A Linear Algebra Primer for Financial Engineering by Dan Stefanica was published in July 2014. It is the third book in the Financial Engineering Advanced Background Series, and covers linear algebra concepts 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.
For all orders placed before August 1, 2014, A Linear Algebra Primer for Financial Engineering can be ordered for $49.60, a 20% discount off the $62 list price. All orders will be signed and personalized by the author.
• 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
• Direct methods for solving linear system. LU and Cholesky decompositions.
• Optimal solvers for tridiagonal symmetric positive matrices
• The Linear Transformation Property
• Multivariate normal random variables
• Efficient cubic spline interpolation
• Ordinary least squares and linear regression
• Gershgorin’s theorem and diagonal dominance
• Sylvester’s criterion
Table of Contents (Download)
All titles from FE Press are available at 15% discount for orders placed before August 1, 2014.
150 Most Frequently Asked Questions on Quant Interviews, by Dan Stefanica, Rados Radoicic, and Tai-Ho Wang is the first book in the Pocket Book Guides for Quant Interviews Series and contains over 150 questions that are frequently, and also currently, asked on interviews for quantitative positions, covering a vast spectrum, from C++ and data structures, to finance, stochastic calculus and brainteasers. A ten questions selection, with solutions, can be downloaded here.
A Primer for the Mathematics of Financial Engineering, Second Edition, by Dan Stefanica. FE Press, 2011. Number 1 QuantNet bestselling book of 2010, 2011, 2012, and 2013
The Primer and its Solutions Manual are the first books in the Financial Engineering Advanced Background Series. The third book in the series, A Numerical Linear Algebra Primer for Financial Engineering, by Dan Stefanica, will be published by FE Press in 2014.