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Principles Of Financial Engineering, 2nd Edition

Principles Of Financial Engineering, 2nd Edition


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About the Book

Its focus on financial engineering and the actual use of derivative instruments makes Neftci's book an extremely useful complement to the standard introductions to derivative pricing and financial mathematics. The value of the text has been enhanced further by the addition of five chapters on structured products and credit derivatives not present in the First Edition.
Rudiger Frey, University of Leipzig

A very informative and intelligent book, very much in line with the previous work of Salih Neftci.
Helyette Geman, Birkbeck College, University of London; and ESSEC Business School

Since its publication in 2004, Neftci's book haw become the de facto reference text for financial engineering practitioners and academics. With renewed and extended emphasis on structured products engineering, Neftci keeps the material relevant and up to date for the current state of the financial markets
Dan Stefanica, Baruch College

Five new chapters, numerous additions to existing chapters, and an expanded collection of questions and exercises make this Second Edition an essential part of everyone's library Between defining swaps on its first page and presenting a case study on its last, Neftci's introduction to financial engineering shows readers how to create financial assets in static and dynamic environments. Poised among intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and, above all, pricing.

Salih N. Neftci is the head of the Global Finance program at The New School for Social Research in New York City. He also holds positions at FAME In Switzerland, the ISMA Contract the University of Reading, and the Hong Kong University of Science and Technology. He completed his Ph.D. at the University of Minnesota and taught at George Washington University and the City University of New York Graduate School. A consultant to international financial agencies, banks, and organizations, Professor Neftci wrote the popular An Introduction to the Mathematics of Financial Derivatives, now in its second edition. He makes his home in Switzerland.

Table Of Contents

  • Chapter 1 Introduction
  • Chapter 2 An Introduction to Some Concepts and Definitions
  • Chapter 3 Cash Flow Engineering and Forward Contrascts
  • Chapter 4 Engineering Simple Interest Rate Derivatives
  • Chapter 5 Introduction to Swap Engineering
  • Chapter 6 Repo Market Strategies in Financial Engineering
  • Chapter 7 Dynamic Replication Methods and Synthetics
  • Chapter 8 Mechanics of Options
  • Chapter 9 Engineering Convexity Positions
  • Chapter 10 Options Engineering with Applications
  • Chapter 11 Pricing Tools in Financial Engineering
  • Chapter 12 Some Applications of the Fundamental Theorem
  • Chapter 13 Fixed-Income Engineering
  • Chapter 14 Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading
  • Chapter 15 Volatility as an Asset Class and the Smile
  • Chapter 16 Credit Markets: CDS Engineering
  • Chapter 17 Essentials of Structured Products Engineering
  • Chapter 18 Credit Indices and Their Tranches
  • Chapter 19 Default Correlation Pricing and Trading
  • Chapter 20 Principal Protection Techniques
  • Chapter 21 Caps/Floors and Swaptions with an Applications to Mortgages
  • Chapter 22 Engineering of Equity Instruments: Pricing and Republication
  • References
  • Index


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Product Details
  • ISBN-13: 9788131222942
  • Publisher: Elsevier
  • Binding: Paperback
  • ISBN-10: 8131222942
  • Publisher Date: 2009
  • Language: English

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