Advice to new students in math finance masters programs

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maciej

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Hey Guys,

I'm wondering if anyone has any advice on what to do in the summer preceding a math finance program. Specifically if anyone found any areas they wish they knew more before entering the program.

Thanks in advance for any advice,
-Maciej
 
Read Stefanica "A Primer for the Mathematics of Financial Engineering" and Savitch "Problem Solving with C++."
 
A First Course in Probability - Sheldon Ross
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model - Steven Shreve
 
Also Neftci "Principles of financial engineering" may be good
 
Enjoy the summer as best you can, it's likely the last free summer you will have for a while.
 
Thanks for the tips,

I think I'll be fine with C++, I double majored in math and CS at Boston University. But are there any specific libraries that are used by quants. The only one I could find is quantlib which doesn't seem that popular from reading the forum.
 
learn the boost library, study Real Analysis and Probabilities, Linear Algebra, learn Stochastic calculus.
 
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