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Fall '09 Schedule; thoughts?

CGiuliano

Lowly Undergrad
Joined
4/19/09
Messages
234
Points
28
Real Analysis, Theory of Probability, Programming using MATLAB & Theoretical Microeconomics. :D
 
What would you replace them with? I want to learn MATLAB primarily because I'm a math major and I've heard it can be used as a useful tool. Also, I need more computing experience i.e. algo's..etc.
 
You probably know this, but I use MATLAB primarily as a computing tool, not necessarily a programming language. Put it differently being able to use a computational software does not make you a good programmer. If I were you, I'd try taking CS classes that are more on the software-development side.

I also agree with Andy -- Theoretical Microeconomics is cute and all, but is hardly used in financial engineering. Why not take some electives in finance?
 
MATLAB Programming

Fall. Pre- or corequisite: multivariate calculus.
Introduction to computer programming and concepts of problem analysis, algorithm development, and data structure in an engineering context. The structured programming language MATLAB is used, implemented on interactive personal computers and applied to problems of interest in engineering.

The economics class is a prerequisite for econometrics... Still no?

---------- Post added at 04:24 PM ---------- Previous post was at 03:18 PM ----------

Which would be helpful?
MATLAB prog
Discrete Structures
Java programming
Computational methods in economics
Financial accounting
Macroeconomics
Theory Micro
Transition to OO programming (1cr)
C prog (2cr)
C++ prog (2cr)

Thanks.
 
I'm not very comfortable with programming. I wanted to take a class that developed techniques like algo's, problem analysis and data structures, but from an "intro" perspective. Those last 3 are sophomore/junior cs classes and I think they assume more knowledge than I have.
 
You're not gonna learn how to program by doing Matlab (since it already has preimplemented almost any algorithm known to men).
First step: writting algorithms in pseudocode, this way you're going to get rid of the habbit of thinking in ceratin code (yes, people tend to do that)
Second step: choose some "low-level" language to implement your pseudocode, I recommend C (or maybe C++, but it's a bit more flexible than C and that might not be an advantage).
Third step: choose a specific setting, like Unix where you will learn how to connect different data to your programs, then move on to data structures and more advanced algorithms (there are plenty of academic examples like travelling salesman problem).
Then you can do Matlab all you want!

...And, what kind of "real analysis" and "probability theory" course lasts 1 semester :-k ?!
 
thats for straight OR, not FE... still interesting stuff though. if you're doing a MFE anyway after undergrad you might as well diversify your coursework experience with stuff like that. just have fun man you've got time.. all you have to do is get the prereqs for the MFE done (multivariate calc, linear algebra, probability theory, statistics, stochastic processes, DEs, and decent programming), maybe take a few extra things like more advanced coursework in these areas and some analysis and stuff like that, find a way to develop some understanding of the markets and basic financial theory through work and/or coursework, and then you can do whatever you want with undergrad. dont worry about making every single class tailored to financial engineering - you'll just become a boring person. after all, you have the rest of your life to do FE, but you only get to do undergrad once
 
I WANT to take analysis and probability. I'm more, or less indifferent about my other courses.
 
So now it's time to register for spring '10 classes. I can't decide which math class to take next. Feedback of any kind on the following math classes, (i.e., is it fun/difficult/necessary..etc) is greatly appreciated. Thanks.

Applicable Algebra
Courses of Study 2009-2010

Honors Introduction to real analysis ll
Courses of Study 2009-2010

Theory of functions of one complex variable
Courses of Study 2009-2010

Partial differential equations
Courses of Study 2009-2010

Stochastic process
Courses of Study 2009-2010

Numerical analysis: linear and non-linear problems.
Courses of Study 2009-2010
 
Yeah the real analysis class I'm taking now (midterm was a few hours ago) sometimes makes it to Lebesgue, but I assume another full semester is needed to learn it, and more properly.
 
Theory of Statistics
(Insert math class from list below)
Non-major Bio (distribution stuff)
Financial Accounting
OO programming and Data structures (Yes, they are put together into one class. No, I don't know why).
 
Financial Accounting is easy, but boring - excruciatingly so. I had trouble staying awake for the lectures, but got an A in the course.

Not sure if you're going to take courses in the summer and if so how many - but if you only take 1 or 2, I would wait and take the 2nd analysis course then. In fact, that's what I'm planning to do. I would take stochastic processes or PDE in the spring.

I'm looking forward to taking my first quant finance course:

Course Description
This course introduces the basic concepts and numerical methods in computational finance. The topics include an introduction to mathematical finance, basics in numerical computations; option pricing and risk management by lattice methods and Monte-Carlo simulations.


Course Outline:
  1. Introduction to options and option pricing (1 week)
  2. Lattice methods (2 weeks)
  3. Wiener processes, Ito's lemma, asset pricing models (1 week)
  4. Generating normal distributions, central limit theorem (1 week)
  5. Monte-Carlo method (1 week)
  6. Variance reduction procedures (1 week)
  7. Introduction to finite difference method (2 weeks)
  8. Delta, Gamma and Value at Risk (2 weeks)
  9. Other topcis in computational finance (1 week).
 
Real analysis is a biggy for PhDs if you ever decide to go that route.
PhDs in what? Real analysis is only a biggy if you use it in your field. There are many more fields that don't rely on real analysis, or use it sparingly.
 
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