For a limited time, “A Primer for the Mathematics of Financial Engineering” and its “Solutions Manual” (Second Editions) can be purchased together at a 15% discount off the list price from this page.
Second Editions of A Primer for the Mathematics of Financial Engineering and Solutions Manual – A Primer for the Mathematics of Financial Engineering by Dan Stefanica were published in March 2011.
The First Editions, published in 2008, were warmly received by a large audience, including students and prospective students of financial engineering programs, academics teaching in such programs or in finance departments, and many practitioners from the financial industry, and were the top two QuantNet bestselling books of 2010.
The Primer and its Solutions Manual are the first books in the Financial Engineering Advanced Background Series.
Reviews for “A Primer for the Mathematics of Financial Engineering”, First Edition:
One of the hottest degrees on today’s campus is a Masters in Financial Engineering. Whether you need to retrieve hallowed memories or just want to familiarize yourself with the mathematics underlying this degree, this unique book offers a terrific return on investment.
Peter Carr, PhD
Global Head of Modeling, Morgan Stanley; Director of the Masters Program in Mathematical Finance, Courant Institute, NYU
This is the book I always recommend to people who ask about their mathematics before doing an MFE, and a few people could do with reading it after as well.
Dominic Connor
Director, P&D Quantitative Recruitment
Important financial applications were added to the Second Edition, and sections on selected topics were expanded, including:
- New sections on dollar duration, dollar convexity, DV01, bond portfolios immunization
- New sections on log return and arithmetic return
- New section on the effect of parallel shifts in the yield curve to changes in bond yields
- Separate chapter on numerical methods for solving nonlinear equations, computing bond yields and implied volatilities, and bootstrapping yield curves
- Streamlined: Lagrange multipliers sections include a step-by-step example following the general theory
- New section on finding maximal return portfolios
- New section on the numerical precision of finite difference approximations of the Greeks
- Streamlined: sections on Taylor approximations and Taylor series
- New: Mathematical Appendix
- New section, Solutions Manual: Arbitrage and the convexity of option values
Every exercise from the Second Edition of the Math Primer (175 exercises in total, and many of them frequently asked interview questions) is solved in detail in the Solutions Manual. Using the Solution Manual as a companion to the Math Primer is an efficient way to glean a more advanced perspective on financial engineering applications by studying the solutions of the many challenging exercises.
