Product Description

This book is meant to build the solid mathematical foundation required to understand the quantitative models used financial engineering. The financial applications range from the Put-Call parity, bond duration and convexity, and the Black-Scholes model, to the numerical estimation of the Greeks, implied volatility, and bootstrapping for finding interest rate curves. On the mathematical side, useful but sometimes overlooked topics are presented in detail: differentiating integrals with respect to nonconstant integral limits, numerical approximation of definite integrals, convergence of Taylor series expansions, finite difference approximations, Stirling's formula, Lagrange multipliers, polar coordinates, Newton's method for higher dimensional problems. A Solutions Manual containing complete solutions to every exercise, as well as to over 50 supplemental exercises, is available on amazon.com. International shipping and the Errata are available at www.fepress.org

Product Details

• Amazon Sales Rank: #42210 in Books
• Published on: 2008-04-04
• Binding: Paperback
• 302 pages

About the Author
Dan Stefanica has been the Director of the financial engineering Masters Program at Baruch College, City University of New York, since its inception in 2002. He has a PhD in Applied Mathematics from New York University and has taught at Massachusetts Institute of Technology

Customer Reviews

Highly recommended

I've been away from school for a while, and I needed to review a lot of advanced mathematical concepts as well as financial topics in a matter of few months in preparation for my graduate study in Financial Engineering. This book is very concise and compact, yet easy to follow. You could cover substantial amount of materials (math concepts and financial applications) even by just reading a few chapters. It has been very useful for my preparation, and I feel like I'm really building a solid foundation to start my advanced study this coming fall, and hopefully, be very successful as well. I can see that it would be equally useful as a reference for the entire duration of my study, as well as my current job and envisioned career direction at a major financial services company.

The Title of this Book is Correct
This book gives you a very good overview on the Maths you need for Financial Engineering. It is not a introductionary book. It is a primer as the title says. So don't expect a text book. It repeats and explains the necessary math concepts and then shows its applications in Finance. If you plan to attend a Quantitative Finance course soon then I can recommend this book for preparation first and later for reference during your studies and at work.

Very good book for Quant
This is very good book for Quant.
Some questions from quant interview are also covered.
The combination of this book with the Summer Advance Calculus class from Baruch Financial Engineering Program will be perfect preparation for your interview. I just took that class and I learn a lot in two weeks.