Prof. Salih Neftci (1947-2009)

This is very sad news. Prof Neftci was a great lecturer. I will never forget when during the calibration class he first wrote a complex formula for local volatility, and then he rewrote the same formula in pictures and charts. This was understandable to anyone, even with very limited knowledge of maths. He could explain complex problems in a very simple and still correct way. He was amazing.
This is from my coworker who graduated from New School:

Please join us in an informal memorial and toast for the late, great Dr. Salih Neftci.

Wednesday, April 29th
6pm - ???

Bryant Park Cafe
(closer to) 42nd Street btwn 5th and 6th Avenues
Inside Bryant Park --- outdoor patio if weather is nice

No RSVP necessary.

Please tell your friends and colleagues.

Contact: Alexei ( or Jessica ( with questions.<o:p></o:p>
It was really sad to hear about Prof. Neftci's passing. He was a wonderful professor full of life and character. It was amazing how he could convey complex ideas in a clear and understandable way. Rest in Peace professor.


Faculty (Undercover)
His classes were a feast of ideas spiced with his sharp wit. It's sad and shocking that we've lost his voice so soon.
Very sad news to hear it. I had a chance to meet him and listen his presentation. He was a wonderful speaker. I extend my deepest sympathies to his family.
Salih was a gentleman and a scholar, a very giving person. He was a gifted educator and true mentor. It was an honor to have known him. May he rest in peace.
One of the best professors I've ever had the pleasure to listen to.
Will never forget his explanations of "wedding cakes" and "altiplanos"
I feel both lucky and sad at the same time
62 years old only...

This isn't just a single university's loss...

It is the world's loss every time it loses a successful practicing intellectual.
When I first saw Dan's email and the subject was Salih Neftci, I thought it was a good news, maybe we get to see Prof. Neftci again, but the news was shocking and sad. May he rests in peace.
I had the honor of not only being a student of Prof Neftci at Baruch but also working with him as a teaching assistant in Geneva. He was such a good guy and always made you laugh. I want to share a few anecdotes.

On the night prior to the last day of the workshop, I went out with some of the workshop participants to get a taste of Geneva night life. As you can guess the night ended way past my bed time. The next morning I somehow over slept and woke up an hour late. I quickly got dressed and rushed to the hotel where Neftci was already at least an hour in to his lecture. I entered the room as quietly as possible and tip toed to my seat. I was afraid Neftci might be upset. Having already been informed of my prior night's activities he greeted me with a laugh and said "the Chinese have a saying - if you want to walk in the snow make sure you cover your tracks."

In his workshop lectures Neftci had a habit of calling on me when I least expected it, almost as if to provide comic relief. On one such occasion Neftci asked "what is BOJ?" Before anyone could say anything Neftci said "Igor, what is BOJ?" I scratched my head and responded "Bank of Japan." Neftci looked surprised that I gave the correct answer and asked "How do you know that?" To which my response was "I read the FT." Some six months later I dropped in on his econometrics class at the Graduate Center. He started the lecture by referencing an article he read that morning in the FT. Seeing me in the back of the room he quipped "Igor did you read the FT today?" No one else got the joke.

I know that many of you have your own funny stories. We all have fond memories of Prof Neftci. There was never a dull moment in his class and he instantly connected with people. He will be greatly missed.
I am terribly sad and at a loss of words. I accompanied Professor Neftci to Geneva to teach a class and it was the most enriching experience of my life. He was an extraordinary man/teacher and will be really missed.
It is such a sad news.
We are grateful to have the opportunity to be his students.
Our thoughts and prayers are with Prof. Neftci's family.
May him rest in peace.
Bye Prof. Neftci

Prof Neftci changed my life from an engineer to IRD Trader, FX Option Structurer and now EQD Structurer. He is wonderful. Thank you very much my friend, my teacher.
After reading the comments above, I can say that Salih Neftci is yet giving all of us one good lesson: to live life to the fullest and with passion as he did, so as to be honorably and truthfully remembered as he is now! It was not by his teaching, or his writing, or his research, that he is mostly remembered by us, his students, but by his way of being, that struck us all!

As a member of Salih Neftcis family, I thank you for your touching remarks.
He enjoyed teaching and his students as much as his family.

I am so sad that I did not have the opportunity to be in one of his classes.
"Principles of Financial Engineering" by Prof. Neftci is an excellent book that shows an outstanding professor. It would have been enlightening to listen to his lectures, focusing on essentials.

Bastian Gross

German Mathquant
I just had read his books, but I'm very sad.


Baruch MFE Director
Professor Salih Neftci's wife emailed me to convey her gratitude for this thread honoring Salih's memory. Thank you all.