Choosing courses

[Jasper S]

My first year as a Master student in mathematics is soon coming to an end and its time to choose courses for next semester. I would appreciate if anyone could recommend which courses that is most relevant and useful if I want to pursue an career in finance in the future.

My background is BSc. Industrial Engineering and BSc. Financial Economics. So far I have taken the following math courses:

• Calculus and Multivariate Calculus
  
• Linear Algebra
• Differential Equations
• Mathematical Statistics
• Introduction to Financial Mathematics
  
• Fourier Analysis
• Stochastic Calculus
• Probability Theory
  
• Statistical Inference
• Partial Differential Equations
• Ordinary Differential Equations
• Nonlinear Optimization
• Options and Mathematics
• Financial Time Series

The courses I have narrowed my choices to are:

• Stochastic Optimization Algorithms
• Stochastic Data Processing and Simulation
  
• Artificial Neural Networks
• Computer Intensive Statistical Methods
• Numerical Linear Algebra
• Functional Analysis
• Integration Theory

All help and suggestions are very much appreciated!

/JS

 

[Daniel Duffy]

More Numerical Analysis, not just solving matrix systems?

(Applied) Functional Analysis is cool.

 

[Jasper S]

Yeah I really like analysis, both Functional Analysis and Integration Theory seems like good courses if you want to get a deeper understanding of mathematics as a subject but maybe a bit abstract compared to most part of the mathematics in finance (correct me if I am wrong).

@Daniel Duffy What kind of Numerical Analysis do you recommend?

 

[Daniel Duffy]

Yeah I really like analysis, both Functional Analysis and Integration Theory seems like good courses if you want to get a deeper understanding of mathematics as a subject but maybe a bit abstract compared to most part of the mathematics in finance (correct me if I am wrong).

@Daniel Duffy What kind of Numerical Analysis do you recommend?

Having insight via Analysis is very important. Gets to a higher level than just calculus and more basic stuff.

The following topics are good to know

• Matrix theory and related numerical concepts and methods.
  • Interpolation and numerical differentiation.
    • Polynomial and rational function interpolation.
      • Numerical quadrature.
        • Numerical solution of nonlinear equations.
          • Linear and nonlinear optimisation.
            • The Finite Difference Method (FDM) for ordinary and partial differential equations
            • Time series and probability distributions.

 

[Jasper S]

Thank you very much for your quick replies! @Daniel Duffy