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.
About the Book:
An
Errata for the book is now available and will be updated periodically. Most recent update:
March 15, 2009.
A Primer for the Mathematics of Financial Engineering is the first book in the Financial Engineering Advanced Background Series, and is meant to build 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.
The financial applications in the book range from basics such as the Put-Call parity, bond duration and convexity, and the Black-Scholes formula, to more advanced topics, such as numerical estimation of the Greeks, implied volatility, and bootstrapping for 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 integration methods, convergence of Taylor series expansions, finite difference approximations, Stirling's formula, Lagrange multipliers, polar coordinates, Newton's method for higher dimensional problems.
Every chapter concludes with exercises that are a mix of mathematical and financial questions, with comments regarding their relevance to practice and to more advanced topics. A Solutions Manual containing detailed solutions to all exercises from the book, as well as to over 50 supplemental exercises was published in December 2008 and can be purchased here.
Sample Sections:
Table of Contents (Download)
3.6.1. Explaining the magic of Greeks computations (Download)
5.2. Taylor's formula for multivariable functions (Download)
5.5. Approximation formulas for at-the-money options (Download)
7.5. Integrating the density function of the standard normal variable (Download)
8.3.1. The N-dimensional Newton's Method (Download)
Exercises - Chapter 1 (Download)
Exercises - Chapter 8 (Download)
Book Details:
Softcover: 304 pages
Publisher: Financial Engineering Press
Language: English
ISBN-13: 978-0979757600
ISBN-10: 0979757606
List price: $55
Contact: fe_press@yahoo.com
This product was added to our catalog on Sunday 29 July, 2007.