A Primer for the Mathematics of Financial Engineering

A Primer for the Mathematics of Financial Engineering
Author: Dan Stefanica
Publsiher: Unknown
Total Pages: 332
Release: 2011
ISBN 10: 9780979757624
ISBN 13: 0979757622
Language: EN, FR, DE, ES & NL

A Primer for the Mathematics of Financial Engineering Book Review:

A Primer for Financial Engineering

A Primer for Financial Engineering
Author: Ali N. Akansu,Mustafa U. Torun
Publsiher: Academic Press
Total Pages: 156
Release: 2015-03-25
ISBN 10: 0128017503
ISBN 13: 9780128017500
Language: EN, FR, DE, ES & NL

A Primer for Financial Engineering Book Review:

This book bridges the fields of finance, mathematical finance and engineering, and is suitable for engineers and computer scientists who are looking to apply engineering principles to financial markets. The book builds from the fundamentals, with the help of simple examples, clearly explaining the concepts to the level needed by an engineer, while showing their practical significance. Topics covered include an in depth examination of market microstructure and trading, a detailed explanation of High Frequency Trading and the 2010 Flash Crash, risk analysis and management, popular trading strategies and their characteristics, and High Performance DSP and Financial Computing. The book has many examples to explain financial concepts, and the presentation is enhanced with the visual representation of relevant market data. It provides relevant MATLAB codes for readers to further their study. Please visit the companion website on http://booksite.elsevier.com/9780128015612/ Provides engineering perspective to financial problems In depth coverage of market microstructure Detailed explanation of High Frequency Trading and 2010 Flash Crash Explores risk analysis and management Covers high performance DSP & financial computing

A Linear Algebra Primer for Financial Engineering

A Linear Algebra Primer for Financial Engineering
Author: Dan Stefanica
Publsiher: Unknown
Total Pages: 324
Release: 2014-09-25
ISBN 10: 9780979757655
ISBN 13: 0979757657
Language: EN, FR, DE, ES & NL

A Linear Algebra Primer for Financial Engineering Book Review:

Solutions Manual a Primer for the Mathematics of Financial Engineering Second Edition

Solutions Manual   a Primer for the Mathematics of Financial Engineering  Second Edition
Author: Dan Stefanica
Publsiher: Unknown
Total Pages: 266
Release: 2011
ISBN 10: 9780979757617
ISBN 13: 0979757614
Language: EN, FR, DE, ES & NL

Solutions Manual a Primer for the Mathematics of Financial Engineering Second Edition Book Review:

Principles of Financial Engineering

Principles of Financial Engineering
Author: Salih N. Neftci
Publsiher: Academic Press
Total Pages: 696
Release: 2008-12-09
ISBN 10: 9780080919973
ISBN 13: 0080919979
Language: EN, FR, DE, ES & NL

Principles of Financial Engineering Book Review:

Principles of Financial Engineering, Second Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows you how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. * The Second Edition presents 5 new chapters on structured product engineering, credit markets and instruments, and principle protection techniques, among other topics * Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act * The Solutions Manual enhances the text by presenting additional cases and solutions to exercises

Mathematics for Finance

Mathematics for Finance
Author: Marek Capinski,Tomasz Zastawniak
Publsiher: Springer
Total Pages: 314
Release: 2006-04-18
ISBN 10: 1852338466
ISBN 13: 9781852338466
Language: EN, FR, DE, ES & NL

Mathematics for Finance Book Review:

This textbook contains the fundamentals for an undergraduate course in mathematical finance aimed primarily at students of mathematics. Assuming only a basic knowledge of probability and calculus, the material is presented in a mathematically rigorous and complete way. The book covers the time value of money, including the time structure of interest rates, bonds and stock valuation; derivative securities (futures, options), modelling in discrete time, pricing and hedging, and many other core topics. With numerous examples, problems and exercises, this book is ideally suited for independent study.

