Principles of Financial Engineering

Principles of Financial Engineering

4.12 (24 ratings by Goodreads)
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Description

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.
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Product details

  • Hardback | 556 pages
  • 190.5 x 261.6 x 38.1mm | 1,428.83g
  • Academic Press Inc
  • San Diego, United States
  • English
  • 0125153945
  • 9780125153942
  • 1,416,493

Table of contents

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
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Review Text

"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
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Review quote

"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
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About 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.
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Rating details

24 ratings
4.12 out of 5 stars
5 38% (9)
4 42% (10)
3 17% (4)
2 4% (1)
1 0% (0)
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