This book offers an introduction to the mathematical, probabilistic and numerical methods used in the modern theory of option pricing. The text is designed for

A comprehensive and self-contained treatment of the theory and practice of option pricing. The role of martingale methods in financial modeling is exposed. The

A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new o

This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, a

New Tools to Solve Your Option Pricing ProblemsFor nonlinear PDEs encountered in quantitative finance, advanced probabilistic methods are needed to address dime