Introduction to C for Financial Engineers

Introduction to C   for Financial Engineers
Author: Daniel J. Duffy
Publsiher: John Wiley & Sons
Total Pages: 440
Release: 2013-10-24
ISBN 10: 1118856465
ISBN 13: 9781118856468
Language: EN, FR, DE, ES & NL

Introduction to C for Financial Engineers Book Review:

This book introduces the reader to the C++ programming language and how to use it to write applications in quantitative finance (QF) and related areas. No previous knowledge of C or C++ is required -- experience with VBA, Matlab or other programming language is sufficient. The book adopts an incremental approach; starting from basic principles then moving on to advanced complex techniques and then to real-life applications in financial engineering. There are five major parts in the book: C++ fundamentals and object-oriented thinking in QF Advanced object-oriented features such as inheritance and polymorphism Template programming and the Standard Template Library (STL) An introduction to GOF design patterns and their applications in QF Applications The kinds of applications include binomial and trinomial methods, Monte Carlo simulation, advanced trees, partial differential equations and finite difference methods. This book includes a companion website with all source code and many useful C++ classes that you can use in your own applications. Examples, test cases and applications are directly relevant to QF. This book is the perfect companion to Daniel J. Duffy’s book Financial Instrument Pricing using C++ (Wiley 2004, 0470855096 / 9780470021620)

Solutions Manual a Linear Algebra Primer for Financial Engineering

Solutions Manual   a Linear Algebra Primer for Financial Engineering
Author: Dan Stefanica
Publsiher: Unknown
Total Pages: 329
Release: 2016-08-22
ISBN 10: 9780979757662
ISBN 13: 0979757665
Language: EN, FR, DE, ES & NL

Solutions Manual a Linear Algebra Primer for Financial Engineering Book Review:

Financial Engineering and Computation

Financial Engineering and Computation
Author: Yuh-Dauh Lyuu
Publsiher: Cambridge University Press
Total Pages: 627
Release: 2002
ISBN 10: 9780521781718
ISBN 13: 052178171X
Language: EN, FR, DE, ES & NL

Financial Engineering and Computation Book Review:

A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Principles of Financial Engineering

Principles of Financial Engineering
Author: Robert Kosowski,Salih N. Neftci
Publsiher: Academic Press
Total Pages: 896
Release: 2014-11-26
ISBN 10: 0123870070
ISBN 13: 9780123870070
Language: EN, FR, DE, ES & NL

Principles of Financial Engineering Book Review:

Principles of Financial Engineering, Third Edition, is a highly acclaimed text on the fast-paced and complex subject of financial engineering. This updated edition describes the "engineering" elements of financial engineering instead of the mathematics underlying it. It shows how to use financial tools to accomplish a goal rather than describing the tools themselves. It lays emphasis on the engineering aspects of derivatives (how to create them) rather than their pricing (how they act) in relation to other instruments, the financial markets, and financial market practices. This volume explains ways to create financial tools and how the tools work together to achieve specific goals. Applications are illustrated using real-world examples. It presents three new chapters on financial engineering in topics ranging from commodity markets to financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles, and how to incorporate counterparty risk into derivatives pricing. Poised midway between intuition, actual events, and financial mathematics, this book can be used to solve problems in risk management, taxation, regulation, and above all, pricing. A solutions manual enhances the text by presenting additional cases and solutions to exercises. This latest edition of Principles of Financial Engineering is ideal for financial engineers, quantitative analysts in banks and investment houses, and other financial industry professionals. It is also highly recommended to graduate students in financial engineering and financial mathematics programs. The Third Edition presents three new chapters on financial engineering in commodity markets, financial engineering applications in hedge fund strategies, correlation swaps, structural models of default, capital structure arbitrage, contingent convertibles and how to incorporate counterparty risk into derivatives pricing, among other topics. Additions, clarifications, and illustrations throughout the volume show these instruments at work instead of explaining how they should act The solutions manual enhances the text by presenting additional cases and solutions to exercises

Statistics and Data Analysis for Financial Engineering

Statistics and Data Analysis for Financial Engineering
Author: David Ruppert,David S. Matteson
Publsiher: Springer
Total Pages: 719
Release: 2015-04-21
ISBN 10: 1493926144
ISBN 13: 9781493926145
Language: EN, FR, DE, ES & NL

Statistics and Data Analysis for Financial Engineering Book Review:

The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and analytic methods for modeling and diagnosing modeling errors. These methods are critical because financial engineers now have access to enormous quantities of data. To make use of this data, the powerful methods in this book for working with quantitative information, particularly about volatility and risks, are essential. Strengths of this fully-revised edition include major additions to the R code and the advanced topics covered. Individual chapters cover, among other topics, multivariate distributions, copulas, Bayesian computations, risk management, and cointegration. Suggested prerequisites are basic knowledge of statistics and probability, matrices and linear algebra, and calculus. There is an appendix on probability, statistics and linear algebra. Practicing financial engineers will also find this book of interest.

