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A Primer for the Mathematics of Financial Engineering | 
| Author: Dan Stefanica
Publisher: FE Press
Category: Book
List Price: $55.00
Buy New: $43.03
You Save: $11.97 (22%)
Avg. Customer Rating:  2 reviews
Sales Rank: 123624
Media: Paperback
Pages: 302
Shipping Weight (lbs): 1.1
Dimensions (in): 9 x 6 x 0.8
ISBN: 0979757606
EAN: 9780979757600
ASIN: 0979757606
Publication Date: April 4, 2008
Shipping: Eligible for Super Saver Shipping
Availability: Usually ships in 24 hours
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| Editorial Reviews:
Product Description
This book is meant to build the solid mathematical foundation required to understand the quantitative models used financial engineering. The financial applications in the book range from basics such as the Put-Call parity, bond duration and convexity, and the Black-Scholes model, to more advanced topics, such as 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. Every chapter concludes with exercises that are a mix of mathematical and financial questions, with comments regarding their relevance to practice and to more advanced topics.
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| Customer Reviews:
The Title of this Book is Correct July 16, 2008
4 out of 5 found this review helpful
This book gives you a very good overview on the Maths you need for Financial Engineering. It is not a introductionary book. It is a primer as the title says. So don't expect a text book. It repeats and explains the necessary math concepts and then shows its applications in Finance. If you plan to attend a Quantitative Finance course soon then I can recommend this book for preparation first and later for reference during your studies and at work.
Highly recommended May 8, 2008
8 out of 9 found this review helpful
I've been away from school for a while, and I needed to review a lot of advanced mathematical concepts as well as financial topics in a matter of few months in preparation for my graduate study in Financial Engineering. This book is very concise and compact, yet easy to follow. You could cover substantial amount of materials (math concepts and financial applications) even by just reading a few chapters. It has been very useful for my preparation, and I feel like I'm really building a solid foundation to start my advanced study this coming fall, and hopefully, be very successful as well. I can see that it would be equally useful as a reference for the entire duration of my study, as well as my current job and envisioned career direction at a major financial services company.
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