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Fast-Track Preparation

Joined
3/2/10
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I am finishing out my undergraduate senior year with a degree in finance and I happened to take a derivatives course for an elective. The professor has been urging all of us to consider financial engineering, and I find it all very fascinating. I've been looking at schools to apply for, and I would obviously have to wait a year to get in, but I'm starting to wonder if it is even feasible. My undergrad GPA is 3.2, but thats a very poor reflection of my college degree since I didn't know what I wanted to major in until a few years ago. All of my business/finance classes have been A's and A-'s, with a small number of B's as well. I haven't taken any form of calculus but I am willing to take as many non-degree seeking calculus courses that are required to get in. My programming knowledge is also extremely limited, but I am willing to work hard for the next year to gain that knowledge. I suppose I would just appreciate some opinions of whether I can get the necessary mathematical and programming background required for admission in roughly one year. Thanks!
 
I want to do financial engineering...

Wait...what's this? No math, no programming, business only...

(Final destination)

Okay, on a more serious note...

Short answer: yes, I think you can. There are a ton of schools out there that'll take your money and shove together a bunch of tangentially-related coursework in a copycat style and call themselves a "me too" institution. From what I could tell, the MSMFs here at Rutgers (rated top 10 by Alpha Trading magazine and top 20 by quantnet...neither of which I think it deserves since there's literally no financial application being taught aside from the analogous way that a first grader might get a word problem "Suzy has 2 dollars. Ben gives her 3 more. How many dollars does she have now?" That problem, of course, has nothing to do with finance. Neither do the courses taught at most universities in these programs.

As for a school that does things correctly (Columbia, CMU, etc.) I highly, highly doubt it. Masters programs start at the level of at least junior undergraduate math. Aka you're required to have 3 semesters of calculus (I, II, and III aka multivariate), one semester of linear algebra, basic calculus-based probability and statistics in all likelihood, and odds are, probably some exposure to writing mathematical proofs.

Oh, another thing...in grad school, you have to explicitly ask for numerical examples. Otherwise (in my experience) professors will just fly through everything using general variable notation with all of their X sub 1 ... X sub n. This is exactly the opposite way of how "math" is taught in business school, in which you're given an equation, do a bunch of plug-in examples, and then regurgitate on an exam.

And then of course, there's programming.

So, can you get into a program? Most likely.

Can you get into a good program? Most likely not.
 
Calc I-III will take you 3 semesters, there's no way around that. However, you can, and probably should, take one of them in the summer to minimize the overall time it takes you to complete the Calculus stream. In addition, you'd have to take the courses that Ilya outlined (some of which you could take concurrently with the calculus courses).
 
First of all, I would make sure this is what YOU really want, and are not only interested in this because your teacher mentionned it.

Now, if you really want to go into an MFE, start working now towards getting your Calculs/Probability/Other relevant math classes/Programming classes right now. I'm sure you can talk with your school's department to do Cal I/II at the same time. I've seen people do it.
 
I am finishing out my undergraduate senior year with a degree in finance and I happened to take a derivatives course for an elective. The professor has been urging all of us to consider financial engineering, and I find it all very fascinating. I've been looking at schools to apply for, and I would obviously have to wait a year to get in, but I'm starting to wonder if it is even feasible. My undergrad GPA is 3.2, but thats a very poor reflection of my college degree since I didn't know what I wanted to major in until a few years ago. All of my business/finance classes have been A's and A-'s, with a small number of B's as well. I haven't taken any form of calculus but I am willing to take as many non-degree seeking calculus courses that are required to get in. My programming knowledge is also extremely limited, but I am willing to work hard for the next year to gain that knowledge. I suppose I would just appreciate some opinions of whether I can get the necessary mathematical and programming background required for admission in roughly one year. Thanks!
I think its doable...
I am a finance major and have been taking math classes since summer 2009.

