The MIT Press - Econometrics & Statistical Methods
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enAnalytical Methods for Dynamic Modelers
https://mitpress.mit.edu/analytical-methods%20
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<fieldset class="fieldgroup group-essential-info"><legend>Essential Info</legend><div class="field field-essential-info-files">
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<div class="filefield-file"><img class="filefield-icon field-icon-application-zip" alt="application/zip icon" src="https://mitpress.mit.edu/sites/all/modules/contrib/filefield/icons/package-x-generic.png" /><a href="/sites/all/modules/patched/pubdlcnt/pubdlcnt.php?file=https://mitpress.mit.edu/sites/default/files/Online%20Appendix.zip&nid=307133" type="application/zip; length=22684335" title="Online Appendix.zip">Online Appendix</a></div> </div>
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<p>Simulation modeling is increasingly integrated into research and policy analysis of complex sociotechnical systems in a variety of domains. Model-based analysis and policy design inform a range of applications in fields from economics to engineering to health care. This book offers a hands-on introduction to key analytical methods for dynamic modeling. Bringing together tools and methodologies from fields as diverse as computational statistics, econometrics, and operations research in a single text, the book can be used for graduate-level courses and as a reference for dynamic modelers who want to expand their methodological toolbox.<br /><br />The focus is on quantitative techniques for use by dynamic modelers during model construction and analysis, and the material presented is accessible to readers with a background in college-level calculus and statistics. Each chapter describes a key method, presenting an introduction that emphasizes the basic intuition behind each method, tutorial style examples, references to key literature, and exercises. The chapter authors are all experts in the tools and methods they present. The book covers estimation of model parameters using quantitative data; understanding the links between model structure and its behavior; and decision support and optimization. An online appendix offers computer code for applications, models, and solutions to exercises.<br /><br /><b>Contributors<br /></b>Wenyi An, Edward G. Anderson Jr., Yaman Barlas, Nishesh Chalise, Robert Eberlein, Hamed Ghoddusi, Winfried Grassmann, Peter S. Hovmand, Mohammad S. Jalali, Nitin Joglekar, David Keith, Juxin Liu, Erling Moxnes, Rogelio Oliva, Nathaniel D. Osgood, Hazhir Rahmandad, Raymond Spiteri, John Sterman, Jeroen Struben, Burcu Tan, Karen Yee, Gönenç Yücel</p>
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<a href="/authors/hazhir-rahmandad">Hazhir Rahmandad</a> </div>
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<a href="/authors/rogelio-oliva">Rogelio Oliva</a> </div>
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<a href="/authors/nathaniel-d-osgood">Nathaniel D. Osgood</a> </div>
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<a href="/authors/george-richardson">George Richardson</a> </div>
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Econometrics & Statistical MethodsScientific & Engineering ComputationComputer Science and Intelligent SystemsEconomics and FinanceThe MIT PressMITThe MIT PressFall 2015TextbookMon, 31 Aug 2015 15:37:04 +0000root307133 at https://mitpress.mit.eduFinancial Modeling
https://mitpress.mit.edu/books/financial-modeling-0
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<a href="http://www.youtube.com/playlist?list=PL49E8B0672C047CE1" 0="s:13:"s:6:"a:0:{}";";" rel="nofollow" class="sup_url">Author Lectures (videos)</a> </div>
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<a href="https://mitpress.mit.edu/file-download/form/2" 0="s:13:"s:6:"a:0:{}";";" rel="nofollow" class="sup_url">Supplemental Material (Requires Code found in Book)</a> </div>
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<a href="http://mitpress.mit.edu/books/excel-worksheets-and-solutions-exercises-accompany-financial-modeling-fourth-edition-access-ca" 0="s:13:"s:6:"a:0:{}";";" rel="nofollow" class="sup_url">Buy Supplemental Material Access Code Card</a> </div>
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<div class="filefield-file"><img class="filefield-icon field-icon-application-zip" alt="application/zip icon" src="https://mitpress.mit.edu/sites/all/modules/contrib/filefield/icons/package-x-generic.png" /><a href="/sites/all/modules/patched/pubdlcnt/pubdlcnt.php?file=https://mitpress.mit.edu/sites/default/files/Benninga%20FM4%20instructor%20resources.zip&nid=214475" type="application/zip; length=25740800">Benninga FM4 instructor resources.zip</a></div> </div>
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<p><i>Financial Modeling</i> is now the standard text for explaining the implementation of financial models in Excel. This long-awaited fourth edition maintains the “cookbook” features and Excel dependence that have made the previous editions so popular. As in previous editions, basic and advanced models in the areas of corporate finance, portfolio management, options, and bonds are explained with detailed Excel spreadsheets. Sections on technical aspects of Excel and on the use of Visual Basic for Applications (VBA) round out the book to make <i>Financial Modeling</i> a complete guide for the financial modeler.<br /><br />The new edition of <i>Financial Modeling</i> includes a number of innovations. A new section explains the principles of Monte Carlo methods and their application to portfolio management and exotic option valuation. A new chapter discusses term structure modeling, with special emphasis on the Nelson-Siegel model. The discussion of corporate valuation using pro forma models has been rounded out with the introduction of a new, simple model for corporate valuation based on accounting data and a minimal number of valuation parameters. <br /><br /><b>Praise for earlier editions</b><br /><i>“Financial Modeling</i> belongs on the desk of every finance professional. Its no-nonsense, hands-on approach makes it an indispensable tool.”<br />—Hal R. Varian, Dean, School of Information Management and Systems, University of California, Berkeley<br /><br />“<i>Financial Modeling</i> is highly recommended to readers who are interested in an introduction to basic, traditional approaches to financial modeling and analysis, as well as to those who want to learn more about applying spreadsheet software to financial analysis."<br />—Edward Weiss, <i>Journal of Computational Intelligence in Finance</i><br /><br />“Benninga has a clear writing style and uses numerous illustrations, which make this book one of the best texts on using Excel for finance that I've seen.”<br />—Ed McCarthy,<i>Ticker Magazine</i></p>
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<a href="/authors/simon-benninga">Simon Benninga</a> </div>
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<a href="/books/excel-worksheets-and-solutions-exercises-accompany-financial-modeling-fourth-edition-access-ca">Excel Worksheets and Solutions to Exercises to Accompany Financial Modeling, fourth edition, Access Card</a> </div>
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Slides For All Chapters Except 18 </div>
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Syllabi And Exams From Author Courses </div>
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Amtrack Case Questions And Solutions </div>
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An App For Downloading Stock Data </div>
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Amtrak Case Questions And Solutions </div>
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Econometrics & Statistical MethodsFinanceEconomics and FinanceThe MIT PressMITThe MIT PressSpring 2014TextbookMon, 31 Aug 2015 15:37:03 +0000root214475 at https://mitpress.mit.eduEconometrics in a Formal Science of Economics
https://mitpress.mit.edu/books/econometrics-formal-science-economics
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Theory and the Measurement of Economic Relations </div>
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<p>Econometrics is a study of good and bad ways to measure economic relations. In this book, Bernt Stigum considers the role that economic theory ought to play in such measurements and proposes a formal science of economics that provides the means to solve the measurement problems faced by econometric researchers. After describing the salient parts of a formal science of economics, Stigum compares its methods with the methods of contemporary applied econometrics. His goal is to develop a basis for meaningful discussion of the best way to incorporate economic theory in empirical analysis. <br /><br />Stigum conceives two scenarios for research in applied econometrics: contemporary econometrics in the tradition of Trygve Haavelmo and the formal theory-data confrontation envisioned by Ragnar Frisch. Stigum presents case studies of economic phenomena, contrasting the empirical analysis prescribed by contemporary applied econometrics with the empirical analysis prescribed by a formal theory-data confrontation. He finds significant and provocative differences. Which are we to believe when the statistical analyses of these two methodologies yield very different descriptions of the behavior characteristics of data variables and inferences about social reality? <br /><br />Stigum points to three aspects of contemporary econometric methodology that may benefit from serious discussions: the analysis of positively valued time series, a suspect characteristic of qualitative response models, and the search for linearly cointegrated time series. These three aspects are of as much concern to formal econometrics as they are to contemporary econometrics.</p>
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<a href="/authors/bernt-p-stigum">Bernt P. Stigum</a> </div>
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Econometrics & Statistical MethodsEconomics and FinanceThe MIT PressMITThe MIT PressSpring 2015Wed, 26 Aug 2015 15:01:16 +0000root249702 at https://mitpress.mit.eduToward a Formal Science of Economics
https://mitpress.mit.edu/books/toward-formal-science-economics
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<p><i>Toward a Formal Science of Economics</i> provides a unifying way to look at the concept of economic science. It lays a foundation for the axiomatic method, focusing on applications in economics and econometrics, and including discussions in logic, epistemology, and probability theory. Each chapter deals with a topic of fundamental importance to a rigorous science of economics while illustrating an aspect of the axiomatic method.<br /><br />Stigum describes an introductory course in mathematical logic, developing a symbolic language for mathematics and discussing the strengths and weaknesses of the axiomatic method. He presents the standard theory of consumer choice, illustrating different aspects of the use of the axiomatic method and evaluating economic theories of individual behavior. He takes up problems in the foundations of econometrics and choice under uncertainty and offers an introduction to nonstandard analysis that leads to discussion of exchange and probability in hyperspace. A section on epistemology completes Stigum's construction of a formal unitary methodological basis for theoretical and empirical science.<br /><br />The last three parts of the book apply these methodological tools to various topics in economics and econometrics including empirical analyses of the permanent income hypothesis and consumer choice among risky and nonrisky assets; discussion of determinism, uncertainty, and the utility hypothesis; and study of topics of importance to the analysis of economic time series.</p>
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<a href="/authors/bernt-p-stigum">Bernt P. Stigum</a> </div>
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Econometrics & Statistical MethodsMacroeconomicsMicroeconomicsEconomics and FinanceThe MIT PressMITThe MIT PressSpring 1990Wed, 26 Aug 2015 15:01:13 +0000root194526 at https://mitpress.mit.eduExchange Rate Economics
https://mitpress.mit.edu/books/exchange-rate-economics
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Where Do We Stand? </div>
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<p>Recent theoretical developments in exchange rate economics have led to important new insights into the functioning of the foreign exchange market. The simple models of the 1970s, which could not withstand empirical evaluation, have been succeeded by more complex models that draw on theoretical work in such areas as the microstructure of financial markets and open economy macroeconomics. Additionally, new and powerful econometric techniques allow researchers to subject exchange rates to stronger empirical analysis.<br /><br />This book discusses the divergent theoretical and empirical paradigms used today for setting and predicting exchange rates; the chapters reflect current debates in the field. Some chapters base their analyses on the theoretical framework of representative and fully informed rational agents; others are grounded in the hetereogeneity of agents who use different and incomplete sets of information. Still other chapters analyze empirical data to uncover the fundamental characteristics of exchange rates. Taken together, these competing analyses document the current state of exchange rate economics and point the way to a new consensus about how to predict and explain exchange rate movements.</p>
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<a href="/authors/paul-de-grauwe">Paul De Grauwe</a> </div>
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Econometrics & Statistical MethodsFinanceEconomics and FinanceThe MIT PressMITThe MIT PressSpring 2005CESifo Seminar SeriesTue, 14 Jul 2015 20:27:03 +0000root190653 at https://mitpress.mit.eduThe Theory of Money and Financial Institutions
https://mitpress.mit.edu/books/theory-money-and-financial-institutions-0
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<p>This is the second volume in a three-volume exposition of Martin Shubik's vision of "mathematical institutional economics"—a term he coined in 1959 to describe the theoretical underpinnings needed for the construction of an economic dynamics. The goal is to develop a process-oriented theory of money and financial institutions that reconciles micro- and macroeconomics, using as a prime tool the theory of games in strategic and extensive form. The approach involves a search for minimal financial institutions that appear as a logical, technological, and institutional necessity, as part of the "rules of the game." Money and financial institutions are assumed to be the basic elements of the network that transmits the sociopolitical imperatives to the economy.<br /><br />Volume 1 deals with a one-period approach to economic exchange with money, debt, and bankruptcy. Volume 2 explores the new economic features that arise when we consider multi-period finite and infinite horizon economies. Volume 3 will consider the specific role of financial institutions and government, and formulate the economic financial control problem linking micro- and macroeconomics.</p>
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<a href="/authors/martin-shubik">Martin Shubik</a> </div>
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<a href="/books/game-theory-social-sciences">Game Theory in the Social Sciences</a> </div>
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Econometrics & Statistical MethodsGame Theory & ModelingEconomics and FinanceThe MIT PressMITThe MIT PressSpring 2000Thu, 09 Jul 2015 14:39:24 +0000root194453 at https://mitpress.mit.eduThe One Best Way
https://mitpress.mit.edu/books/one-best-way
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Frederick Winslow Taylor and the Enigma of Efficiency </div>
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<p>Frederick Winslow Taylor (1856-1915) was the first efficiency expert, the original time-and-motion man—the father of scientific management, the inventor of a system that became known, inevitably enough, as Taylorism. "In the past the man has been first. In the future the System will be first," he predicted boldly, and accurately. Taylor bequeathed to us, writes Robert Kanigel in this definitive biography, a clockwork world of tasks timed to the hundredth of a minute. Taylor helped instill in us the obsession with time, order, productivity, and efficiency that marks our age. His influence can be seen in factories, schools, offices, hospitals, libraries, even kitchen design. At the peak of his celebrity in the early twentieth century, Taylor gave lectures around the country and was as famous as Edison or Ford. To organized labor, he was a slave driver; to the bosses, he was an eccentric and a radical. To himself, he was a misunderstood visionary whose "one best way" would bring prosperity to worker and boss alike. Robert Kanigel's compelling chronicle takes Taylor from privileged Philadelphia childhood to factory floor to international fame, telling the story of a paradigmatic American figure whose influence would be felt from the New Deal to Soviet Russia and remains pervasive—even insidious—today.</p>
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<p>“An expansive and illuminating biography of both the man and the gritty industrial world he inhabited.”—<i>The New York Times</i></p>
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<a href="/authors/robert-kanigel">Robert Kanigel</a> </div>
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Econometrics & Statistical MethodsManagementEconomics and FinanceScience, Technology, and SocietyThe MIT PressMITThe MIT PressSpring 2005Thu, 09 Jul 2015 14:39:18 +0000root192855 at https://mitpress.mit.eduEconomic Dynamics in Discrete Time
https://mitpress.mit.edu/books/economic-dynamics-discrete-time
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<a href="https://sites.google.com/site/jianjunmiaobook/home" 0="a:0:{}" rel="nofollow" class="sup_url">Author's Website</a> </div>
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<p>This book offers a unified, comprehensive, and up-to-date treatment of analytical and numerical tools for solving dynamic economic problems. The focus is on introducing recursive methods—an important part of every economist’s set of tools—and readers will learn to apply recursive methods to a variety of dynamic economic problems. The book is notable for its combination of theoretical foundations and numerical methods. Each topic is first described in theoretical terms, with explicit definitions and rigorous proofs; numerical methods and computer codes to implement these methods follow. Drawing on the latest research, the book covers such cutting-edge topics as asset price bubbles, recursive utility, robust control, policy analysis in dynamic New Keynesian models with the zero lower bound on interest rates, and Bayesian estimation of dynamic stochastic general equilibrium (DSGE) models. <br /><br />The book first introduces the theory of dynamical systems and numerical methods for solving dynamical systems, and then discusses the theory and applications of dynamic optimization. The book goes on to treat equilibrium analysis, covering a variety of core macroeconomic models, and such additional topics as recursive utility (increasingly used in finance and macroeconomics), dynamic games, and recursive contracts. The book introduces Dynare, a widely used software platform for handling a range of economic models; readers will learn to use Dynare for numerically solving DSGE models and performing Bayesian estimation of DSGE models. Mathematical appendixes present all the necessary mathematical concepts and results. Matlab codes used to solve examples are indexed and downloadable from the book’s website. A solutions manual for students is available for sale from the MIT Press; a downloadable instructor’s manual is available to qualified instructors.</p>
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<a href="/authors/jianjun-miao">Jianjun Miao</a> </div>
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<a href="/books/recursive-macroeconomic-theory-1">Recursive Macroeconomic Theory</a> </div>
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Econometrics & Statistical MethodsEconomics and FinanceThe MIT PressMITThe MIT PressFall 2014TextbookMon, 06 Jul 2015 19:09:33 +0000root243161 at https://mitpress.mit.eduFundamental Models in Financial Theory
https://mitpress.mit.edu/books/fundamental-models-financial-theory
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<img src="https://mitpress.mit.edu/sites/default/files/imagecache/search_thumbnail/9780262026673_0.jpg" alt="" title="" width="128" height="200" class="imagecache imagecache-search_thumbnail imagecache-default imagecache-search_thumbnail_default"/> </div>
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<a href="http://finmodeling.com/en/home" 0="s:6:"a:0:{}";" rel="nofollow" class="sup_url">Author's Supplemental Material Website</a> </div>
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<a href="http://finmodeling.com/en/download-links" 0="s:6:"a:0:{}";" rel="nofollow" class="sup_url">Interactive Spreadsheets</a> </div>
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<p>This book provides an innovative, integrated, and methodical approach to understanding complex financial models, integrating topics usually presented separately into a comprehensive whole. The book brings together financial models and high-level mathematics, reviewing the mathematical background necessary for understanding these models organically and in context. It begins with underlying assumptions and progresses logically through increasingly complex models to operative conclusions. Readers who have mastered the material will gain the tools needed to put theory into practice and incorporate financial models into real-life investment, financial, and business scenarios.<br /><br />Modern finance’s most bothersome shortcoming is that the two basic models for building an optimal investment portfolio, Markowitz’s mean-variance model and Sharpe and Treynor’s Capital Asset Pricing Model (CAPM), fall short when we try to apply them using Excel Solver. This book explores these two models in detail, and for the first time in a textbook the Black-Litterman model for building an optimal portfolio constructed from a small number of assets (developed at Goldman Sachs) is thoroughly presented. The model’s integration of personal views and its application using Excel templates are demonstrated. The book also offers innovative presentations of the Modigliani–Miller model and the Consumption-Based Capital Asset Pricing Model (CCAPM). Problems at the end of each chapter invite the reader to put the models into immediate use. <i>Fundamental Models in Financial Theory</i> is suitable for classroom use or as a reference for finance practitioners.</p>
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<a href="/authors/doron-peleg">Doron Peleg</a> </div>
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Solution Manual </div>
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Econometrics & Statistical MethodsFinanceEconomics and FinanceThe MIT PressMITThe MIT PressSpring 2014TextbookMon, 06 Jul 2015 19:09:33 +0000root214459 at https://mitpress.mit.eduIntroduction to Quantitative Finance
https://mitpress.mit.edu/books/introduction-quantitative-finance
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<img src="https://mitpress.mit.edu/sites/default/files/imagecache/search_thumbnail/9780262013697.jpg" alt="" title="" width="128" height="170" class="imagecache imagecache-search_thumbnail imagecache-default imagecache-search_thumbnail_default"/> </div>
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A Math Tool Kit </div>
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<p>This text offers an accessible yet rigorous development of many of the fields of mathematics necessary for success in investment and quantitative finance, covering topics applicable to portfolio theory, investment banking, option pricing, investment, and insurance risk management. The approach emphasizes the mathematical framework provided by each mathematical discipline, and the application of each framework to the solution of finance problems. It emphasizes the thought process and mathematical approach taken to develop each result instead of the memorization of formulas to be applied (or misapplied) automatically. The objective is to provide a deep level of understanding of the relevant mathematical theory and tools that can then be effectively used in practice, to teach students how to “think in mathematics” rather than simply to do mathematics by rote.<br /><br />Each chapter covers an area of mathematics such as mathematical logic, Euclidean and other spaces, set theory and topology, sequences and series, probability theory, and calculus, in each case presenting only material that is most important and relevant for quantitative finance. Each chapter includes finance applications that demonstrate the relevance of the material presented. Problem sets are offered on both the mathematical theory and the finance applications sections of each chapter. The logical organization of the book and the judicious selection of topics make the text customizable for a number of courses. The development is self-contained and carefully explained to support disciplined independent study as well. A solutions manual for students provides solutions to the book’s Practice Exercises; an instructor’s manual offers solutions to the Assignment Exercises as well as other materials.</p>
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<p>“Robert R. Reitano has written an ambitious and beautiful book.”—<b>Marcus Emmanuel Barnes</b>, <i>MAA Review</i></p>
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<a href="/books/student-solutions-manual-accompany-introduction-quantitative-finance-math-tool-kit">Student Solutions Manual to Accompany Introduction to Quantitative Finance: A Math Tool Kit</a> </div>
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Instructor's Manual </div>
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MathematicsEconometrics & Statistical MethodsFinanceEconomics and FinanceMathematics and PhysicsThe MIT PressMITThe MIT PressSpring 2010TextbookMon, 06 Jul 2015 19:09:27 +0000root195733 at https://mitpress.mit.edu