Linear Algebra book with Financial Applications

[Ryan Shrott]

I would like to purchase another Linear Algebra textbook to read before I start my MFE program.

I currently have the book by Sheldon Axler: "Linear Algebra Done Right".

In my opinion this book should be called: "Linear Algebra Done Wrong!" I absolutely hated reading this book for many reasons. Every proof is like: "Immediately follows by proposition 3.2.3". Not a big fan of the book and looking for recommendations.

I also just purchased: Numerical Methods in Finance and Economics: A MATLAB-Based Introduction

I am assuming a solid foundation of LA concepts are assumed here: conditioning, LU and cholesky factorization in particular.

Thanks.

 

[Daniel Duffy]

IMO you should look at books by

Dahlquist
Golub and van Loan
Isaacson and Keller
Shilov
Strang

Basically, 60s authors.

 

[zyz]

Have you taken a look at this: A Linear Algebra Primer for Financial Engineering by Dan Stefanica?

 

[Ryan Shrott]

Have you taken a look at this: A Linear Algebra Primer for Financial Engineering by Dan Stefanica?

Content looks good based on table of contents. I have never learned Cholesky decomposition and have very little exposure to multivariate distributions and covariance matrices. Would you recommend this book?

 

[dstefan]

The Linear Algebra Primer for Financial Engineering covers linear algebra concepts for financial engineering applications from a numerical point of view. It is meant to be an efficient way to review linear algebra and learn numerical concepts with examples from applications to finance.

The book was written for in such a way that prospective and incoming Baruch MFE students would be able to self-study it.

 

[IntoDarkness]

stefanica's books r pretty good. u should buy all of them