Solutions Manual - A Linear Algebra Primer for Financial Engineering (Financial Engineering Advanced Background Series)

Solutions Manual - A Linear Algebra Primer for Financial Engineering (Financial Engineering Advanced Background Series)

<p>Every exercise from the book ``A Linear Algebra Primer for Financial Engineering“ is solved in detail in the Solutions Manual.</p> <p>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.</p> <p><b>Financial Applications</b></p> <p>• The Arrow—Debreu one period market model</p> <p>• One period index options arbitrage</p> <p>• Covariance and correlation matrix estimation from time series data</p> <p>• Ordinary least squares for implied volatility computation</p> <p>• Minimum variance portfolios and maximum return portfolios</p> <p>• Value at Risk and portfolio VaR</p> <p><b>Linear Algebra Topics</b></p> <p>• LU and Cholesky decompositions and linear solvers</p> <p>• Optimal solvers for tridiagonal symmetric positive matrices</p> <p>• Ordinary least squares and linear regression</p> <p>• Linear Transformation Property</p> <p>• Efficient cubic spline interpolation</p> <p>• Multivariate normal random variables</p>