Risk Neutral Pricing and Financial Mathematics

Risk Neutral Pricing and Financial Mathematics
Author: Peter M. Knopf,John L. Teall
Publsiher: Elsevier
Total Pages: 348
Release: 2015-07-29
ISBN 10: 0128017279
ISBN 13: 9780128017272
Language: EN, FR, DE, ES & NL

Risk Neutral Pricing and Financial Mathematics Book Review:

Risk Neutral Pricing and Financial Mathematics: A Primer provides a foundation to financial mathematics for those whose undergraduate quantitative preparation does not extend beyond calculus, statistics, and linear math. It covers a broad range of foundation topics related to financial modeling, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, and term structure models, along with related valuation and hedging techniques. The joint effort of two authors with a combined 70 years of academic and practitioner experience, Risk Neutral Pricing and Financial Mathematics takes a reader from learning the basics of beginning probability, with a refresher on differential calculus, all the way to Doob-Meyer, Ito, Girsanov, and SDEs. It can also serve as a useful resource for actuaries preparing for Exams FM and MFE (Society of Actuaries) and Exams 2 and 3F (Casualty Actuarial Society). Includes more subjects than other books, including probability, discrete and continuous time and space valuation, stochastic processes, equivalent martingales, option pricing, term structure models, valuation, and hedging techniques Emphasizes introductory financial engineering, financial modeling, and financial mathematics Suited for corporate training programs and professional association certification programs

Financial Engineering and Arbitrage in the Financial Markets

Financial Engineering and Arbitrage in the Financial Markets
Author: Robert Dubil
Publsiher: John Wiley & Sons
Total Pages: 416
Release: 2011-10-13
ISBN 10: 1119950635
ISBN 13: 9781119950639
Language: EN, FR, DE, ES & NL

Financial Engineering and Arbitrage in the Financial Markets Book Review:

A whole is worth the sum of its parts. Even the most complex structured bond, credit arbitrage strategy or hedge trade can be broken down into its component parts, and if we understand the elemental components, we can then value the whole as the sum of its parts. We can quantify the risk that is hedged and the risk that is left as the residual exposure. If we learn to view all financial trades and securities as engineered packages of building blocks, then we can analyze in which structures some parts may be cheap and some may be rich. It is this relative value arbitrage principle that drives all modern trading and investment. This book is an easy-to-understand guide to the complex world of today’s financial markets teaching you what money and capital markets are about through a sequence of arbitrage-based numerical illustrations and exercises enriched with institutional detail. Filled with insights and real life examples from the trading floor, it is essential reading for anyone starting out in trading. Using a unique structural approach to teaching the mechanics of financial markets, the book dissects markets into their common building blocks: spot (cash), forward/futures, and contingent (options) transactions. After explaining how each of these is valued and settled, it exploits the structural uniformity across all markets to introduce the difficult subjects of financially engineered products and complex derivatives. The book avoids stochastic calculus in favour of numeric cash flow calculations, present value tables, and diagrams, explaining options, swaps and credit derivatives without any use of differential equations.

Applied Probabilistic Calculus for Financial Engineering

Applied Probabilistic Calculus for Financial Engineering
Author: Bertram K. C. Chan
Publsiher: John Wiley & Sons
Total Pages: 536
Release: 2017-09-11
ISBN 10: 111938804X
ISBN 13: 9781119388043
Language: EN, FR, DE, ES & NL

Applied Probabilistic Calculus for Financial Engineering Book Review:

Illustrates how R may be used successfully to solve problems in quantitative finance Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R provides R recipes for asset allocation and portfolio optimization problems. It begins by introducing all the necessary probabilistic and statistical foundations, before moving on to topics related to asset allocation and portfolio optimization with R codes illustrated for various examples. This clear and concise book covers financial engineering, using R in data analysis, and univariate, bivariate, and multivariate data analysis. It examines probabilistic calculus for modeling financial engineering—walking the reader through building an effective financial model from the Geometric Brownian Motion (GBM) Model via probabilistic calculus, while also covering Ito Calculus. Classical mathematical models in financial engineering and modern portfolio theory are discussed—along with the Two Mutual Fund Theorem and The Sharpe Ratio. The book also looks at R as a calculator and using R in data analysis in financial engineering. Additionally, it covers asset allocation using R, financial risk modeling and portfolio optimization using R, global and local optimal values, locating functional maxima and minima, and portfolio optimization by performance analytics in CRAN. Covers optimization methodologies in probabilistic calculus for financial engineering Answers the question: What does a "Random Walk" Financial Theory look like? Covers the GBM Model and the Random Walk Model Examines modern theories of portfolio optimization, including The Markowitz Model of Modern Portfolio Theory (MPT), The Black-Litterman Model, and The Black-Scholes Option Pricing Model Applied Probabilistic Calculus for Financial Engineering: An Introduction Using R s an ideal reference for professionals and students in economics, econometrics, and finance, as well as for financial investment quants and financial engineers.

An Undergraduate Introduction to Financial Mathematics

An Undergraduate Introduction to Financial Mathematics
Author: J Robert Buchanan
Publsiher: World Scientific Publishing Company
Total Pages: 372
Release: 2008-09-29
ISBN 10: 9814365327
ISBN 13: 9789814365321
Language: EN, FR, DE, ES & NL

An Undergraduate Introduction to Financial Mathematics Book Review:

This textbook provides an introduction to financial mathematics and financial engineering for undergraduate students who have completed a three- or four-semester sequence of calculus courses. It introduces the Theory of Interest, discrete and continuous random variables and probability, stochastic processes, linear programming, the Fundamental Theorem of Finance, option pricing, hedging, and portfolio optimization. The reader progresses from a solid grounding in multi-variable calculus through a derivation of the Black–Scholes equation, its solution, properties, and applications.

Practical Methods of Financial Engineering and Risk Management

Practical Methods of Financial Engineering and Risk Management
Author: Rupak Chatterjee
Publsiher: Apress
Total Pages: 388
Release: 2014-09-26
ISBN 10: 143026134X
ISBN 13: 9781430261346
Language: EN, FR, DE, ES & NL

Practical Methods of Financial Engineering and Risk Management Book Review:

Risk control, capital allocation, and realistic derivative pricing and hedging are critical concerns for major financial institutions and individual traders alike. Events from the collapse of Lehman Brothers to the Greek sovereign debt crisis demonstrate the urgent and abiding need for statistical tools adequate to measure and anticipate the amplitude of potential swings in the financial markets—from ordinary stock price and interest rate moves, to defaults, to those increasingly frequent "rare events" fashionably called black swan events. Yet many on Wall Street continue to rely on standard models based on artificially simplified assumptions that can lead to systematic (and sometimes catastrophic) underestimation of real risks. In Practical Methods of Financial Engineering and Risk Management, Dr. Rupak Chatterjee— former director of the multi-asset quantitative research group at Citi—introduces finance professionals and advanced students to the latest concepts, tools, valuation techniques, and analytic measures being deployed by the more discerning and responsive Wall Street practitioners, on all operational scales from day trading to institutional strategy, to model and analyze more faithfully the real behavior and risk exposure of financial markets in the cold light of the post-2008 realities. Until one masters this modern skill set, one cannot allocate risk capital properly, price and hedge derivative securities realistically, or risk-manage positions from the multiple perspectives of market risk, credit risk, counterparty risk, and systemic risk. The book assumes a working knowledge of calculus, statistics, and Excel, but it teaches techniques from statistical analysis, probability, and stochastic processes sufficient to enable the reader to calibrate probability distributions and create the simulations that are used on Wall Street to valuate various financial instruments correctly, model the risk dimensions of trading strategies, and perform the numerically intensive analysis of risk measures required by various regulatory agencies.

