A Primer For The Mathematics Of Financial Engineering 2nd Pdf
FE Press offers 15-25% discounts off the list price when two or more books are purchased together.
All the books purchased from FE Press are signed and personalized by the authors.
The Second Edition of the A Primer for the Mathematics of Financial Engineering is theNumber 3 QuantNet bestselling book of 2015, and was the Number 1QuantNet bestselling book in2014, 2013, 2012, 2011.
"A Primer for the Mathematics of Financial Engineering" builds the solid mathematical foundation required to understand the quantitative models used financial engineering and can be used as a reference book or as a self-study book. It contains 175 exercises, many of these being frequently asked interview questions. A Solutions Manual including detailed solutions to every exercise was published concurrently.
Sample Sections:
- Table of Contents (Download)
- 3.6.1. Explaining the magic of Greeks computations (Download)
- 5.2.1. The N-dimensional Newton's Method (Download)
- 6.5. Parallel shifts in the yield curve (Download)
- 6.7. Dollar duration and dollar convexity; bond portfolio immunization (Download)
- 8.6. Integrating the density function of the standard normal variable (Download)
- 9.1. Lagrange multipliers (Download)
- Exercises – Chapter 1 (Download)
- Exercises – Chapter 6 (Download)
Book Details: 2nd Edition; 352 pages; List Price: $62; Financial Engineering Press, 2011
About the Author
Dan Stefanica has been the Director of the Financial Engineering Masters Program at Baruch College, City University of New York, since its inception in 2002, and is the author of the best-selling "A Primer For The Mathematics Of Financial Engineering" and of "A Linear Algebra Primer for Financial Engineering" , 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.
FE Press offers 15-25% discounts off the list price when "A Primer for the Mathematics of Financial Engineering" is purchased together with its "Solutions Manual", or with "A Linear Algebra Primer for Financial Engineering" and "150 Most Frequently Asked Questions on Quant Interviews".
All the books purchased from FE Press are signed and personalized by the authors.
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"A Primer for the Mathematics of Financial Engineering" builds the solid mathematical foundation required to understand the quantitative models used financial engineering and can be used as a reference book or as a self-study book. It contains 175 exercises, many of these being frequently asked interview questions. A Solutions Manual including detailed solutions to every exercise was published concurrently.
List Price: $62.
FE Press offers 15-25% discounts off the list price when "A Primer for the Mathematics of Financial Engineering" is purchased together with its "Solutions Manual" or with its other titles "A Linear Algebra Primer for Financial Engineering" and "150 Most Frequently Asked Questions on Quant Interviews".
The Primer has been warmly received by a large audience, including students and prospective students of financial engineering programs, academics teaching in such programs or in finance departments, and many practitioners from the financial industry.
The Second Edition of A Primer for the Mathematics of Financial Engineering is theNumber 1 QuantNet bestselling book of 2013, as well as in 2011, 2012.
The First Edition, published in 2008, was the Number 1 QuantNet bestselling book of 2010.
Errata for A Primer for the Mathematics of Financial Engineering, Second Edition (July 2012 version)
Table of Contents
Sample Sections:
- Table of Contents (Download)
- 3.6.1. Explaining the magic of Greeks computations (Download)
- 5.2.1. The N-dimensional Newton's Method (Download)
- 6.5. Parallel shifts in the yield curve (Download)
- 6.7. Dollar duration and dollar convexity; bond portfolio immunization (Download)
- 8.6. Integrating the density function of the standard normal variable (Download)
- 9.1. Lagrange multipliers (Download)
- Exercises – Chapter 1 (Download)
- Exercises – Chapter 6 (Download)
Book Details:
- Softcover: 352 pages
- Publisher: Financial Engineering Press
- List Price: $62
- ISBN-13: 978-0979757624
- ISBN-10: 0979757622
Reviews for "A Primer for the Mathematics of Financial Engineering", First Edition:
One of the hottest degrees on today's campus is a Masters in Financial Engineering. Whether you need to retrieve hallowed memories or just want to familiarize yourself with the mathematics underlying this degree, this unique book offers a terrific return on investment.
Peter Carr, PhD
Global Head of Modeling, Morgan Stanley; Director of the Masters Program in Mathematical Finance, Courant Institute, NYU
This is the book I always recommend to people who ask about their mathematics before doing an MFE, and a few people could do with reading it after as well.
Dominic Connor
Director, P&D Quantitative Recruitment
Important financial applications were added to the Second Edition, and sections on selected topics were expanded, including:
- New sections on dollar duration, dollar convexity, DV01, bond portfolios immunization
- New sections on log return and arithmetic return
- New section on the effect of parallel shifts in the yield curve to changes in bond yields
- Separate chapter on numerical methods for solving nonlinear equations, computing bond yields and implied volatilities, and bootstrapping yield curves
- Streamlined: Lagrange multipliers sections include a step-by-step example following the general theory
- New section on finding maximal return portfolios
- New section on the numerical precision offinite difference approximations of the Greeks
- Streamlined: sections on Taylor approximations and Taylor series
- New: Mathematical Appendix
- New section, Solutions Manual: Arbitrage and the convexity of option values
NEW TOPICS: Dollar duration, Dollar convexity, DV01; the effect of parallel shifts in the yield curve to changes in bond yields; bond portfolio immunization; arbitraging the Put-Call parity; percentage vs. log returns for individual assets and portfolios; optimum investment portfolios: maximum return portfolios and minimum variance portfolios; the numerical precision of finite difference approximations of the Greeks.
New or expanded sections: new chapter on solving nonlinear problems; expanded Lagrange multipliers sections; streamlined Taylor series and Taylor expansion sections; Mathematical Appendix at the end of the book.
Financial applications (selected): Put-Call parity, bond mathematics, numerical computation of bond yields, Black-Scholes model, numerical estimation for Greeks, implied volatility, yield curves bootstrapping
Mathematical topics (selected): numerical approximation of definite integrals; Taylor approximations and Taylor series expansions; finite difference approximations; Stirling's formula, polar coordinates; numerical methods for solving one dimensional problems; Newton's method for higher dimensional problems
About the Author
Dan Stefanica has been the Director of the Financial Engineering Masters Program at Baruch College, City University of New York, since its inception in 2002, and is the author of the best-selling "A Primer For The Mathematics Of Financial Engineering" and of "A Linear Algebra Primer for Financial Engineering" , 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 taught previously at the Massachusetts Institute of Technology and at New York University. Dan was a silver medalist at the International Mathematics Olympiad, and coached the MIT and NYU teams for the William Lowell Putnam competition.
Titles from FE Press:
A Primer For The Mathematics Of Financial Engineering 2nd Pdf
Source: http://www.fepress.org/primer-second-ed/
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