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Summary: An easy-to-read foundation book for option pricing
Review: This book is probably one of the easiest-to-read foundation materials for option pricings. The author employed very good examples in illustration of theories. Chapters on Girsanov's theorem and equivalent probability measure are particularly good. This book is one of my favorite. (Especially for its price!) =)
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Summary: Ties everything together
Review: This book is superb. The author seems to predict all the questions the reader might come up while reading and answers them in footnotes or in the main text. This type of progression lets the reader to clearly understand all the basic materials which are prereqs for other more advanced concepts. Before this one, I read the books by Hull and Wilmott. Hull's text was very good, but the material seemed rather disjoint. I really couldn't grasp the link between tree methods for pricing options, equivalent martingale measure to price options and lastly Black-Schole's PDE methods. However, Neftci links all these three concepts and shows that they are all equivalent under a few assumptions such as Markov. The book is worth reading for this purpose alone. Also, I found Hull's zero coupon bond pricing formula for different interest rate models a bit mysterious. Neftci first justifies the Feynman-Kac formula and beautifully derives a PDE for pricing bonds for these rate models. However, because the book is such a hassle-less reading the reader is left scratching his head when it comes to think about problems outside those presented in the text. For example, how can we price path dependent options or fix the error of assuming self-financing portfolio when deriving BS PDE. Also, the last chapter on optimal stopping time is full of errors and not explained well at all. Neftci probably included this chapter for completeness. There is a relatively minor commitment to reading this book but there is a huge payoff. The book reads like a novel and you are nowhere completely cheated since he mentions where he is doing all the handwaving. It clearly explains stochastic processes and explains concepts such as filtration, mean squared convergence, etc. which should prove fruitful when consulting more rigorous sources on it such as Oksendal, Bjork, etc. Anyways, don't take my words for it just try it for yourself. I am now reading Musiela and Rutkowski and it's a rather smooth transition from Neftci. PS: Who cares about mathematical rigor anyways. What stocks really follow geometric brownian motion with constant drifts and volatility, etc. There would be no progress made if we care about such nonsense. What matters is what works not what is most mathematically sound and well-defined.
Rating: 
Summary: very poorly written
Review: This book is very poorly written, and turns simple concepts into difficult ones. I highly recommend Hull's book as an alternative.
Rating:
Summary: very poorly written
Review: This book is very poorly written, and turns simple concepts into difficult ones. I highly recommend Hull's book as an alternative.
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Summary: one of the best read in fanancial derivatives
Review: This book is very special, it asks questions like what really means Black&Sholes formula of pricing options, things that other books don't mind to respond, I really appreciate this book. I didn't expect so much, when I ordered it, but yet on the first chapter I realize that I have bought one of the best book that exist in this so large literature, financial derivatives.
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Summary: Does exactly what it says in the title!
Review: This book was an enjoyable read (as maths texts go). It finds a nice balance between rigour and ease of understanding. Each idea is introduced slowly, which may frustrate a more advanced reader (I found it annoying that it kept hinting at the Ito integral, yet left the formal definition until 9 chapters in ). That apart, this is a great book for getting up to speed on stochastic calculus in a Finance setting. What is even better (and something I feel that some of the other reviews have failed to mention) is that at the end of each chapter it tells you where to look for more information. HENCE if the material is not rigorous enough, it at least tells you where to look for a more formal treatment. Worth the money.
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Summary: Readable
Review: This is a good book introducing mathematical finance to those who have little or no formal trainning in mathematics. This book is very readable and gives the readers an insightful overview of the topics. However, there are some careless mistakes (perhaps they are mine). If you are able to discover and correct them, you will find yourself really learnt from the author. Another weakness is that there is no exercise. You may think you learnt a lot by reading the chapters but I am sure that not many of you can apply the concepts! For those serious students, books on stochastic processes and partial differential equations should be consulted for a in depth understanding of the materials covered. I am looking forward to seeing a revised and enlarged edition.
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Summary: Mathematical Finance for Dummies
Review: This is a very easy to follow book that goes over some of the most difficult aspects of pricing theory. The explanations are very intuitive and don't become too mathematically messy.
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Summary: I have found this book very helpful
Review: While most MBAs are already separated into those strong in math who gravitate towards the mathematically more intense areas such as finance and those who head towards areas less mathematically intense such as marketing and organizational behavior, there are many of us who know we need to strengthen our mathematical understanding. For us, this book by Prof. Neftci is a gift! Now, I am NOT bashing marketing and organizational behavior. In fact, math can be used to great advantage in those fields, but you do find many who feel very uncomfortable with much beyond algebra and that is ok, too. And it is very possible to work in finance without understanding the math behind the tools and principles taught in the basic courses. However, if you want to go deeper than the basic courses this book can be a great next step. The truly mathematical seem to feel that this book doesn't go far enough and that may be true if you want to get to the very bottom of the subjects reviewed here. If you think of this book as an intermediate step that gives you more than the simple treatment you get in most MBA courses and not as intense as you would get in "Continuous Stochastic Calculus with Applications to Finance" and that is what you want then this book is for you (and for me). Plus there is a nice bibliography that can help you dive even deeper.
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Summary: A disservice to PDEs
Review: Yes, this is a friendly, introductory book, and that is no bad thing. The reader is very poorly served, however, by the author's treatment of PDE techniques. Ignorance of a field is no excuse to trash it, and the author betrays an almost complete lack of understanding of even the linear heat equation. This lapse is sadder for being completely unnecessary. Stochastic methods are beautiful and useful in their own right, and do not require a false comparison for motivation. Someone looking for intuition with their mathematical exposition should consider Baxter and Rennie's "Financial Calculus".
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