#### dstefan

##### Baruch MFE Director

- Joined
- 5/19/06

- Messages
- 1,336

- Points
- 93

We are happy to announce that the book ``

This book covers numerical linear algebra methods required for financial engineering applications, and includes the mathematical underpinnings for many methods used in practice. Many of these applications, complete with pseudocodes, are included in the book, which is appropriate for self-study. It is the second book in the Financial Engineering Advanced Background series, after ``

The book can be ordered from

All orders from http://www.fepress.org/nla-primer will be signed and personalized by the author.

________________________________________________________________________

Title:

Author: Dan Stefanica

Softcover: 338 pages

Publisher: Financial Engineering Press

Table of Contents: attached

FE Press Price: $49.60 (List Price: $62)

Also available on amazon.de amazon.fr amazon.it amazon.es

• 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

• LU and Cholesky decompositions and linear solvers

• Optimal solvers for tridiagonal symmetric positive matrices

• Ordinary least squares and linear regression

• Linear Transformation Property

• Efficient cubic spline interpolation

• Multivariate normal random variables

________________________________________________________________________

**A Linear Algebra Primer for Financial Engineering**" by**Dan Stefanica**was published on July 15.This book covers numerical linear algebra methods required for financial engineering applications, and includes the mathematical underpinnings for many methods used in practice. Many of these applications, complete with pseudocodes, are included in the book, which is appropriate for self-study. It is the second book in the Financial Engineering Advanced Background series, after ``

**A Primer for the Mathematics of Financial Engineering**".The book can be ordered from

**http://www.fepress.org/nla-primer**for**$49.60**, a 20% discount off the $62 list price, for all orders placed before**August 1, 2014**.All orders from http://www.fepress.org/nla-primer will be signed and personalized by the author.

________________________________________________________________________

Title:

**A Linear Algebra Primer for Financial Engineering**Author: Dan Stefanica

Softcover: 338 pages

Publisher: Financial Engineering Press

**FE Press**page and sample sections:**http://www.fepress.org/nla-primer**Table of Contents: attached

FE Press Price: $49.60 (List Price: $62)

**Amazon US**:**http://tinyurl.com/nsoryr8****Amazon UK**:**http://tinyurl.com/nvpo67m**Also available on amazon.de amazon.fr amazon.it amazon.es

**Financial Applications**• 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**• LU and Cholesky decompositions and linear solvers

• Optimal solvers for tridiagonal symmetric positive matrices

• Ordinary least squares and linear regression

• Linear Transformation Property

• Efficient cubic spline interpolation

• Multivariate normal random variables

________________________________________________________________________

**About the Author**

Dan Stefanicahas been the Director of the Financial Engineering Masters Program at Baruch College, City University of New York, since its inception in 2002. He teaches graduate courses on numerical methods for financial engineering, as well as pre-program courses on advanced calculus and numerical linear algebra with financial applications. His research spans numerical analysis, graph theory, and geophysical fluid dynamics.Dan Stefanica

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