Salih Nur Neftçi (14 July 1947 – 15 April 2009) was a leading expert in the fields of financial markets and
financial engineering
Financial engineering is a multidisciplinary field involving financial theory, methods of engineering, tools of mathematics and the practice of programming. It has also been defined as the application of technical methods, especially from mathem ...
. He served many advisory roles in national and international financial institutions, and was an active researcher in the fields of finance and financial engineering. Neftçi was an avid and highly regarded educator in mathematical finance who was well known for a lucid and accessible approach towards the field.
Background
Salih was born into a prominent wealthy Turkmen-Kurdish family with ties to the oil business (''neft'' is Arabic for oil). Until he was 11, he lived in Kirkuk,
Iraq
Iraq,; ku, عێراق, translit=Êraq officially the Republic of Iraq, '; ku, کۆماری عێراق, translit=Komarî Êraq is a country in Western Asia. It is bordered by Turkey to the north, Iran to the east, the Persian Gulf and K ...
. His mother, Nermin Neftçi was the vice chairman of Turkish parliament, and the first woman in Turkey to be so. His father moved along with the rest of the family to Turkey. He received his
B.S.
A Bachelor of Science (BS, BSc, SB, or ScB; from the Latin ') is a bachelor's degree awarded for programs that generally last three to five years.
The first university to admit a student to the degree of Bachelor of Science was the University ...
Ph.D.
A Doctor of Philosophy (PhD, Ph.D., or DPhil; Latin: or ') is the most common degree at the highest academic level awarded following a course of study. PhDs are awarded for programs across the whole breadth of academic fields. Because it is ...
in economics from the
University of Minnesota
The University of Minnesota, formally the University of Minnesota, Twin Cities, (UMN Twin Cities, the U of M, or Minnesota) is a public land-grant research university in the Twin Cities of Minneapolis and Saint Paul, Minnesota, United States. ...
in 1977. His dissertation is titled "Three essays in business cycle research." Throughout his life, Salih maintained close links with U.S. academia and the Wall Street.
Neftci was diagnosed with Gliosarcoma, a type of malignant brain cancer and died on 15 April 2009. In November 2009, the ''Salih Neftci Memorial Scholarship Fund'' was endowed in perpetuity at Baruch College to help promote education and awareness of the financial engineering field of study.
Teaching and research
Salih was one of the most productive researchers in financial engineering and taught in the areas of
numerical methods
Numerical analysis is the study of algorithms that use numerical approximation (as opposed to symbolic manipulations) for the problems of mathematical analysis (as distinguished from discrete mathematics). It is the study of numerical methods th ...
of asset pricing, the mathematics of
financial derivatives
In finance, a derivative is a contract that ''derives'' its value from the performance of an underlying entity. This underlying entity can be an asset, index, or interest rate, and is often simply called the "underlying". Derivatives can be u ...
, emerging market asset trading strategies, and advanced risk management. Early in his career, Neftci specialized in
econometrics
Econometrics is the application of statistical methods to economic data in order to give empirical content to economic relationships. M. Hashem Pesaran (1987). "Econometrics," '' The New Palgrave: A Dictionary of Economics'', v. 2, p. 8 p. 8 ...
and macroeconomics. He produced classic papers on relationships among aggregate time series, especially wages and employment, over the business cycle, which appeared in the very best journals in economics and statistics, including ''
Econometrica
''Econometrica'' is a peer-reviewed academic journal of economics, publishing articles in many areas of economics, especially econometrics. It is published by Wiley-Blackwell on behalf of the Econometric Society. The current editor-in-chief is ...
Journal of the American Statistical Association
The ''Journal of the American Statistical Association (JASA)'' is the primary journal published by the American Statistical Association, the main professional body for statisticians in the United States. It is published four times a year in Mar ...
'', and the ''
Review of Economics and Statistics
''The'' ''Review of Economics and Statistics'' is a peer-reviewed 103-year-old general journal that focuses on applied economics, with specific relevance to the scope of quantitative economics. The ''Review'', edited at the Harvard University’s K ...
''. Starting in the late 1980s, he turned his attention to finance and produced seminal books on the mathematics of financial derivatives and the principles of financial engineering.
