Solutions Manual - A Linear Algebra Primer for Financial Engineering (Financial Engineering Advanced Background Series) (Volume 4)

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9780979757662: Solutions Manual - A Linear Algebra Primer for Financial Engineering (Financial Engineering Advanced Background Series) (Volume 4)

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

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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.

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Dan Stefanica
Editorial: FE Press, LLC
ISBN 10: 0979757665 ISBN 13: 9780979757662
Nuevos Paperback Cantidad: 1
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Revaluation Books
(Exeter, Reino Unido)
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Descripción FE Press, LLC. Paperback. Estado de conservación: Brand New. In Stock. Nº de ref. de la librería zk0979757665

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