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
A Primer for the Mathematics of Financial Engineering
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Brand: FE Press
A Primer for the Mathematics of Financial Engineering
- SKU:
- UPC:
- 9780979757600
- Maximum Purchase:
- 3 units
- Binding:
- Paperback
- Publication Date:
- 2008-04-04
- Author:
- Dan Stefanica
- Language:
- english
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