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Principles of Financial Engineering


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Bestselling author updates this highly acclaimed text on the fast-paced and complex subject of financial engineering

Table of Contents

1. Introduction 2. Institutional Aspects of Derivatives Markets - An Introduction to Some Concepts and Definitions 3. Cash Flow Engineering, Interest Rate Forwards and Futures 4. Introduction to Swap Engineering 5. Repo Market Strategies in Financial Engineering 6. Cash Flow Engineering and FX Contracts 7. Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds) 8. Dynamic Replication Methods and Synthetics 9. Mechanics of Options 10. Engineering Convexity Positions 11. Options Engineering with Applications 12. Pricing Tools in Financial Engineering 13. Some Applications of the Fundamental Theorem 14. Fixed-Income Engineering 15. Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading 16. Correlation as an Asset Class and the Smile 17. Caps/Floors and Swaptions with an Application to Mortgages 18. Engineering of Equity Instruments: Pricing and Replication 19. Credit Markets: CDS Engineering 20. Essentials of Structured Product Engineering 21. Essentials of Credit Structured Product Engineering 22. Default Correlation Pricing and Trading 23. Principal Protection Techniques 24. Counter-Party Risk, Multiple Curves, CVA, DVA, FVA, OIS

About the Author

Professor Neftci completed his PhD at the University of Minnesota. Currently he teaches at the Graduate School, City University of New York, ICMA Centre, University of Reading, UK, and at the University Of Lausanne, Switzerland. He is also a Visiting Professor in the Finance Department at Hong Kong University of Science and Technology. He is the head of the FAME Certificate program in Switzerland. Professor Neftci is known for his books and articles. His books, An Introduction to the Mathematics of Financial Derivatives and Principles of Financial Engineering, are standard texts in most university derivatives courses. The more recent book, Principles of Financial Engineering, was selected as the runner up for The Book of the Year award by Risk magazine during 2004. His current research deals with pricing of contingent credit lines, the relationship between yield curve curvature and volatility. He is also working on using the Credit Default Swap prices to predict financial crises. Overall, Professor Neftci's research and teaching is in the areas of financial engineering, risk management of extreme events and in emerging market asset trading strategies. His latest papers deal with risk measurement using extreme value theory and volatility dynamics. Professor Neftci is a consultant to various financial institutions and teaches high-level courses on cutting-edge issues to advanced financial market professionals. He was recently a consultant with the World Bank and with the IFC. He regularly holds highly visible workshops for market professionals on Financial Engineering, Mathematics for Financial Derivatives, and Calibration Methods. Currently he is a Risk Management Advisor to IMF. Professor Neftci is also a regular columnist for CBN daily, a financial daily in Shanghai, the most influential financial newspaper in China. His columns dealing with current financial market activity are regularly quoted on and on


"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 "Since its publication in 2004, Neftci's book has 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

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