Solutions Manual - A Linear Algebra Primer for Financial Engineering

by Dan Stefanica

Every exercise from the book ``A Linear Algebra Primer for Financial Engineering“ is solved in detail in the Solutions Manual. The addition of this Solutions Manual offers the reader the opportunity of rigorous self-study of the linear algebra concepts presented in the NLA Primer, and of achieving a deeper understanding of the financial engineering applications therein. 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

280 pages, Paperback

Published August 22, 2016