A First Course in Quantitative Finance

A First Course in Quantitative Finance
Author: Thomas Mazzoni
Publsiher: Cambridge University Press
Total Pages: 329
Release: 2018-03-31
ISBN 10: 1108419577
ISBN 13: 9781108419574
Language: EN, FR, DE, ES & NL

A First Course in Quantitative Finance Book Review:

Using stereoscopic images and other novel pedagogical features, this book offers a comprehensive introduction to quantitative finance.

Computational Finance

Computational Finance
Author: Argimiro Arratia
Publsiher: Springer Science & Business Media
Total Pages: 301
Release: 2014-05-08
ISBN 10: 9462390703
ISBN 13: 9789462390706
Language: EN, FR, DE, ES & NL

Computational Finance Book Review:

The book covers a wide range of topics, yet essential, in Computational Finance (CF), understood as a mix of Finance, Computational Statistics, and Mathematics of Finance. In that regard it is unique in its kind, for it touches upon the basic principles of all three main components of CF, with hands-on examples for programming models in R. Thus, the first chapter gives an introduction to the Principles of Corporate Finance: the markets of stock and options, valuation and economic theory, framed within Computation and Information Theory (e.g. the famous Efficient Market Hypothesis is stated in terms of computational complexity, a new perspective). Chapters 2 and 3 give the necessary tools of Statistics for analyzing financial time series, it also goes in depth into the concepts of correlation, causality and clustering. Chapters 4 and 5 review the most important discrete and continuous models for financial time series. Each model is provided with an example program in R. Chapter 6 covers the essentials of Technical Analysis (TA) and Fundamental Analysis. This chapter is suitable for people outside academics and into the world of financial investments, as a primer in the methods of charting and analysis of value for stocks, as it is done in the financial industry. Moreover, a mathematical foundation to the seemly ad-hoc methods of TA is given, and this is new in a presentation of TA. Chapter 7 reviews the most important heuristics for optimization: simulated annealing, genetic programming, and ant colonies (swarm intelligence) which is material to feed the computer savvy readers. Chapter 8 gives the basic principles of portfolio management, through the mean-variance model, and optimization under different constraints which is a topic of current research in computation, due to its complexity. One important aspect of this chapter is that it teaches how to use the powerful tools for portfolio analysis from the RMetrics R-package. Chapter 9 is a natural continuation of chapter 8 into the new area of research of online portfolio selection. The basic model of the universal portfolio of Cover and approximate methods to compute are also described.

Financial Engineering

Financial Engineering
Author: Tanya S. Beder,Cara M. Marshall
Publsiher: John Wiley & Sons
Total Pages: 616
Release: 2011-06-07
ISBN 10: 0470455810
ISBN 13: 9780470455814
Language: EN, FR, DE, ES & NL

Financial Engineering Book Review:

FINANCIAL ENGINEERING The Robert W. Kolb Series in Finance is an unparalleled source of information dedicated to the most important issues in modern finance. Each book focuses on a specific topic in the field of finance and contains contributed chapters from both respected academics and experienced financial professionals. As part of the Robert W. Kolb Series in Finance, Financial Engineering aims to provide a comprehensive understanding of this important discipline by examining its fundamentals, the newest financial products, and disseminating cutting-edge research. A contributed volume of distinguished practitioners and academics, Financial Engineering details the different participants, developments, and products of various markets—from fixed income, equity, and derivatives to foreign exchange. Also included within these pages are comprehensive case studies that reveal the various issues associated with financial engineering. Through them, you'll gain instant insights from the stories of Countrywide (mortgages), Société Générale and Barings (derivatives), the Allstate Corporation (fixed income), AIG, and many others. There is also a companion website with details from the editors' survey of financial engineering programs around the globe, as well as a glossary of key terms from the book. Financial engineering is an evolving field in constant revision. Success, innovation, and profitability in such a dynamic area require being at the forefront of research as new products and models are introduced and implemented. If you want to enhance your understanding of this discipline, take the time to learn from the experts gathered here.

150 Most Frequently Asked Questions on Quant Interviews

150 Most Frequently Asked Questions on Quant Interviews
Author: Dan Stefanica,Radiša Radojičić,Tai-ho Wang
Publsiher: Unknown
Total Pages: 209
Release: 2013
ISBN 10: 9780979757648
ISBN 13: 0979757649
Language: EN, FR, DE, ES & NL

150 Most Frequently Asked Questions on Quant Interviews Book Review: