Advice for a senior with sparse math background

[Jack Van]

Hi,

I'd like advice regarding what I should do to beef up my profile before applying. I'll be working in the industry in a non-quant capacity (front office, client meetings) for a few years out of college. After two years I'd like to apply for dual MBA/MFE (or MFin) programs such as the ones at Stanford or Columbia.

I'm asking for help regarding the MFE side of my application. I'm currently a graduating CS major in the US but I think I lack some math background. I have a 3.65 GPA but the math courses I've taken are only Calc I, Discrete Math, Calc II, and Linear Algebra. Two of these classes were taken in a particularly bad semester (read: family issue) so I got a C/C+ in them, the other two I have A- grades.

Regardless, I am confident in my mathematics ability so would it be sufficient for me to either,

a) score perfect on the GRE quant alone
b) (a) AND take the GRE Math (getting a 75%, I understand this is quite difficult)
c) (a) AND take supplementary math courses over the next two years at a local university to show that my math skills are actually quite good.

OR, instead of trying to strengthen my math background,

Should I let my math grades be and focus on research that I'm currently doing within computer science on numerical analysis for option pricing? I'm writing a paper on this topic now and I could potentially continue to do research in this while I'm working instead of trying to strengthen my application in math.

Please answer with respect to both MFin and MFE programs, if the suggestion is different.

 

[APalley]

I thought this was going to be a thread about having a background with this: http://www-users.cs.umn.edu/~saad/spmath/

 

[MRoss]

Lol!

 

[Andy Nguyen]

Regardless, I am confident in my mathematics ability so would it be sufficient for me to either,

a) score perfect on the GRE quant alone
b) (a) AND take the GRE Math (getting a 75%, I understand this is quite difficult)
c) (a) AND take supplementary math courses over the next two years at a local university to show that my math skills are actually quite good.

Getting a perfect GRE Q is actually not a good indicator of mathematical ability. At any given top MFE program, more than 50% of applicants have their Q on the 94th percentile.
You need to take more math courses since you have taken few basic courses.
Since many MFE applicants will have considerably more advanced math courses than you do, consider making the programming (C++) component your strength.
Learn it very well, take part in some projects, spend a lot of time using it to develop code. Pick up Mark Joshi's book for example.

 

[Andy Xu]

Getting a perfect GRE Q is actually not a good indicator of mathematical ability. At any given top MFE program, more than 50% of applicants have their Q on the 94th percentile.
You need to take more math courses since you have taken few basic courses.
Since many MFE applicants will have considerably more advanced math courses than you do, consider making the programming (C++) component your strength.
Learn it very well, take part in some projects, spend a lot of time using it to develop code. Pick up Mark Joshi's book for example.

Hi Andy Nguyen,
Is this book (C++ Design Patterns and Derivatives Pricing) really appropriate for someone with sparse math background? I just read the first chapter and I think it assumes the reader of it already knew how to solve the black scholes PDE.

 

[Jack Van]

Would a program designed like this be better,

http://ce.columbia.edu/Postbaccalaureate-Studies/Quantitative-Studies-Finance-Certificate-Program

Or choosing from the mathematics listings here,

http://ce.columbia.edu/Postbaccalaureate-Studies/Mathematics

 

[Andy Nguyen]

Hi Andy Nguyen,
Is this book (C++ Design Patterns and Derivatives Pricing) really appropriate for someone with sparse math background? I just read the first chapter and I think it assumes the reader of it already knew how to solve the black scholes PDE.

There are lot of books we can use prior to Joshi book. See the list here.
We are not trying to reinvent the wheel here. The math/formula has been worked out for us and we just need to implement it. There is time and place to really learn about the math/model behind it but programming is something we just need to do, sit down, compile and debug it till it works.