Analysis and Linear Algebra For Finance - Part II

Analysis
and Linear Algebra for

Finance: Part II
Patrick Roger
Download free books at
Patrick Roger
Analysis and Linear Algebra for Finance:

Part II
Patrick ROGER
LaRGE Research Center
EM Strasbourg Business School
University of Strasbourg
2
Download free eBooks at bookboon.com
Analysis and Linear Algebra for Finance: Part II

First edition
2013 Patrick Roger & bookboon.com (Ventus Publishing ApS)
ISBN 978-87-403-0429-9
3
Contents
Contents
Introduction
Vector spaces and linear mappings
1.1
Vector spaces: definitions and general properties
1.2
Linear mappings
25
1.3
Finite-dimensional spaces and matrices
33
1.4
Norms and inner products
55
1.5
Hilbert spaces
61
1.6
Separation theorems and Farkas lemma
64
Functions of several variables
73
2.1
Metric spaces
74
2.2
Continuity and differentiability
84
2.3
Implicit and homogeneous functions
106
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Optimization without constraints
113
3.1 Preliminaries
114
3.2
Optimizing a single-variable function
120
3.3
Optimizing a function of two variables
124
3.4
Functions of n variables
131
Constrained optimization
137
4.1
Functions of two variables and equality constraint
138
4.2
Functions of p variables with m equality constraints
145
4.3
Functions of p variables with mixed constraints
150
Index
154
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1
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1.3
1.4
1.5
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94
95
10
-5
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1.5
2.5
1.5
2.5
96
97
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100
101
0.03
0.025
f(x,y)
0.02
0.015
0.01
0.005
0
0.5
0.4
0.3
0.2
0.1
-0.1
-0.2
-0.3
-0.4
-0.5
-0.5
-0.4
-0.3
-0.2
-0.1
0.1
0.2
0.3
0.4
0.5
102
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105
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Real work
International
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al opportunities
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work
or placements
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for Engineers and Geoscientists
Maersk.com/Mitas
www.discovermitas.com
e G
for Engine
Ma
Month 16
I was a construction
Mo
supervisor
ina const
I was
the North Sea super
advising and the No
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helping
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ssolve
problems
Real work
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helping
fo
International
Internationa
al opportunities
ree wo
work
or placements
ssolve pr
112
113
114
93%
OF MIM STUDENTS ARE

WORKING IN THEIR SECTOR 3 MONTHS
FOLLOWING GRADUATION
STUDY IN THE CENTER OF MADRID AND TAKE ADVANTAGE OF THE UNIQUE OPPORTUNITIES
THAT THE CAPITAL OF SPAIN OFFERS
PROPEL YOUR EDUCATION BY EARNING A DOUBLE DEGREE THAT BEST SUITS YOUR
PROFESSIONAL GOALS
STUDY A SEMESTER ABROAD AND BECOME A GLOBAL CITIZEN WITH THE BEYOND BORDERS
EXPERIENCE
5 Specializations
Personalize your program
www.ie.edu/master-management
#10 WORLDWIDE
FINANCIAL TIMES
mim.admissions@ie.edu
115
Length: 1O MONTHS
Av. Experience: 1 YEAR
Language: ENGLISH / SPANISH
Format: FULL-TIME
Intakes: SEPT / FEB
55 Nationalities
in class
Follow us on IE MIM Experience
116
4
2
-3
-2
-1
-2
-4
117
7
6
5
4
3
2
1
-6
-4
-2
118
1
-6
-4
-2
-1
-2
-3
-4
-5
119

8
6
4
2
-2
-1
0
-2
1
x
-4
-6
-8
16
14
12
10
8
6
4
2
-2
-1
1
x
120
121
122

123
124
f(x1,x2)
0.5
0
2
0
-2
x2
0
-2
x1
125
0.35
0.3
0.25
0.2
0.15
0.1
0.05
-4
-2
126
20
10
0
-10
-20
5
-5
-5
127
Excellent Economics and Business programmes at:
The perfect start

of a successful,
international career.
CLICK HERE
to discover why both socially

and academically the University
of Groningen is one of the best
places for a student to be
www.rug.nl/feb/education
128
129
130
10
0
2
0
-2
0
-2
131
132
133
American online
LIGS University
is currently enrolling in the
Interactive Online BBA, MBA, MSc,
DBA and PhD programs:
enroll by September 30th, 2014 and

save up to 16% on the tuition!
pay in 10 installments / 2 years
Interactive Online education
visit www.ligsuniversity.com to
find out more!
Note: LIGS University is not accredited by any

nationally recognized accrediting agency listed
by the US Secretary of Education.
More info here.
134
135
Part

constraints
Analysis
and Linear Algebra
for Finance:
II
Optimization
without

136
137
138
139
140
141

142
143
144
145
Join the best at

the Maastricht University
School of Business and
Economics!
Top masters programmes

