Solutions Manual: Dan Stefanica's A Primer for the Mathematics of Financial Engineering

[dstefan]

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A Solutions Manual for the first book in the Financial Engineering Advanced Background Series, A Primer for the Mathematics of Financial Engineering by Dan Stefanica, was published on December 8, 2008.

Combined, the Solutions Manual and the Math Primer book provide the reader with the tools to undertake rigorous self-study of the mathematical topics presented in the Math Primer with the goal of achieving a deeper understanding of the financial applications therein. The author has been the Director of the Baruch MFE program since its inception in 2002.


Title: Solutions Manual: A Primer for the Mathematics of Financial Engineering
Author: Dan Stefanica
Softcover: 216 pages
Publisher: Financial Engineering Press
ISBN-13: 978-0979757631
ISBN-10: 0979757630
Price: USD 29.50

Every exercise from the Math Primer is solved in detail in the Solutions Manual.

Over 50 new exercises are included, and complete solutions to these supplemental exercises are provided. Many of these exercises are quite challenging and offer insight that promises to be most useful in further financial engineering studies as well as job interviews.

More information about the book, including the sample solutions and all the supplemental exercises can be found here.

All purchases from FEPress.org will be signed by the author.

Books on Numerical Linear Algebra, on Probability, and on Differential Equations for financial engineering applications are forthcoming in the Financial Engineering Advanced Background Series.

 

[Bastian Gross]

I am anxious to read forthcoming books in the Financial Engineering Advanced Background Series.

 

[dstefan]

Dear Bastian,

The authors of the forthcoming books are equally anxious to read them. They may not look forward all that much to the writing process, though :-k

Dan

 

[dstefan]

I am anxious to read forthcoming books in the Financial Engineering Advanced Background Series.

In the meanwhile, here are three of my favorite supplemental questions from the book:

Chapter 0, Supplemental Problem 3: Find the largest possible value of x > 0 with such that there exists a number b > 0 with (x^{x^{x^{.^{.^{.}}}}} = b). Also, what is the largest possible value of b?


Chapter 5, Supplemental Problem 6: Use the Taylor series expansion of ln(1-x) to show that
(\int_0^1 \ln(1-x) \ln(x) ~dx = 2 - \frac{\pi^2}{6})


Chapter 8, Supplemental Problem 1: (i) If the current zero rate curve is (r_1(0,t) = 0.025 + \frac{1}{100} \mbox{exp}\large(-\frac{t}{100}\right) + \frac{t}{100(t+1)}), find the yield of a four year semiannual coupon bond with coupon rate 6%. Assume that interest is compounded continuously and that the face value of the bond is 100.

(ii) If the zero rates have a parallel shift up by 10, 20, 50, 100, and 200 basis points, respectively, i.e., if the zero rate curve changes from (r_1(0,t)) to (r_2(0,t) = r_1(0,t) + dr), with dr = 0.001, 0.002, 0.005, 0.01, 0.02, find out by how much does the yield of the bond increase in each case.

 

[evil]

Chapter 0, Supplemental Problem 3: Find the largest possible value of x > 0 with such that there exists a number b > 0 with (x^{x^{x^{.^{.^{.}}}}} = b). Also, what is the largest possible value of b?


is the answer 1 for both x and b??

 

[claudewang]

May I ask when will this book be available on Amazon? Thanks.

Claude.

 

[dstefan]

Chapter 0, Supplemental Problem 3: Find the largest possible value of x > 0 with such that there exists a number b > 0 with (x^{x^{x^{.^{.^{.}}}}} = b). Also, what is the largest possible value of b?


is the answer 1 for both x and b??

The answer is b=e and (x = e^{1/e} \approx 1.4447)

 

[Andy Nguyen]

A specific form of this question has been asked many times during quant interviews. The most common form is when find x when b =2.
It is the first question found from this list Quantitative Interview questions/answers - QuantNetwork - Financial Engineering Forum

 

[dstefan]

The Solutions Manual is now available on amazon at
Amazon.com: Solutions Manual - A Primer for the Mathematics of Financial Engineering: Dan Stefanica: Books

The 20% discount on fepress.org will be available until January 31, 2009; see above for more details.