Solutions Manual - A Linear Algebra Primer for Financial Engineering - Couverture souple

Stefanica, Dan

Couverture souple

ISBN 10 : 0979757665 ISBN 13 : 9780979757662

Editeur : FE Press, LLC, 2016

Synopsis

Every exercise from the book ``A Linear Algebra Primer for Financial Engineering“ is solved in detail in the Solutions Manual.

The addition of this Solutions Manual offers the reader the opportunity of rigorous self-study of the linear algebra concepts presented in the NLA Primer, and of achieving a deeper understanding of the financial engineering applications therein.

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

A propos du livre

À propos de l?auteur

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.

Détails de l'édition

• Éditeur: FE Press, LLC
• Date d'édition: 2016
• Langue: anglais
• ISBN 10: 0979757665
• ISBN 13: 9780979757662
• Reliure: Broché
• Nombre de pages: 280
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible