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A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series), by Dan Stefanica
Free Download A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series), by Dan Stefanica
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This book covers linear algebra methods for financial engineering applications from a numerical point of view. The book contains many such applications, as well as pseudocodes, numerical examples, and questions often asked in interviews for quantitative positions. Financial Applications • 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 The book is written in a similar spirit as the best selling ``A Primer for the Mathematics of Financial Engineering" by the same author, and should accordingly be useful to a similarly large audience: • Prospective students for financial engineering or mathematical finance programs will be able to self-study material that will prove very important in their future studies • Finance practitioners will find mathematical underpinnings for many methods used in practice, furthering the ability to expand upon these methods • Academics teaching financial engineering courses will be able to use this book as textbook, or as reference book for numerical linear algebra methods with financial applications.
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Product details
Series: Financial Engineering Advanced Background Series
Paperback: 340 pages
Publisher: FE Press, LLC (July 7, 2014)
Language: English
ISBN-10: 0979757657
ISBN-13: 978-0979757655
Product Dimensions:
6 x 0.8 x 9 inches
Shipping Weight: 1.3 pounds (View shipping rates and policies)
Average Customer Review:
3.8 out of 5 stars
6 customer reviews
Amazon Best Sellers Rank:
#468,966 in Books (See Top 100 in Books)
thank you for the book. it is in good condition
Unarguably the best Linear Algebra primer out there for applications to finance. Broad range of topics covered with great depth. I often use it as a quick reference guide.
I got the wrong book
Excellent book!
This book, modestly titled as a "linear algebra primer", is, in fact, a well written comprehensive introduction to the uses of linear algebra techniques in finance. The emphasis lies on concrete, computer software implementable linear algebra with a wide range of specific applications to portfolio construction, market data analysis, and derivatives pricing. It will be a valuable resource not only for its targeted audience, namely graduate students in financial engineering, but also, more broadly, for business professionals whose work relies of quantitative techniques.
This book is not A Linear Algebra Primer for Financial Engineering...It is a Primer on Applying Basic Linear Algebra in Financial Engineering...That is the book doesn't teach much Linear Algebra...what it does is show how to applylinear algebra to Financial Engineering...but you have to know Linear Algebra ( at the college undergrad linear algebra level)to make much use of the book. But if you are comfortable with Linear Algebra there are some useful applications.
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