An Introduction to the Mathematics of Financial Derivatives

Salih N. Neftci  ·  1996

Reference. Neftci, S. N. (1996). An Introduction to the Mathematics of Financial Derivatives (1st ed.). Academic Press. ISBN 978-0-12-515390-4.

  • Claim: Pricing derivatives needs only a small toolkit: stochastic calculus, martingales and change of measure.
  • Method: Itô’s lemma, the Black–Scholes PDE, Girsanov’s theorem and martingale pricing, built up step by step.
  • Matters: An early foundation, read through a Korean study-group translation of this 1st edition (1998). It sits behind the neural-network Black–Scholes paper review.
  • Connects to: Särkkä & Solin · FBAQuant: deep hedging with RL
  • Code: —
An Introduction to the Mathematics of Financial Derivatives cover
Cover of An Introduction to the Mathematics of Financial Derivatives on the Open Library.