Mathematics and Statistics Review for

Financial Engineering
Outline
1. Statistics
a. Random variables
b. Expectations
c. Standard deviation and variance
d. Parametric distributions
i. Bernoulli
ii. Binomial
iii. Exponential
iv. Gamma
v. Geometric
vi. Normal or Gaussian (one dimension)
vii. Poisson
2. Linear algebra
a. Matrix operations and properties
b. Norms
c. Inner products
d. Linear (in)dependence
e. Rank of a matrix
f. Eigenvectors and eigenvalues
g. Hyperplanes
3. Calculus I
a. Logs and e
b. Multivariable calculus
i. Partial derivatives
ii. Gradients
iii. Hessians
c. Taylor's theorem
d. Leibnitz rule for differentiating integrals
4. Calculus II and Regression Analysis
a. ODEs and PDEs
b. Lagrange multipliers & optimization
c. Regression Analysis
i. Beta
ii. R2
iii. T-statistics

Further Reading
A Primer for The Mathematics of Financial Engineering by Dan Stefanica
Mathematics and Statistics for Financial Risk Management by Michael B. Miller
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