Courses in MFE?

[joseclar]

If someone wanted to do self study, focusing on the formal math courses and not the integrated components of other mfe content. What courses and books would be good.

Based on looking at various schools I see these topics most:

probability and measure theory
stochastic calc and processes
numerical analysis and optimization
time series analysis

If there are any important topics I am missing or books you recommend for self study of these topics I would appreciate that.

 

[Daniel Duffy]

If someone wanted to do self study, focusing on the formal math courses and not the integrated components of other mfe content. What courses and books would be good.

Based on looking at various schools I see these topics most:

probability and measure theory
stochastic calc and processes
numerical analysis and optimization
time series analysis

If there are any important topics I am missing or books you recommend for self study of these topics I would appreciate that.

More applied, numerical and computational mathematics.

Measure Theory is (almost) useless in computational finance.

 

[joseclar]

Thank you. I have seen topics like numerical linear algebra and various aspects of optimization and linear and non linear programming. Would those be more accurate? Do have have a preferred book on numerical methods that would be a good introductory text for the numerical topic?

 

[ExSan]

what are the courses that should be consider in case of HFT track ?

 

[Daniel Duffy]

Thank you. I have seen topics like numerical linear algebra and various aspects of optimization and linear and non linear programming. Would those be more accurate? Do have have a preferred book on numerical methods that would be a good introductory text for the numerical topic?

The best books IMO on numerical analysis (fundamentals) are:

Dahlquist and Bjorck
Conte and de Boor
Hilderbrand

In Dover publishers. They are ~45 years old but hey, numerical analysis is 3000 years old

Once you understand then you can worry about ODE, PDE, SDE, optimization etc.

The Numerical Recipes by Press et al maybe as well..

 

[Pavlos Sakoglou]

For probability theory and statistics, I would strongly recommend Statistical Inference by Berger and Cassela ( http://www.amazon.com/Statistical-Inference-George-Casella/dp/0534243126 )
It has all you need and it's quite simple to comprehend -- great for beginners. You read it once carefully and you get it.
PS: If search carefully you can get the international version for 20 something bucks.

 

[joseclar]

Thank you very much for the recommendations and detail. With the addition of your comments do you think and proficiency in those topics provide from a topic standpoint the basic main math component of an mfe or msmf degree? If there is any general topic I am still missing please let me know.