Neftci, Salih

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Salih Neftci was a Professor at the Graduate School of City University of New York and in financial economics at the Graduate Faculty of the New School. He also had teaching assignments at HEC, Lausanne University. Professor Neftci was the Head of FAME Certificate program and a visiting professor at the ISMA Centre, Reading University.

Professor Neftci passed away on 16th April 2009 in a hospital in Switzerland where he was being treated for cancer.

Research interests

  • Numerical methods in financial asset pricing
  • Applications of the theory of extremes to risk management

Books

  • An Introduction to the Mathematics of Financial Derivatives, Academic Press, 2000 Available here
  • Principles of Financial Engineering, Academic Press, 2004 Available here