A Primer for the Mathematics of Financial Engineering

Stefanica, Dan

Published by FE Press
ISBN 10: 0979757606 / ISBN 13: 9780979757600
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Synopsis: This book is meant to build the solid mathematical foundation required to understand the quantitative models used financial engineering. The financial applications range from the Put-Call parity, bond duration and convexity, and the Black-Scholes model, to the numerical estimation of the Greeks, implied volatility, and bootstrapping for finding interest rate curves. On the mathematical side, useful but sometimes overlooked topics are presented in detail: differentiating integrals with respect to nonconstant integral limits, numerical approximation of definite integrals, convergence of Taylor series expansions, finite difference approximations, Stirling's formula, Lagrange multipliers, polar coordinates, Newton's method for higher dimensional problems. A Solutions Manual containing complete solutions to every exercise, as well as to over 50 supplemental exercises, is available on amazon.com. International shipping and the Errata are available at www.fepress.org

About the Author: Dan Stefanica has been the Director of the Masters Program in Financial Engineering at Baruch College, City University of New York, since its inception in 2002. He is teaching courses on numerical methods for finance, as well as pre-program courses in advanced calculus and linear algebra with financial applications. He has a PhD in Applied Mathematics from New York University and taught previously at the Massachusetts Institute of Technology.

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Title: A Primer for the Mathematics of Financial ...
Publisher: FE Press
Binding: PAPERBACK
Book Condition: New

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Stefanica, Dan
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