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Principles of Financial Engineering
- 1st Edition - April 16, 2004
- Author: Salih N. Neftci
- Language: English0
Principles of Financial Engineering presents a fresh, original, informative, and up-to-date introduction to financial engineering. Rather than introducing financial instru… Read more
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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
* 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
Introduction; A Review of Markets, Players, and Conventions; Cash Flow Engineering with Forward Contracts; Engineering Simple Interest Rate Derivatives; Introduction to Swap Engineering; Repo Market Strategies in Financial Engineering; Dynamic Replication Methods and Synthetics; Mechanics of Options; Engineering Convexity Positions; Options Engineering with Applications; Pricing Tools in Financial Engineering; Applications of Fundamental Theorem of Finance; A Framework for Fixed Income Engineering and LIBOR Market Model; Tools for Volatility Engineering: Volatility Swaps and Volatility Trading; Smile Effects in Financial Engineering; Engineering of Equity Instruments: Pricing and Replication
- Language: English
- Edition: 1
- Published: April 16, 2004
- Imprint: Academic Press
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Salih N. Neftci
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.
Affiliations and expertise
Late of the Global Finance Master’s Program, New School for Social Research, New York, NY, USA