He arguably is best known for two particularly well-received textbooks on mathematical finance: ''An Introduction to the Mathematics of Pricing Financial Derivatives'' and ''Principles of Financial Engineering''. These books have become standard texts in many financial engineering programs around the world. One of financial engineering's most eminent and visible practitioners and educators,
Paul Wilmott
Paul Wilmott (born 8 November 1959) is an English researcher, consultant and lecturer in quantitative finance.Boston College,
George Washington University
The George Washington University (GW or GWU) is a Private university, private University charter#Federal, federally chartered research university in Washington, D.C. Chartered in 1821 by the United States Congress, GWU is the largest Higher educat ...
, and Fordham University before assuming a position in the Ph.D. Program in Economics at the Homepage in_1982.__He_remained_at_that_institution_for_the_next_26_years.__During_part_of_that_time,_he_also_taught_in_the_Master_of_Financial_Engineering.html" ;"title="CUNY Graduate Center Homepage in 1982. He remained at that institution for the next 26 years. During part of that time, he also taught in the Financial_Engineering_Masters_Program_at_Baruch_College.html" ;"title="Master of Financial Engineering">Financial Engineering Masters Program at Baruch College">Master of Financial Engineering">Financial Engineering Masters Program at Baruch College,Baruch MFE Program /ref> which also is part of CUNY. In January 2008, Neftci left the Graduate Center for a position at the New School in New York. He had the foresight to encourage the New School to establish a program in global finance, which in his words “offers state-of-the art information resources and quantitative tools and techniques needed by the 21st century international financial profession.”
At the time of his death, he was Professor of Economics at the
New School University
The New School is a private research university in New York City. It was founded in 1919 as The New School for Social Research with an original mission dedicated to academic freedom and intellectual inquiry and a home for progressive thinkers. ...
in New York City, Director of the Master of Arts Program in Global Political Economy and Finance at that university, Director of the Financial Engineering and Asset Management (FAME) Certificate Program at the Swiss Finance Institute and the
University of Lausanne
The University of Lausanne (UNIL; french: links=no, Université de Lausanne) in Lausanne, Switzerland was founded in 1537 as a school of Protestant theology, before being made a university in 1890. The university is the second oldest in Switzer ...
in Switzerland, a frequent lecturer in finance at the
Hong Kong University of Science and Technology
The Hong Kong University of Science and Technology (HKUST) is a public research university in Clear Water Bay Peninsula, New Territories, Hong Kong. Founded in 1991 by the British Hong Kong Government, it was the territory's third institut ...
and at the
International Capital Market Association
The International Capital Market Association or ICMA is a self-regulatory organization and trade association for participants in the capital markets.
ICMA stated aims are to promote high standards of market practice, appropriate regulation, trad ...
Centre (ICMA) in the Business School for Financial Markets at the
University of Reading
The University of Reading is a public university in Reading, Berkshire, England. It was founded in 1892 as University College, Reading, a University of Oxford extension college. The institution received the power to grant its own degrees in 192 ...
in England, a consultant to the
International Monetary Fund
The International Monetary Fund (IMF) is a major financial agency of the United Nations, and an international financial institution, headquartered in Washington, D.C., consisting of 190 countries. Its stated mission is "working to foster glo ...
, the
World Bank
The World Bank is an international financial institution that provides loans and grants to the governments of low- and middle-income countries for the purpose of pursuing capital projects. The World Bank is the collective name for the Inte ...
, the
U.S. Department of State
The United States Department of State (DOS), or State Department, is an executive department of the U.S. federal government responsible for the country's foreign policy and relations. Equivalent to the ministry of foreign affairs of other ...
, and the
Agency for International Development
The United States Agency for International Development (USAID) is an independent agency of the U.S. federal government that is primarily responsible for administering civilian foreign aid and development assistance. With a budget of over $27 ...
, and a newspaper columnist in Turkey and China. He held a seat on the
Fitch Ratings
Fitch Ratings Inc. is an American credit rating agency and is one of the " Big Three credit rating agencies", the other two being Moody's and Standard & Poor's. It is one of the three nationally recognized statistical rating organizations ( NRSRO ...
Advisory Board from its inception in 2005.
Selected publications
*''An Introduction to the Mathematics of Financial Derivatives,'' Academic Press Advanced Finance, 2000
*
*''China's Financial Markets: An Insider's Guide to How the Markets Work,'' Salih N. Neftci, Michelle Yuan Menager-Xu, 2006