Books

A Primer for the Mathematics of Financial Engineering, Second Edition
FE Press, New York, 2011

Sample Sections:

• Table of Contents (Download)
• 3.6.1. Explaining the magic of Greeks computations (Download)
• 5.2.1. The N-dimensional Newton’s Method (Download)
• 6.5. Parallel shifts in the yield curve (Download)
• 6.7. Dollar duration and dollar convexity; bond portfolio immunization (Download)
• 8.6. Integrating the density function of the standard normal variable (Download)
• 9.1. Lagrange multipliers (Download)
• Exercises – Chapter 1 (Download)
• Exercises – Chapter 6 (Download)

The Second Edition of A Primer for the Mathematics of Financial Engineering was named the Number 1 QuantNet bestselling book of 2011

Solutions Manual – A Primer for the Mathematics of Financial Engineering, Second Edition
FE Press, New York, 2011

Sample Sections:

• 1.1. Chapter 1 Exercises (Download)
• 1.2. Complete Solutions to Chapter 1 Exercises (Download)

The Second Edition of the Solutions Manual to A Primer for the Mathematics of Financial Engineering is the Number 3 QuantNet bestselling book of 2011.

Websites:

Publisher’s discount on Math Primer and Solutions Manual and worldwide shipping from FE Press

Amazon US: Math Primer; Solutions Manual

Amazon UK: Math Primer; Solutions Manual

Amazon France: Math Primer; Solutions Manual

Amazon Germany: Math Primer; Solutions Manual

The Primer and its Solutions Manual are the first books in the Financial Engineering Advanced Background Series. A third book in the series, A Numerical Linear Algebra Primer for Financial Engineering is scheduled to appear in December 2013.

Selected Papers

Domain Decomposition Methods

Dostál, Zdeněk; Horák, David; Stefanica, Dan. A scalable FETI-DP algorithm with non-penetration mortar conditions on contact interface. J. Comput. Appl. Math. 231 (2009), no. 2, 577–591

Stefanica, Dan. A balancing algorithm for mortar methods. Domain decomposition methods in science and engineering XVI, 747–754, Lect. Notes Comput. Sci. Eng., 55, Springer, Berlin, 2007

Dostál, Zdeněk; Horák, David; Stefanica, Dan. Quadratic programming and scalable algorithms for variational inequalities. Numerical mathematics and advanced applications, 62–78, Springer, Berlin, 2006

Stefanica, Dan. Lower bounds for additive Schwarz methods with mortars. C. R. Math. Acad. Sci. Paris 339 (2004), no. 10, 739–743

Stefanica, Dan. A numerical study of FETI algorithms for mortar finite element methods. SIAM J. Sci. Comput. 23 (2001), no. 4, 1135–1160

Geophysical Fluid Dynamics

Holland, David; Rosales, Rodolfo; Stefanica, Dan; Tabak, Esteban. Internal hydraulic jumps and mixing in two-layer flows. J. Fluid Mech. 470 (2002), 63–83

Graph Theory

Ismailescu, Dan; Stefanica, Dan. Minimizer graphs for a class of extremal problems. J. Graph Theory 39 (2002), no. 4, 230–240

Postions

Baruch College: Director, Financial Engineering MS Program, 2002 – Present

Baruch College: Associate Professor, Department of Mathematics, 2005 – Present

Massachusetts Institute of Technology: Applied Mathematics Instructor, 2000-2002

Grant Support

NSF-DMS-0103588; PSC-CUNY 62667-00 40 (selected)

Contact for Baruch MFE Inquiries

Email: baruch.mfe at baruch.cuny.edu

Phone: +1-646-312-4001

Contact

Email: Dan.Stefanica at baruch.cuny.edu

Phone: +1-646-312-4171