation of environmental preferences and the spatial transfer of benefit functions.

Applied Transport Economics: Policy, Management & Decision Making

Average customer rating:

Applied Transport Economics: Policy, Management & Decision Making
Stuart Cole
Manufacturer: Kogan Page
ProductGroup: Book
Binding: Paperback

Economic Policy & Development | Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

General | Transportation | Nonfiction | Subjects | Books

Mass Transit | Transportation | Nonfiction | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 0749439645

Book Description

* Fully updated third edition of an established transport textbook

Applied Production Analysis: A Dual Approach

Average customer rating:

Excellent reference source

Applied Production Analysis: A Dual Approach
Robert G. Chambers
Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

Microeconomics | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Industrial | Management & Leadership | Business & Investing | Subjects | Books

General | Engineering | Professional & Technical | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 0521314275

Book Description

This book contains a modern treatment of production economics from a dual perspective, with a special emphasis on recent developments in the field. The book prepares the reader to apply the tools and concepts of the dual approach production economics to real world problems and data sets. Among other topics covered are flexible function forms, aggregation across inputs and outputs using the theory of separable structures, aggregation over economic optimizing firms, the representation of multioutput technologies, and the analysis and measurement of technical change from both a primal and dual perspective.

Customer Reviews:

Excellent reference source.......2003-02-01

This book is an excellent reference guide for the experienced and inexperienced production economist. The last chapter is essentially a recap of the other six chapters, so if you're short on time, that's all you need. But, reading the first six will give a better idea of what he's really talking about. I recommend it highly.

Readings in Applied Microeconomic Theory: Market Forces and Solutions (Blackwell Readings in Contemporary Economics)

Average customer rating:

Readings in Applied Microeconomic Theory: Market Forces and Solutions (Blackwell Readings in Contemporary Economics)

Manufacturer: Blackwell Publishing Limited
ProductGroup: Book
Binding: Paperback

General | Popular Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

Theory | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

Readings in Social Welfare: Theory and Policy (Blackwell Readings for Contemporary Economics)

ASIN: 0631220704

Book Description

Readings in Applied Microeconomic Theory: Market Forces and Solutions presents both classic articles fundamental to microeconomic analysis as well as modern treatments of frontier issues in applied theory. Complementary standard textbook treatments, the readings and their bibliographies offer further coverage of fields such as game theory, decision making under uncertainty theory, and auction theory.Designed for students in advanced microeconomic theory, the book is accessible to students with diverse mathematical backgrounds. Although some selections contain mathematical treatments higher than the standard advanced level, all text presentation can stand alone to explain the material.The book concentrates on the forces generated by the market economy and the nature of the solutions created to deal with them. Kuenne's complementary Readings in Social Welfare: Theory and Policy examines solutions to social welfare issues.

Data Envelopment Analysis: Theory, Methodology and Applications

Average customer rating:

Data Envelopment Analysis: Theory, Methodology and Applications

Manufacturer: Springer
ProductGroup: Book
Binding: Hardcover

Microeconomics | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Operations Research | Management & Leadership | Business & Investing | Subjects | Books

General | Social Sciences | Nonfiction | Subjects | Books

Methodology | Social Sciences | Nonfiction | Subjects | Books

Statistics | Social Sciences | Nonfiction | Subjects | Books

General | Science | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books

Business & Investing | Qualifying Textbooks - Fall 2007 | Stores | Books

Nonfiction | Qualifying Textbooks - Fall 2007 | Stores | Books

Professional | Qualifying Textbooks - Fall 2007 | Stores | Books

Science | Qualifying Textbooks - Fall 2007 | Stores | Books
Similar Items:

ASIN: 0792394798

Average customer rating:

Applied Industrial Economics

Manufacturer: Cambridge University Press
ProductGroup: Book
Binding: Paperback

Labor Policy | Popular Economics | Business & Investing | Subjects | Books

General | Popular Economics | Business & Investing | Subjects | Books

Labor & Industrial Relations | Economics | Business & Investing | Subjects | Books

Microeconomics | Economics | Business & Investing | Subjects | Books

General | Business & Investing | Subjects | Books

Industrial | Management & Leadership | Business & Investing | Subjects | Books

General | Industries & Professions | Business & Investing | Subjects | Books

All Titles | Qualifying Textbooks - Fall 2007 | Stores | Books
ASIN: 0521629543

Book Description

This book is an important collection of papers published over the past ten years in American and European journals. Part 1 explains market structure as a function of sunk costs and market size. Part 2 illustrates the central role of pricing schemes (including parallel pricing, delivered pricing and competition clauses) in sustaining equilibrium outcomes in oligopolistic markets. Parts 3 and 4 give a game-theoretic foundation to competition policy and merger control. Louis Phlips offers a comprehensive introduction to the text in which he very carefully explains the reasoning behind his choice of papers, and provides a superb synthesis of the material.

Books:

Books Index

Books Home

Recommended Books