Advice to new students in math finance masters programs

[maciej]

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

 

[Ross]

Read Stefanica "A Primer for the Mathematics of Financial Engineering" and Savitch "Problem Solving with C++."

 

[bhargav]

Derivatives by John Hull

 

[Sanket Patel]

A First Course in Probability - Sheldon Ross
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model - Steven Shreve

 

[Shlomi]

Also Neftci "Principles of financial engineering" may be good

 

[Eugene Krel]

Enjoy the summer as best you can, it's likely the last free summer you will have for a while.

 

[Andy Nguyen]

Get better at C++ and sleep less. One may lead to the other.

 

[Sanket Patel]

...and sleep less...

You should aim for about 4 hours

 

[maciej]

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.

 

[alain]

learn the boost library, study Real Analysis and Probabilities, Linear Algebra, learn Stochastic calculus.

 

[John Jurcevic]

National Plumbing Codes Handbook
Plumber's Licensing Study Guide
Plumber's Exam Preparation Guide

 

[Roger Trimble]

National Plumbing Codes Handbook
Plumber's Licensing Study Guide
Plumber's Exam Preparation Guide

Now that is some good advice :D