Solutions Manual - A Linear Algebra Primer for Financial Engineering (Financial Engineering Advanced Background Series) (Volume 4) / Stefanica, Dan

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