An introduction to the mathematics of financial derivatives
by Salih N. Neftci · first published 1996
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2010–2014first – last mentioned
100% recommend
"The step-by-step approach of this book makes it one of the most accessible and popular explanations of the mathematical models used to price derivatives. For the Second Edition, Salih Neftci has thoroughly expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background, and the math is lucid and fresh. His explanations of financial calculus are remarkable for their simplicity and perception."--BOOK JACKET.
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…NYU: http://www.math.nyu.edu/faculty/kohn/math-finance-lecture-no... Options, Futures, and Other Derivatives by Hull (considered one of the best books in this field, but I like the next one better) An Introduction to the Mathematics of Financial Derivatives by Neftci Numerical Methods in Finance and Economics: A MATLAB-Based Introduction (Statistics in Practice) by Brandimarte Also, we take a general C++ course. Coming into the program they wanted us to…
on “The ‘Final’ Frontier of Algorithmic Trading” ↗First of all, there's no "decent quant finance book" in existence. But there are attempts at it. Most notable are: - "An Introduction to the Mathematics of Financial Derivatives", by Neftci - Wilmott books aren't bad. - Brigo's "Interest Rate Models" is... flaky. It is a lot of material and seems to be quite rigorous, until some point most crucial for understanding, which gets…
on “Python for Finance” ↗