Salih Neftçi | Academic Influence

Salih Neftçi's AcademicInfluence.com Rankings

Salih Neftçi

Economics

#2006

World Rank

#2296

Historical Rank

economics Degrees

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Economics

Salih Neftçi's Degrees

Bachelors Economics Boğaziçi University

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Why Is Salih Neftçi Influential?

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According to Wikipedia, Salih Nur Neftçi was a leading expert in the fields of financial markets and financial engineering. 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.

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Salih Neftçi's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

Are Economic Time Series Asymmetric over the Business Cycle? (1984) (961)
An Introduction to the Mathematics of Financial Derivatives (1996) (437)
Naive Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory: A Study of "Technical Analysis." (1991) (255)
Value at Risk Calculations, Extreme Events, and Tail Estimation (2000) (254)
A Time-Series Analysis of the Real Wages-Employment Relationship (1978) (150)
Principles of financial engineering (2004) (106)
Disturbing extremal behavior of spot rate dynamics (2003) (64)
Naive trading rules in financial markets and Wiener-Kolmogorov prediction theory: A study of “technical analysis” (1993) (45)
China's financial markets : an insider's guide to how the markets work (2007) (44)
A little bit of evidence on the natural rate hypothesis from the U.S (1978) (42)
FX Short Positions, Balance Sheets and Financial Turbulence: An Interpretation of the Asian Financial Crisis (1998) (38)
Extreme price movements and margin levels in futures markets (1988) (38)
Can chartists outperform the market? market efficiency tests for “technical analysis” (1984) (30)
Financial Instruments to Hedge Commodity Price Risk for Developing Countries (2008) (30)
Policy-Dependent Parameters in the Presence of Optimal Learning: An Application of Kalman Filtering to the Fair and Sargent Supply-Side Equations (1982) (24)
Pricing and Hedging of Contingent Credit Lines (2006) (21)
What Drives Swap Spreads, Credit or Liquidity? (2003) (21)
Specification of Economic Time Series Models Using Akaike's Criterion (1982) (18)
Some Evidence on the Non-Linearity of Economic Time Series: (1986) (17)
Swap curve dynamics across markets: Case of US dollar versus HK dollar (2008) (15)
Puttable and Extendible Bonds: Developing Interest Rate Derivatives for Emerging Markets (2003) (15)
Is there a cyclical time unit (1986) (15)
Properties and Stochastic nature of BEA's early estimates of GNP (1991) (13)
Estimating the Term Structure of Interest Rate Volatility in Extreme Values (2001) (11)
Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps (2003) (11)
A time-series framework for the study of leading indicators (1991) (10)
Statistical Analysis of Shapes in Macroeconomic Time Series: Is There a Business Cycle? (1993) (10)
Policy Evaluation of Housing Cyclicality: A Spectral Analysis (1981) (7)
A Note on the Use of Local Maxima to Predict Turning Points in Related Series (1985) (6)
A Note on a Cointegrating Vector for US Interest Rate Swaps (2007) (4)
Modeling Swap Spreads: The Roles of Credit, Liquidity and Market Volatility (2007) (4)
Excessive variation in risk‐factor correlations and volatilities (2002) (4)
On Some Sample Path Properties of Intra-day Futures Prices (1990) (3)
Monopoly Power in Swiss Financial Markets (1992) (3)
Modeling the price side of econometric models: An analysis of the underlying hypotheses (1979) (3)
Volatility as an Asset Class and the Smile (2009) (2)
Renminbi Revaluation, Euro Appreciation and Chinese Markets: What Can We Learn from Data? (2006) (2)
Business Cycles as nonlinear Phenomena: Characterizing Swiss and German Cycles 1965-1988 (1990) (2)
Pricing Tools in Financial Engineering (2009) (2)
Financial Derivatives—A Brief Introduction (2014) (1)
Domestic Currency Emerging Market Bonds Pricing and Risk Management Aspects (2000) (1)
Pricing Derivatives via Fourier Transform Technique (2014) (1)
Swap Curve Dynamics in Hong Kong: An Interpretation (2004) (1)
