Customer Reviews

A Primer for the Mathematics of Financial Engineering

5 star:		(10)
4 star:		(1)
3 star:		(0)
2 star:		(0)
1 star:		(0)

 

 

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.

Dr. Stefanica in his first book on financial engineering makes a gallant and fervent attempt at providing a succinct primer for financial engineering aimed at technical students entering the financial engineering world without the knowledge of application. In my opinion, he has not only accomplished, but has done so in a heroic manner.

The exposition is not as rigorous as people might expect it to be but that is primarily his aim at it seems: to give the reader a quick summary of many of the basics of differential/integral calculus, differential equations, probability, taylor series, etc, with strong applications to the financial world.
The book is meant to build a solid mathematical foundation required to understand the intricate mathematical concepts that will be taught in financial engineering programs and future in the workplace.

The book surpasses any of its potential competitors in the fact that it not only provides you with a range of questions, which I might add as he puts it, are some of the most common quant interview questions; he also portrays the connection between the mathematics in the book to numerical coding. As everyone knows, majority of the mathematical problems are solved numerically as it is just too intensive to attempt by the human hand. Dr. Stefanica provides after every important mathematical concept that needs to be solved numerically an effective Pseudo-Code. One can utilise this pseudo-code to learn/code the numerical methods utilising C++ or any programming language of their picking.

The Pseudo-Code is something is found extremely useful, as I was not only trying to refresher/learn the mathematics and its application to financial theory but also trying to understand how these numerical methods actually play out in the computer science world. The book, aided me in all these matters.

In the book, there are a few paragraphs on `who should use this book'. I will let you read that by yourself. If you look at the PREVIEW on Amazon you can read the Preface and the chapter on the book's audience to get a better feel if this book is for you.

In short, the Primer along with its solution manual is a short course in financial engineering at your finger tips.

Are you contemplating an MFE and/or MS in Math/Computational Finance Degree and asking yourself whether you have the right background?

I strongly believe that "A Primer for the Mathematics of Financial Engineering" by Prof. Dan Stefanica will take you through every step toward finding the Best answer. It will also help you start your journey as an MFE student with utmost confidence. This book is a must for all prospective students for an MFE (or equivalent) degree.

What I like the most about this book is the way the chapters are structured. Every chapter consists of two main parts. The first part deals with the basic mathematical foundation and/or numerical techniques required to understand a given subtopic of quantitative finance. Once the mathematical/numerical basis is set up, Prof. Stefanica moves on to describing how it can be applied to comprehend a specific set of topics in quantitative finance in the second part of each chapter.

Even if your math is not super strong to begin with, or you have not had much exposure to numerical techniques, you can easily master your skills while you are studying the first part of every chapter. And immediately following that, you see the application of the abstract mathematical concepts in the finance world. And then you can sharpen your skills much further by actually solving the stimulating questions/problems found at the end of each chapter.

Another thing I love about this book is the set of pseudo-codes. After describing the numerical techniques, be it Simpson's rules for numerical integration or Secant method for solving 1-D nonlinear problems, the author provides pseudo-codes showing practical examples of their implementation. You can easily translate these pseudo-codes to your favorite language (C++, Matlab, etc.) and start producing results immediately.

I hope you will enjoy studying the topics presented in this book... like I did.

Good Luck!

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.

This is a must read, it provides all the necessary financial mathematical information needed for a career as a quant. But the real reason this is a must read is because once you understand the equations, you need to go back through the book, and solve every equation using a programming language . If you can solve each equation by developing software to handle it, you are on your way to being a rock star quant and prepared for interviews. Be sure to buy the solution manual too, because you will save yourself a headache trying to figure out if you solved the problems correctly.

Dan Stefanica did a good job in writing this book.
As an undergrad student in electrical engineering, I was able to review the main concepts learned in Calculus, Numerical Analysis and Statistics, and further apply those concepts in a certain number of mathematical finance problems.
Most of the chapters include algorithms that you can easily implement and start building your own quant library in a programming language of your choice.
I particularly enjoyed professor Stefanica's mathematical rigor and recommend that potential readers put time and effort into reading this book.
Regards

I am a math finance student who will soon start a summer internship on Wall Street. I want to leave feedback for the best and worst books that I used in my studies so far.

I read this book before starting my studies, and did many exercises. First, the solutions manual is great to have, you can do exercises and not spend time without any chance of finding the correct answer.

The book is very useful to help refresh math topics, instead of reading through a pure calculus book. But seeing a lot of finance applications right away is where the value of the book is in. Having pseudocodes for numerical and exercises that make you write codes to get values for financial instruments was a great way to get me ready for what I was asked in my graduate classes.

I go back to the book repeatedly. It is a very good reference book for all things Black-Scholes and for Newton's method, Lagrange multipliers and other math stuff. And I was asked several interview questions that were exercises in this book.

The title of the book says Primer but don't expect this book to be primer. You really need to have a good understanding of the concepts of Calculus, differentiation and probability in order to use this book. I am out of school for more than 10 years and I really had to tweak my brain in order to grasp the concepts explained in this book. But here is the good news. One can easily get hold of all the concepts and theories in this book using online resources. Once you do that it should be good ride and if one can successful master this book doing an MS in FE should be well within the reach.

I liked the book a lot and it was helpful as a reference for my options class. It is well organized and is not boring.

Use this book to prepare for masters in computational finance, financial engineering, mathematical finance etc...it covers topics that are important and gives you the essential tools. Will take about 2 months to go over this book doing a bit of work every day, but it will pay off. Highly recommended.