ENGLISH

A Primer for the Mathematics of Financial Engineering

By Dan Stefanica

Book information

Publisher
FE Press
Year
2008
ISBN
0979757606, 9780979757600
Language
english
Format
PDF
Filesize
4 MB (4186035 bytes)
Pages
302\151
Time added
2011-06-04 13:46:07
Математика;Высшая математика (основы);Математика д

Description

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

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