Some Applications of the Fundamental Theorem (2009) (1)
Tools for Volatility Engineering, Volatility Swaps, and Volatility Trading (2009) (1)
The Asymmetric Behavior of Labor Productivity During the Business Cycle (1981) (1)
Testing Non-Linearity in Business Cycles (1986) (1)
Institutional Aspects of Derivative Markets (2015) (1)
Dynamic Replication Methods and Synthetics Engineering (2015) (0)
Cash Flow Engineering in Foreign Exchange Markets (2015) (0)
Engineering Convexity Positions (2009) (0)
Principles of Financial Engineering Ed. 3 (2014) (0)
Three essays in business cycle research (1987) (0)
Why Financial Markets Do Not Use Econometric Forecasting: Foreign Exchange Exotics, Central Banks and Position Taking (2007) (0)
Introduction to Swap Engineering (2008) (0)
Principal Protection Techniques (2008) (0)
Introduction to Interest-Rate Swap Engineering (2015) (0)
Caps/Floors and Swaptions with an Application to Mortgages (2009) (0)
Review of Deterministic Calculus (2014) (0)
Chapter 21 – Relating Conditional Expectations to PDEs (2014) (0)
New Results and Tools for Interest-Sensitive Securities (2014) (0)
Differentiation in Stochastic Environments (2014) (0)
Correlation as an Asset Class and the Smile (2015) (0)
The Dynamics of Derivative Prices (2014) (0)
Modeling Term Structure and Related Concepts (2014) (0)
An Introduction to Some Concepts and Definitions (2009) (0)
Arbitrage Theorem in a New Setting (2014) (0)
Pricing Derivative Products: Equivalent Martingale Measures (2014) (0)
Securitization, ABSs, CDOs, and Credit Structured Products (2015) (0)
A Primer on the Arbitrage Theorem (2014) (0)
Chapter 24 – Stopping Times and American-Type Securities (2014) (0)
PDEs and PIDEs—An Application (2014) (0)
Cash Flow Engineering, Interest Rate Forwards and Futures (2015) (0)
Engineering of Equity Instruments and Structural Models of Default (2015) (0)
Mechanics of Options (2009) (0)
Fixed-Income Engineering (2008) (0)
Counterparty Risk, Multiple Curves, CVA, DVA, and FVA (2015) (0)
THE BUSINESS SCHOOL FOR FINANCIAL MARKETS The University of Reading Correlation of Default Events Some New Tools (2002) (0)
Tools in Probability Theory (2014) (0)
Default Correlation Pricing and Trading (2009) (0)
Credit Spread and Credit Derivatives (2014) (0)
THE SWISS CREDIT MARKET (2001) (0)
Discretization of stochastic differential equations and econometric forecasting: An application to time-varying autoregressions (1994) (0)
Chapter 20 – Classical PDE Analysis for Interest Rate Derivatives (2014) (0)
Classical and HJM Approach to Fixed Income (2014) (0)
Pricing Derivatives: Models and Notation (2014) (0)
Table of Content A / CURRENT DEVELOPMENTS IN THE SECURITISATION PROCESS OF EUROPEAN MORTGAGE MARKETS (2002) (0)
Pricing Derivative Products: Partial Differential Equations (2014) (0)
Overview of Calibration and Estimation Techniques (2014) (0)
Essentials of Structured Product Engineering (2009) (0)
Engineering Simple Interest Rate Derivatives (2009) (0)
Integration in Stochastic Environments (2014) (0)
Options Engineering with Applications (2009) (0)
Repo Market Strategies in Financial Engineering (2009) (0)
The Wiener Process, Lévy Processes, and Rare Events in Financial Markets (2014) (0)
Credit Indices and Their Tranches (2009) (0)
A Comparison of US and Hong Kong Cap-Floor Volatility Dynamics (2004) (0)
Puttable and Extendible Bonds (2003) (0)
Dynamic Replication Methods and Synthetics (2009) (0)
OF ECONOMIC TIME SERIES (1979) (0)
A diagnostic check for model specification: An application to the yen-dollar exchange rate (1990) (0)
Cash Flow Engineering and Forward Contracts (2009) (0)
Engineering of Equity Instruments: Pricing and Replication (2009) (0)
Equivalent Martingale Measures (2014) (0)
Martingales and Martingale Representations (2014) (0)
An empirical investigation on the liquidity effects of monetary policy shocks on exchange rates (2000) (0)
Cash Flow Engineering and Alternative Classes (Commodities and Hedge Funds) (2015) (0)
Turbulence, Crises and Risk Management (2001) (0)
Correlation of Defauls Events Some New Tools (2001) (0)
Credit Markets: CDS Engineering (2009) (0)

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