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.
· 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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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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Descripción FE Press, LLC. Paperback. Estado de conservación: Brand New. In Stock. Nº de ref. de la librería zk0979757665