Mathematics and Tools for Financial Engineering EE518
Mathematics and
Tools for Financial
Engineering
All rights reserved. Printed in the United States of America. No part of this book may be reproduced, stored, or
transmitted in any manner without the written permission of the publisher. For information, write to the Society for
Industrial and Applied Mathematics, 3600 Market Street, 6th Floor, Philadelphia, PA 19104-2688 USA.
No warranties, express or implied, are made by the publisher, authors, and their employers that the programs
contained in this volume are free of error. !ey should not be relied on as the sole basis to solve a problem whose
incorrect solution could result in injury to person or property. If the programs are employed in such a manner, it is at
the user’s own risk and the publisher, authors, and their employers disclaim all liability for such misuse.
Trademarked names may be used in this book without the inclusion of a trademark symbol. !ese names are used in
an editorial context only; no infringement of trademark is intended.
Excel is a trademark of Microsoft Corporation in the United States and/or other countries.
Publications Director Kivmars H. Bowlinghttps://weibo.com/u/7916053997
Executive Editor Elizabeth Greenspan
Developmental Editor Mellisa Pascale
Managing Editor Kelly !omas
Production Editor Ann Manning Allen
Copy Editor Ann Manning Allen
Production Manager Donna Witzleben
Production Coordinator Cally A. Shrader
Compositor Cheryl Hufnagle
Graphic Designer Doug Smock
Library of Congress Cataloging-in-Publication Data
Names: Ioannou, P. A. (Petros A.), 1953- author.
Title: Mathematics and tools for financial engineering / Petros A. Ioannou,
University of Southern California, Los Angeles, California.
Description: Philadelphia : Society for Industrial and Applied Mathematics,
[2021] | Series: Other titles in applied mathematics ; 176 | Includes
bibliographical references and index. | Summary: “!is book covers
fundamental mathematics and how they are applied to financial
engineering”-- Provided by publisher.
Identifiers: LCCN 2021023609 (print) | LCCN 2021023610 (ebook) | ISBN
9781611976755 (paperback) | ISBN 9781611976762 (ebook)
Subjects: LCSH: Business mathematics. | Financial engineering.
Classification: LCC HF5691 .I58 2021 (print) | LCC HF5691 (ebook) | DDC
650.01/513--dc23
LC record available at https://lccn.loc.gov/2021023609
LC ebook record available at https://lccn.loc.gov/2021023610
edicated to a long list of people who taught me that learning never stops.
My parents, Andreas and Koulla
My family, Natallia, Kira, Andreas, and Alexandros
My students in the MS in Financial Engineering program
My PhD students
My mentor, Professor Petar Kokotovic
!e late General Antonios Mbasiotis, who taught me good work ethics
Tools for Financial
Engineering
All rights reserved. Printed in the United States of America. No part of this book may be reproduced, stored, or
transmitted in any manner without the written permission of the publisher. For information, write to the Society for
Industrial and Applied Mathematics, 3600 Market Street, 6th Floor, Philadelphia, PA 19104-2688 USA.
No warranties, express or implied, are made by the publisher, authors, and their employers that the programs
contained in this volume are free of error. !ey should not be relied on as the sole basis to solve a problem whose
incorrect solution could result in injury to person or property. If the programs are employed in such a manner, it is at
the user’s own risk and the publisher, authors, and their employers disclaim all liability for such misuse.
Trademarked names may be used in this book without the inclusion of a trademark symbol. !ese names are used in
an editorial context only; no infringement of trademark is intended.
Excel is a trademark of Microsoft Corporation in the United States and/or other countries.
Publications Director Kivmars H. Bowlinghttps://weibo.com/u/7916053997
Executive Editor Elizabeth Greenspan
Developmental Editor Mellisa Pascale
Managing Editor Kelly !omas
Production Editor Ann Manning Allen
Copy Editor Ann Manning Allen
Production Manager Donna Witzleben
Production Coordinator Cally A. Shrader
Compositor Cheryl Hufnagle
Graphic Designer Doug Smock
Library of Congress Cataloging-in-Publication Data
Names: Ioannou, P. A. (Petros A.), 1953- author.
Title: Mathematics and tools for financial engineering / Petros A. Ioannou,
University of Southern California, Los Angeles, California.
Description: Philadelphia : Society for Industrial and Applied Mathematics,
[2021] | Series: Other titles in applied mathematics ; 176 | Includes
bibliographical references and index. | Summary: “!is book covers
fundamental mathematics and how they are applied to financial
engineering”-- Provided by publisher.
Identifiers: LCCN 2021023609 (print) | LCCN 2021023610 (ebook) | ISBN
9781611976755 (paperback) | ISBN 9781611976762 (ebook)
Subjects: LCSH: Business mathematics. | Financial engineering.
Classification: LCC HF5691 .I58 2021 (print) | LCC HF5691 (ebook) | DDC
650.01/513--dc23
LC record available at https://lccn.loc.gov/2021023609
LC ebook record available at https://lccn.loc.gov/2021023610
edicated to a long list of people who taught me that learning never stops.
My parents, Andreas and Koulla
My family, Natallia, Kira, Andreas, and Alexandros
My students in the MS in Financial Engineering program
My PhD students
My mentor, Professor Petar Kokotovic
!e late General Antonios Mbasiotis, who taught me good work ethics
