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Deizang Linear Algebra for Financial Engineering Book

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Description

Master the mathematical foundations of quantitative finance with A Linear Algebra Primer for Financial Engineering. Part of the Financial Engineering Advanced Background Series, this book provides a numerical perspective on essential methods used in the industry. It bridges the gap between theory and practice by including pseudocodes, numerical examples, and common interview questions for quantitative positions. Topics cover a wide range of financial applications, including the Arrow-Debreu one period market model, index options arbitrage, and covariance/correlation matrix estimation from time series data. You will also learn about Ordinary Least Squares (OLS) for implied volatility computation, minimum variance and maximum return portfolios, and Value at Risk (VaR) calculations. This resource is designed for those preparing for careers in finance and job hunting in quantitative roles.

Key Features

Provides practical numerical applications of linear algebra specifically for financial engineering roles.

Includes pseudocodes and numerical examples to help apply mathematical concepts to real-world data.

Features common interview questions frequently asked during quantitative position interviews.

Covers essential financial models such as the Arrow-Debreu one period market model and index options arbitrage.

Explains complex calculations like covariance matrix estimation and Ordinary Least Squares for implied volatility.

Details portfolio management techniques including minimum variance, maximum return, and Value at Risk (VaR).

Product Specifications

Brand
Deizang
Format
paperback
Domain
Amazon UK
Release Date
07 July 2014
Listed Since
07 July 2014

Barcode

No barcode data available

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