Currently finishing my undergrad in financial markets from an Economics university and heading towards an MSc in Quantitative Finance. I have a keen interest in mathematics and programming related to finance so my goal is to go a little bit deeper in those areas during the summer, and later on. I am planning to do the following.
Programming
I have basic knowledge of FORTRAN and C, but I plan to switch to C++ and stick to it in order to learn it to some extent. I will take a 3-day course in late June that will introduce me the fundamentals of the language and I plan to follow the book “C++ How to program” by Dietel afterwards.
In addition I would like to pick up MATLAB. I was thinking to minimize the syntax part as much as possible and to see directly how it can be used for financial applications by going through “Numerical Methods in Finance and Economics – A MATLAB based introduction”.
I would also like to explore VBA, but two-three months before the MSc starts is not much time, so I am sure I can pick it up during the program since it is much VBA-oriented.
Mathematics
My undergrad was kind of poor in terms of mathematics (Calculus I, Linear Algebra, Financial Mathematics, Statistics, Optimization) so I have covered by myself Calculus II and Differential Equations (in a superficial manner I must say, I did rush a bit). I was allowed to attend a PhD class in Measure Theory and Integration & Probability. I would like to first strengthen some mathematical concepts (I was thinking of using “Real mathematical analysis” by Charles Pugh) and then review the material covered in measure theory, as well as to do some functional analysis and stochastic processes.
The main dilemma is how much time to spend on programming and how much on maths. I would probably shoot to more programming, but I would also like to pay attention to the mathematics in order to have a good balance of math/coding. Do you have any suggestions about my plan or any recommendations regarding books? Especially books on real and functional analysis; I lack of material in those areas. Thanks!
Programming
I have basic knowledge of FORTRAN and C, but I plan to switch to C++ and stick to it in order to learn it to some extent. I will take a 3-day course in late June that will introduce me the fundamentals of the language and I plan to follow the book “C++ How to program” by Dietel afterwards.
In addition I would like to pick up MATLAB. I was thinking to minimize the syntax part as much as possible and to see directly how it can be used for financial applications by going through “Numerical Methods in Finance and Economics – A MATLAB based introduction”.
I would also like to explore VBA, but two-three months before the MSc starts is not much time, so I am sure I can pick it up during the program since it is much VBA-oriented.
Mathematics
My undergrad was kind of poor in terms of mathematics (Calculus I, Linear Algebra, Financial Mathematics, Statistics, Optimization) so I have covered by myself Calculus II and Differential Equations (in a superficial manner I must say, I did rush a bit). I was allowed to attend a PhD class in Measure Theory and Integration & Probability. I would like to first strengthen some mathematical concepts (I was thinking of using “Real mathematical analysis” by Charles Pugh) and then review the material covered in measure theory, as well as to do some functional analysis and stochastic processes.
The main dilemma is how much time to spend on programming and how much on maths. I would probably shoot to more programming, but I would also like to pay attention to the mathematics in order to have a good balance of math/coding. Do you have any suggestions about my plan or any recommendations regarding books? Especially books on real and functional analysis; I lack of material in those areas. Thanks!
