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An Introduction to the Mathematics of Financial Derivatives
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| Sloppy introduction to financial derivatives | |
|  | Neftci provides an introductory text on the valuation of derivatives and discusses basic concepts without focussing on mathematical details. His casual and undemanding writing style allows for easy reading, and the reader quickly gains an overview of the field. To complete the somewhat superficial treatment, references and exercises are given at the end of each chapter. The book serves its goal as a primer and is apparently considered as a standard text by many financial practicioners (and recruiters).
However, the book was definitely not written with reasonable care. A great number of mistakes and typos can be found (even in the second edition), and you can never trust the formulas. Readers who feel confident of their mathematical skills will be okay, but since the book aims at beginners, this is a severe drawback. Also, the exercises do not always fit to the text and the solutions on the author's homepage are often faulty. With respect to the writing style, I normally embrace presentations that focus on insight rather than mathematical rigor. But still, handwaving is an art that goes beyond omitting proofs, and the text sometimes lacks clarity. On other occasions, statements are repeated again and again in almost the same words, which is not really helpful.
| | A Great Book for a Non-Academic | |
| | | Along with Paul Wilmott's books, I used this book to solidify my understanding of derivatives pricing. This book is accessible to those with elementary calculus and probability college courses. A must-have for those who want to understand the nuts-and-bolts of math behind derivatives pricing.
| | Comprehensive analysis of derivative mathematics. | |
| | Finally, I have discovered the most comprehensive book on derivative pricing and structuring I could imagine. For some time now I have been looking for a companion to Hull to detail the processes, theory and mathematics involved in derivative pricing which has either been forgotten or not studied. The level at which the book is pitched is superb - it starts low enough to be grasped with little advanced mathematical knowledge, but advances rapidly in depth to please those advanced in mathematics and finance. I have not been through the book thoroughly enough to comment on errors, but in its second edition I would assume many of the errors in the 1st edition have been resolved. With seven new chapters, exercises and most of the 1st editions 15 chapters revised and expanded, it is without doubt the best book on derivative mathematics I have bought.
| | | This book can be used for a course in Ito calculus in addition to a financial mathematics class. Every quant should own this book.
| | Still the best Intro I've seen on the subject | |
| | Author finally added much neeeded exercises, and has expanded book by 7 new chapters. Make sure you get the solutions manual to ensure you're doing them correctly.
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