Salih Neftçi (July 14, 1947 – April 15, 2009) 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. Professor Neftci was an avid and highly regarded educator in the field of mathematical finance who was well-known for a lucid and accessible approach towards mathematical finance.

Salih was born into a prominent wealthy Turkish family with ties to the oil business (neft is Arabic for oil). Until he was aged 11, he lived in Kirkuq,Irak, but then moved to Istanbul. His mother, Nermin Neftçi was the vice chairman of the 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 Ph.D. in Economics from the University of Minnesota in 1977. His dissertation is entitled "Three essays in business cycle research."

Salih Neftci was one of the most productive researchers in financial engineering and taught in the areas of numerical methods of asset pricing, the mathematics of financial derivatives, emerging market asset trading strategies, and advanced risk management.

After completing his dissertation, Professor Neftci became an adjunct professor at the George Washington University and Columbia University. He also taught at the Hong Kong University of Science and Technology, University of Reading, and University of Lausanne.

Salih taught at the ICMA Centre, University of Reading for 10 years, the last 3 of which as a full professor.

He became a full professor in FIXME at Baruch College of the City University of New York where he taught classes for Masters of Science program in Financial Engineering.

In FIXME, he became the Director of the Master of Science in Global Finance program at the New School.

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, has written of Principles of Financial Engineering:[1]

Neftci (1996) is the only readable book on stochastic calculus for beginners. It does not assume any knowledge about anything. It takes the reader very slowly through the basics as applied to finance.

Throughout his life, Salih maintained close links with U.S. academia and Wall Street.

He held a seat on the Fitch Ratings Advisory Board from its inception in 2005.

Salih had 5 children, one of whom died at the age of 21. He is survived by 2 adult children from his wife, from whom he was separated for many years, and twin boys aged 3 from his long-time companion.

Prof. Neftci was diagnosed with Gliosarcoma, a type of malignant brain cancer and died on April 15, 2009.

In November 2009, a Salih Neftci Memorial Scholarship Fund was formed at Baruch College to help promote education and awareness of the financial engineering field of study.

An Introduction to the Mathematics of Financial Derivatives, Academic Press Advanced Finance, 2000
Principles of Financial Engineering, Second Edition, Academic Press Advanced Finance, 2008
China's Financial Markets: An Insider's Guide to How the Markets Work, Salih N. Neftci, Michelle Yuan Menager-Xu, 2006

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