3
3rd place Financial Times worldwide ranking: MSc
International Business
1st place: MSc International Business
1st place: MSc Financial Economics
2nd place: MSc Management of Learning
2nd place: MSc Economics
2nd place: MSc Econometrics and Operations Research
2nd place: MSc Global Supply Chain Management and
Change
Sources: Keuzegids Master ranking 2013; Elsevier Beste Studies ranking 2012;
Financial Times Global Masters in Management ranking 2012
Maastricht
University is
the best specialist
university in the
Netherlands
(Elsevier)
Visit us and find out why we are the best!

Masters Open Day: 22 February 2014
www.mastersopenday.nl
146
147
148
149
150
151
152
153
Index
Index
convex, 104
homogeneous, 109
Arrow-Debreu security, 22
gradient, 88
ball
Hessian, 97
closed, 79
open, 78
identity
basis, 20
implicit function
change, 45
element, 9
theorem, 109
closed, 79
Implicit function theorem, 106
combination
indifference curve, 93
convex, 103
inner product
linear, 15
norm, 56
curve
interior, 79
isomorphism, 28
indifference, 93
derivative
Lagrangian, 140
partial, 86
multiplier, 140
determinant, 41, 42
lemma
differential, 91
alternative, 66
distance
Farkas, 66
limit, 84
metric, 74
linear
eigenspace, 50
combination, 15
eigenvalue, 49
linear functional, 31
eigenvector, 49
endomorphism, 40
mapping

linear, 25
Farkas lemma, 66
compound, 35
form
functional, 32
isomorphism, 28
quadratic, 60
formula
kernel, 26
matrix, 33
Taylor, 99
function
quadratic form, 60
C1, 86
marginal rate of substitution, 93
concave, 104
matrix
continuous, 85
change-of-basis, 45
154
Index
cofactor, 41
sequence
definite, 57
Cauchy, 84
diagonalizable, 54
convergent, 84
diagonalization, 49
set
eigenvalue, 49
bounded, 83
eigenvector, 49
closed, 79
Hessian, 97
closure, 81
identity, 40
compact, 83
orthogonal, 55
convex, 62, 103
principal minor, 41
dense, 82
semidefinite, 57
exterior, 81
maximum
frontier, 81
global, 121, 150
interior, 81
local, 121, 122, 129, 145, 149
open, 79
metric
solution
distance, 74
Euclidian, 75
space
space, 75
Hilbert, 61
minimum
isomorphic, 29
global, 150
metric, 75
local, 129, 145, 149
separable, 82
corner, 116
multiplier
sum
direct, 13
vectors, 12
Kuhn-Tucker, 152
net present value, 108

norm, 55
theorem
notation
Euler, 111
mean value, 97
Landau, 100
numraire, 71
vector
optimum
Arrow-Debreu, 22
global, 150
direct sum, 13
local, 126, 132, 147
family
option
rank, 24
spanning, 19
call, 15
linearly
polynomial
dependent, 16
independent, 17
characteristic, 50
orthogonal, 59
155
rank, 24
space, 8
Index
basis, 20
finite-dimensional, 22

identity element, 9
subspace, 11
supplementary, 13

sum, 12
vector space

Hilbert, 61
inner product, 56
norm, 55
156

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Analysis

and Linear Algebra for

Download free books at

Analysis and Linear Algebra for Finance:

Analysis and Linear Algebra for Finance: Part II

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Vector spaces: definitions and general properties

Finite-dimensional spaces and matrices

Norms and inner products

Separation theorems and Farkas lemma

Functions of several variables

Continuity and differentiability

Implicit and homogeneous functions

Click on the ad to read more

Analysis and Linear Algebra for Finance: Part II

Optimization without constraints

Optimizing a single-variable function

Optimizing a function of two variables

Functions of two variables and equality constraint

Functions of p variables with m equality constraints

Functions of p variables with mixed constraints

Discover the truth at www.deloitte.ca/careers

Deloitte & Touche LLP and affiliated entities.

Discover the truth at www.deloitte.ca/careers

Deloitte & Touche LLP and affiliated entities.

Deloitte & Touche LLP and affiliated entities.

Download free eBooks at bookboon.com

Deloitte & Touche LLP and affiliated entities.

Analysis and Linear Algebra for Finance: Part II

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

We will turn your CV into

Do you like cars? Would you like to be a part of a successful brand?

Click on the ad to read more

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Click on the ad to read more

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

I joined MITAS because

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Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II

Vector spaces and linear mappings

Analysis and Linear Algebra for Finance: Part II