Download A Primer for the Mathematics of Financial Engineering, by Dan Stefanica

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A Primer for the Mathematics of Financial Engineering, by Dan Stefanica

Download A Primer for the Mathematics of Financial Engineering, by Dan Stefanica

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About the Author

Dan Stefanica has been the Director of the Masters Program in Financial Engineering at Baruch College, City University of New York, since its inception in 2002. He is teaching courses on numerical methods for finance, as well as pre-program courses in advanced calculus and linear algebra with financial applications. He has a PhD in Applied Mathematics from New York University and taught previously at the Massachusetts Institute of Technology.

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Product details

Paperback: 302 pages

Publisher: FE Press (April 4, 2008)

Language: English

ISBN-10: 0979757606

ISBN-13: 978-0979757600

Product Dimensions:

6 x 0.7 x 9 inches

Shipping Weight: 1.1 pounds (View shipping rates and policies)

Average Customer Review:

4.0 out of 5 stars

28 customer reviews

Amazon Best Sellers Rank:

#3,128,434 in Books (See Top 100 in Books)

First, primer means you have to have the fundamental math out of the way before you dive into this book. If you are fuzzy about what integration means, or the basic form of differentation then start with Calculus first. Though I think the author does a great job of teaching Calculus in this book.This book bridges a very important gap between math and finance, and that is from the pure theoretical math to applied finance. People do not realize that financial engineering employs some of the most advanced theories in both theoretical math and probility. Which is why Wall Street is looking for physicists and engineering students for quantative finance.This is a great self study, or textbook which instructs the student how to apply their math background to finance. The author does an excellent job of teaching the math, while using financial engineering as the examples and problems. Which in the end takes you from basic Calculus to Taylor series and Lagrange.Actually it would be a great way to teach calculus in the future. Instead of using theoretical physics and the sciences for examples and problems, simply use finance.The psuedocode is just a bonus in my mind. This is an excellent math book for students, even if they are not planning on a future in financial engineering because it does illustrate applied math like no other textbook.

I own this book for the last 5 years and it is one of the most popular in my library.I originally used it while I was a student and nowadays as practitioner, it is my go-to book to refresh my memory for most of the covered topics.Dan has a clean, easy to read, with full proof explanations and examples style, which helps the reader to quickly and rigorously understand the basic ideas and concepts.The book contains a plethora of topics that any quant in finance will come across at some point. The selection helps the reader to gain a robust foundation before moving to more advance constructions (from integrals -> continuous probabilities -> risk neutral estimation and properties of Black-Scholes as well as other topics e.g. Taylor expansion, numerical methods, bond mathematics, portfolio construction, etc.).I would highly recommend it.

It covers a broad range of topics (especially options) in math finance and the level of details is incomparable. It provides an alternative to stochastic calculus. I personally found the exposition about finance concept is very clear. The style is down-to-the-earth. It has quite a lot technique details which I couldn't find in many other math finance books. I hope author can write another book about portfolio optimization which I would purchase in no time.

I bought this book before entering a top MFE program and found it is extremely helpful!It is not an undergraduate level calculus textbook as someone may think. This book emphasizes advanced calculus methods and math foundations with applications in the financial world. Thus, I would strongly recommend it to anyone who is interested in quantitative finance and needs to enhance their math knowledge towards that.Specifically, there are five main aspects that highlight the book's value:1. It covers the most important calculus and math foundations for quantitative analysis in solving financial problems. It goes from basic calculus, numerical integration and probability concepts to Newton's method, Taylor's formula, finite difference & ODEs, multivariate calculus and Lagrange multipliers. All math theorems/proofs/formulas are very clear and easy to follow.2. It provides plenty of examples of real-world financial applications, such as options, put-call parity, Greeks and hedging, Black-Scholes PDE, and interest rates, Bonds, portfolio optimization. These practical problems are very common in the financial industry, and many of them have been frequently asked as interview questions for quant finance jobs.3. It also provides many straightforward pseudocodes for implementing some programming algorithms, such as Simpson's numerical integration, Black-Scholes's option pricing model, computing implied vol, Newton's method, etc. No matter what programming language you use, it is very easy to implement following the pseudocodes. You will find how efficient it is.4. It provides extensive practice exercises. I almost finished all exercise problems, some of them are theoretical, requiring derivations and proofs, and some are practical, requiring computation and programming. Very challenging but intellectually stimulating.5. The book is well-organized and very easy to follow. Every chapter covers a major math topic with financial applications/examples. No need to worry if you don't have a finance background since all finance terminologies are well explained. Math notations are consistent and easy to understand and remember.This book has been continuously ranked as one of the most famous quant finance books by QuantNet.com.If you ask about what math background is required for a Master in Financial Engineering/Mathematical Finance program, the answer is always: read this book. If you want to review/refine/enhance your math knowledge for entering a MFE program, read this book.

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A Primer for the Mathematics of Financial Engineering, by Dan Stefanica PDF

A Primer for the Mathematics of Financial Engineering, by Dan Stefanica PDF