Here is what I have taken

Calc I, II and III
Probability (in math department)

I am taking:

Linear Algebra
Mathematical Statistics
Differential Equations
Into to MFin (very interesting class even though I am a finance major).

planning on taking
Numerical Analysis (probably in the summer)
Stochastic Processes and either Real Analysis or Optimization (fall 2010)

Basically I can complete all the requirements in 3 long semesters and two summer semester (1 year and 4 months or so). But, I had Cal I from my freshman year, so it saved one semester.
Because without Cal I and Cal II you can't take any of the advanced math classes.

Also you need to take a few programming classes. Even though many programs say that 1 class is enough I don't think you can really learn a lot in this 1 class. I actually read C++ books and they are much more helpful than any of those basic classes.

I don't know how they will treat me in comparison to other applicants (with engineering majors or math majors). But that's already a different question and I hope I'm not making a mistake :\
 
impressive. I think you'll make a very competitive candidate.
 
I think its doable...
I am a finance major and have been taking math classes since summer 2009.

...

I don't know how they will treat me in comparison to other applicants (with engineering majors or math majors). But that's already a different question and I hope I'm not making a mistake :\

While having a math background or hard science background helps, coming from a finance background doesn't automatically put you at a disadvantage. Ultimately, what matters is whether you meet (exceed) the required for admission. Of course, an 800 on math portion of the GRE, will also fortify your chances. Being a finance major, you'll have to ace (or nearly-ace) those math classes to demonstrate your quantitative skills. I was admitted with a B.S in finance and economics and a minor in mathematics.
 
So far I aced all of my math classes (hope to keep it this way :\) and obviously I hope to ace the quantitative part of the GRE....

Can I ask you a few questions ?

1) where did you get your BS degree from ?

2) how many math classes did you have in total ? which ones ?

3) How are you doing so far in the program ? do you feel any advantage/disadvantage in comparison to students with non finance backgrounds ? or you already got your MFE degree ?
4) Did you enter the program right after the completion of your BS degree ?

would appreciate any info/help/advice :\
 
1) Florida State University

2) the calc sequence, linear algebra, ode, pde, a couple econometrics courses, calc-based probability theory, mathematical statistics, and non-parametric statistics (included despite the fact it's not truly a math class)

3) So far so good. I never once felt like I was struggling, although I do wish I would have taken an Analysis course as FSU, as that would have made some of the stochastic calc material a bit more lucid. Off the top of my head, I can't think of any disadvantages other than the fact that I never formally took any programming courses as an undergrad. I went the self-taught route.

4) Yes and a bit of an interesting story. Long story short, I initially enrolled at the Mathematical Finance program at Boston University and soon realized it was complete crap and I ended up withdrawing from BU and enrolling at Baruch.

As for advice, try to sit-in on Ph.D level derivatives or financial math courses. Learn an object-oriented language and a scripting language. I recommend C++ and Python. One thing that may have helped (not sure whether it really did, though) was being actively involved in research with one of my finance professor. What started off as a class project, turned into a research paper, followed by 2 more jointly-authored papers. It definitely won't hurt you and is likely to show the admission committee that your interest and dedication of the subject goes beyond the classroom.
 
Im on the same fast track mindset as well. I was an International Relations major at a big name College but my gpa is not even worth mentioning. However, that was 6 years ago. When I apply to MFE/MAFN programs this winter I will have completed Calculus courses, Linear Algebra, grad level Probability, grad level Stat Inference, ODE, PDE, Linear Regression, and Time Series or Stochastic processes all from an Ivy college. I have all A's sofar and should maintain them. I plan on studying C++ and general finance materials on my own. I'm just a bit nervous about the undergrad gpa which was long ago, but exceptionally poor. I worked in the military as a Captain for 5 years and things have changed, but it seems like my undergrad scores will somehow haunt me. Do you guys think my undergrad transcript from 2004 will matter much?
 
4) Yes and a bit of an interesting story. Long story short, I initially enrolled at the Mathematical Finance program at Boston University and soon realized it was complete crap and ended up transferring to Baruch.

