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This book covers linear algebra methods for financial engineering applications from a numerical point of view. The book contains many such applications, as well as pseudocodes, numerical examples, and questions often asked in interviews for quantitative positions.
Financial Applications
· The Arrow—Debreu one period market model
· One period index options arbitrage
· Covariance and correlation matrix estimation from time series data
· Ordinary least squares for implied volatility computation
· Minimum variance portfolios and maximum return portfolios
· Value at Risk and portfolio VaR
Linear Algebra Topics
· LU and Cholesky decompositions and linear solvers
· Optimal solvers for tridiagonal symmetric positive matrices
· Ordinary least squares and linear regression
· Linear Transformation Property
· Efficient cubic spline interpolation
· Multivariate normal random variables
The book is written in a similar spirit as the best selling ``A Primer for the Mathematics of Financial Engineering" by the same author, and should accordingly be useful to a similarly large audience:
· Prospective students for financial engineering or mathematical finance programs will be able to self-study material that will prove very important in their future studies
· Finance practitioners will find mathematical underpinnings for many methods used in practice, furthering the ability to expand upon these methods
· Academics teaching financial engineering courses will be able to use this book as textbook, or as reference book for numerical linear algebra methods with financial applications.
About the Author:
Dan Stefanica has been the Director of the Baruch MFE Program since its inception in 2002, and is the author of the best-selling A Primer For The Mathematics Of Financial Engineering and A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more, and co-author of 150 Most Frequently Asked Questions on Quant Interviews. He teaches graduate courses on numerical methods for financial engineering, as well as pre-program courses on advanced calculus and numerical linear algebra with financial applications. His research spans numerical analysis, graph theory, and geophysical fluid dynamics. He has a PhD in mathematics from New York University and taught previously at the Massachusetts Institute of Technology.
Title: A Linear Algebra Primer for Financial ...
Binding: Paperback
Condition: new
Quantity: 1 available
Seller: Revaluation Books, Exeter, United Kingdom
Paperback. Condition: Brand New. In Stock. Seller Inventory # zk0979757657
Seller: Pieuler Store, Suffolk, United Kingdom
Condition: new. Book is in NEW condition. Satisfaction Guaranteed! Fast Customer Service!!. Seller Inventory # PSN0979757657
Seller: Pieuler Store, Suffolk, United Kingdom
Condition: good. 100% Customer Satisfaction Guaranteed ! The book shows some signs of wear from use but is a good readable copy. Cover in excellent condition. Binding tight. Pages in great shape, no tears. Not contain access codes, cd, DVD. Seller Inventory # PSG0979757657