This book covers linear algebra methods for financial engineering applications from a numerical point of view. The book contains many such applications, as well as pseudocodes, numerical examples, and questions often asked in interviews for quantitative positions.
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.
A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) free ebook pdf epub
A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) read online free book
A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) ebook pdf epub mobi
A Linear Algebra Primer for Financial Engineering: Covariance Matrices, Eigenvectors, OLS, and more (Financial Engineering Advanced Background Series) by Dan Stefanica ebook pdf epub mobi
No comments:
Post a Comment
Note: only a member of this blog may post a comment.