Mathematics and Tools for Financial Engineering

Based on a master’s program course at the University of Southern California, the main goal of Mathematics and Tools for Financial Engineering is to train students to use mathematical and engineering tools to understand and solve financial problems. The book contains numerous examples and problems and is divided into two parts: Part I covers mathematical preliminaries (set theory, linear algebra, sequences and series, real functions and analysis, numerical approximations and computations, basic optimization theory, and stochastic processes). Part II addresses financial topics, ranging from low- to high-risk investments. Mathematics and Tools for Financial Engineering is intended for senior undergraduate or graduate students in finance or financial engineering. It is appropriate for the following courses: Advanced Numerical Analysis, Special Topics on Numerical Analysis, Topics on Data Science, Topics on Numerical Optimization, and Topics on Approximation Theory. Readers with no prior knowledge in finance can use the book to learn about various mathematical theories and tools.

Petros A. Ioannou joined the Department of Electrical Engineering at the University of Southern California in 1982. He is currently the A.V. ‘Bal’ Balakrishnan Chair Professor and Director of the Center of Advanced Transportation Technologies and Associate Director for Research of METRANS, a University Transportation Center. He is the recipient of the 1984 IEEE Control System Society Axelby Best Paper Award, the 1985 Presidential Young Investigator Award, the 2009 IEEE Intelligent Transportation System (ITS) Society Outstanding ITS Application Award, the 2009 Institution of Engineering and Technology (IET) Heaviside Medal for Achievement in Control, the 2012 IEEE ITS Society Outstanding ITS Research Award, the 2016 IEEE Transportation Technologies Field Award, and the 2016 IEEE Control System Society Transition to Practice Award. He is a Fellow of IEEE, IFAC, AAAS and IET and the author/co-author of 8 books and over 400 research papers in the areas of controls and intelligent transportation systems. He is the VP for publications of the ITS Society and served as Editor in Chief of the IEEE Transactions on ITS.