To correct the record, Sanket reapplied to the Baruch MFE program and was admitted - he did not transfer.
 
To correct the record, Sanket reapplied to the Baruch MFE program and was admitted - he did not transfer.

My mistake. My original post has been corrected. Of course, though, I meant transfer as in I changed my program of study, which in this case involved applying and being admitted to Baruch.
 
thanks

Thank you all! This information has been invaluable. I will probably still go for an MFE program, but will just have to take a longer time preparing for it.
 
1) Florida State University

2) the calc sequence, linear algebra, ode, pde, a couple econometrics courses, calc-based probability theory, mathematical statistics, and non-parametric statistics (included despite the fact it's not truly a math class)

3) So far so good. I never once felt like I was struggling, although I do wish I would have taken an Analysis course as FSU, as that would have made some of the stochastic calc material a bit more lucid. Off the top of my head, I can't think of any disadvantages other than the fact that I never formally took any programming courses as an undergrad. I went the self-taught route.

4) Yes and a bit of an interesting story. Long story short, I initially enrolled at the Mathematical Finance program at Boston University and soon realized it was complete crap and I ended up withdrawing from BU and enrolling at Baruch.

As for advice, try to sit-in on Ph.D level derivatives or financial math courses. Learn an object-oriented language and a scripting language. I recommend C++ and Python. One thing that may have helped (not sure whether it really did, though) was being actively involved in research with one of my finance professor. What started off as a class project, turned into a research paper, followed by 2 more jointly-authored papers. It definitely won't hurt you and is likely to show the admission committee that your interest and dedication of the subject goes beyond the classroom.

First, I want to thank you for this response. It's really helpful...
Now, looks like you had a pretty decent math background.
If it's not too personal, did you apply to good schools except Baruch (like Columbia NYU CMU ) ?

Also, I know some programming, am obviously developing it further (2 classes ,but mostly self taught).
Will start learning either Python/ Matlab after I finish my Linear Algebra, Mathematical Statistics classes so I have some knowledge to apply.

How was your programming skills before you applied ? (I mean in C++ ). You said you went through the self teaching path. Did you manage to develop really good programming skills ?

and I'm happy your situation ended up on the better side :\
 
First, I want to thank you for this response. It's really helpful...
Now, looks like you had a pretty decent math background.
If it's not too personal, did you apply to good schools except Baruch (like Columbia NYU CMU ) ?

Also, I know some programming, am obviously developing it further (2 classes ,but mostly self taught).
Will start learning either Python/ Matlab after I finish my Linear Algebra, Mathematical Statistics classes so I have some knowledge to apply.

How was your programming skills before you applied ? (I mean in C++ ). You said you went through the self teaching path. Did you manage to develop really good programming skills ?

and I'm happy your situation ended up on the better side :\

1) I applied to the following schools - Baruch, Boston University, CMU, Columbia, Georgia Tech, NYU and USC

2) Going into the Master Program, my programming 'pretty good.' Not great, not terrible, just pretty good. Prior to beginning the MFE program, about 90% of the code I had written written was either VBA or R. I knew my way around C++ but I mostly utilized it's functional paradigm. I had some experience with some language's more powerful features such as virtualization, inheritance, polymorphism, template classes, etc but I was rather rusty. The summer prior to starting at BU, I bought one of Walter Savitch's C++ books and worked through it, front to back. Upon entering the Baruch program, I was by no mean a master developer, I still devoted a fair amount of time to programming; though this time, I also started playing around with Python. Sure, working through 5 C++ books will teach you a thing or two, but you really won't learn anything until you get your hands dirty.

Just a couple of comments : while MATLAB is a great tool, I recommend spending your time on Python instead. Prior to delving into Python though, hone your C++ skills. If you understand C++ well, Python will be a walk in the park - no joke. If you're feeling particularly inclined, pick up a copy of Hull and a copy of A Primer for the Mathematics of Financial Engineering and create pricing libraries based on the models presented in both books. Of course, using Boost and QuantLib would make it all the more fun.
 
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