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 mathe ...

. 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 Mathematical finance, also known as quantitative finance and financial mathematics, is a field of applied mathematics, concerned with mathematical modeling in the financial field. In general, there exist two separate branches of finance that req ...

who was well known for a lucid and accessible approach towards the field.

Background

Salih was born into a prominent wealthy Turkish family with ties to the oil business (''neft'' is

Arabic Arabic (, , or , ) is a Central Semitic languages, Central Semitic language of the Afroasiatic languages, Afroasiatic language family spoken primarily in the Arab world. The International Organization for Standardization (ISO) assigns lang ...

for oil). Until he was 11, he lived in

Kirkuk Kirkuk (; ; ; ) is a major city in northern Iraq, serving as the capital of the Kirkuk Governorate. The city is home to a diverse population of Kurds, Iraqi Turkmen, Iraqi Turkmens and Arabs. Kirkuk sits on the ruins of the original Kirkuk Cit ...

Iraq Iraq, officially the Republic of Iraq, is a country in West Asia. It is bordered by Saudi Arabia to Iraq–Saudi Arabia border, the south, Turkey to Iraq–Turkey border, the north, Iran to Iran–Iraq border, the east, the Persian Gulf and ...

, but then moved to

Istanbul Istanbul is the List of largest cities and towns in Turkey, largest city in Turkey, constituting the country's economic, cultural, and historical heart. With Demographics of Istanbul, a population over , it is home to 18% of the Demographics ...

. 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. in economics from the

Middle East Technical University Middle East Technical University (commonly referred to as METU; in Turkish language, Turkish, ''Orta Doğu Teknik Üniversitesi'', ODTÜ) is a prestigious public university, public Institute of technology, technical university located in Ankara, ...

and his Ph.D. in economics from the

University of Minnesota The University of Minnesota Twin Cities (historically known as University of Minnesota) is a public university, public Land-grant university, land-grant research university in the Minneapolis–Saint Paul, Twin Cities of Minneapolis and Saint ...

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. Neftçi was diagnosed with Gliosarcoma, a type of malignant brain cancer and died on 15 April 2009. In November 2009, the ''Salih Neftçi 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 t ...

of asset pricing, the mathematics of

financial derivatives In finance, a derivative is a contract between a buyer and a seller. The derivative can take various forms, depending on the transaction, but every derivative has the following four elements: # an item (the "underlier") that can or must be bou ...

, emerging market asset trading strategies, and advanced risk management. Early in his career, Neftçi specialized in

econometrics Econometrics is an 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 Macroeconomics is a branch of economics that deals with the performance, structure, behavior, and decision-making of an economy as a whole. This includes regional, national, and global economies. Macroeconomists study topics such as output (econ ...

. 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 ...

'', the ''

Journal of Political Economy The ''Journal of Political Economy'' is a monthly peer-reviewed academic journal published by the University of Chicago Press. Established by James Laurence Laughlin in 1892, it covers both theoretical and empirical economics. In the past, the ...

'', the ''

Journal of the American Statistical Association The ''Journal of the American Statistical Association'' is a quarterly peer-reviewed scientific journal published by Taylor & Francis on behalf of the American Statistical Association. It covers work primarily focused on the application of statis ...

'', and the ''

Review of Economics and Statistics ''The Review of Economics and Statistics'' is a peer-reviewed academic journal that covers applied economics, with specific relevance to the scope of econometrics. The editors-in-chief are Will Dobbie (Harvard University) and Raymond Fisman (Bost ...

''. 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 people, English researcher, consultant and lecturer in quantitative finance.Boston College Boston College (BC) is a private university, private Catholic Jesuits, Jesuit research university in Chestnut Hill, Massachusetts, United States. Founded in 1863 by the Society of Jesus, a Catholic Religious order (Catholic), religious order, t ...

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., United States. Originally named Columbian College, it was chartered in 1821 by ...

, and

Fordham University Fordham University is a Private university, private Society of Jesus, Jesuit research university in New York City, United States. Established in 1841, it is named after the Fordham, Bronx, Fordham neighborhood of the Bronx in which its origina ...

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">Financial Engineering Masters Program at

Baruch College Baruch College (officially the Bernard M. Baruch College) is a public college in New York City, United States. It is a constituent college of the City University of New York system. Named for financier and statesman Bernard M. Baruch, the colle ...

,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 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. 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

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; ) 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 Switzerland, and one of the oldest universities ...

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 Sai Kung District, New Territories, Hong Kong. Founded in 1991, it was the territory's third institution to be granted university status, and the firs ...

and at the

International Capital Market Association The International Capital Market Association or ICMA is a not-for-profit global trade association A trade association, also known as an industry trade group, business association, sector association or industry body, is an organization found ...

Centre (ICMA) in the Business School for Financial Markets at the

University of Reading The University of Reading is a public research university in Reading, Berkshire, England. It was founded in 1892 as the University Extension College, Reading, an extension college of Christchurch College, Oxford, and became University College, ...

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 funded by 191 member countries, with headquarters in Washington, D.C. It is regarded as the global lender of las ...

, the

World Bank The World Bank is an international financial institution that provides loans and Grant (money), grants to the governments of Least developed countries, low- and Developing country, middle-income countries for the purposes of economic development ...

, the U.S. Department of State, and the Agency for International Development, 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. It is one of the three nationally recognized statistical rating organizations (NRSRO) designated by the U.S. Securities and Exchange Commission and is considered as being one of the " Bi ...

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

References

External links

SSRN Author Page
*
Obituary - New School for Social ResearchThe Master of Science of Global Finance at the New SchoolTribute - ICMA Center
{{DEFAULTSORT:Neftci, Salih Financial economists 1947 births 2009 deaths Academics from Istanbul Turkish people of Iraqi Turkmen descent University of Minnesota College of Science and Engineering alumni Turkish emigrants to Switzerland Deaths from brain cancer in Switzerland American people of Turkish descent Swiss people of Turkish descent Middle East Technical University alumni CUNY Graduate Center faculty