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.
· 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.
Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.
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.
Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.
Descrizione libro FE Press, LLC, 2014. Paperback. Condizione libro: New. Brand New, Gift conditionWe Ship Every Day! Free Tracking Number Included! International Buyers Are Welcome! Satisfaction Guaranteed!. Codice libro della libreria 343098067t
Descrizione libro FE Press, LLC, 2014. Paperback. Condizione libro: New. Brand New, Gift conditionWe Ship Every Day! Free Tracking Number Included! International Buyers Are Welcome! Satisfaction Guaranteed!. Codice libro della libreria 3431003197t
Descrizione libro FE Press, LLC, 2014. Paperback. Condizione libro: New. book. Codice libro della libreria M0979757657
Descrizione libro FE Press, LLC. Paperback. Condizione libro: Brand New. In Stock. Codice libro della libreria zk0979757657