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Good undergrad for financial eng?

samson

Joined
12/29/07
Messages
6
Points
11
Honours Math Finance
mixture of pure math, statistics, and financial mathematics.

mathematical finance at uwaterloo. I am there now in general first year math and choosing my major second year. this looks like a great plan for financial engineering, my only worry is that i won't be able to get good marks in those pure math courses.

My other plan was to do a undergrad in actuarial science which would give me a good (but less rigorous) math background and I will have something to fall back on, because the first option seems pretty much geared for financial eng.
 
what is your question exactly? I couldn't figure it out from your post.
 
alain said:
what is your question exactly? I couldn't figure it out from your post.
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I guess I could jump in on this boat - I am wondering exactly what math courses are needed? Every program is different; some require differential equation and others just 2 yrs of calculus. But is stochastic calculus necessary? What about partial differential equations? I saw the post for a book for sale on FE using partial differential equations and I was wondering if you are allowed into a program without or if it would be good to take it prior?
 
QuantNeeds said:
I guess I could jump in on this boat - I am wondering exactly what math courses are needed? Every program is different; some require differential equation and others just 2 yrs of calculus. But is stochastic calculus necessary? What about partial differential equations? I saw the post for a book for sale on FE using partial differential equations and I was wondering if you are allowed into a program without or if it would be good to take it prior?
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I don't know if you can be allowed into the program or not. Again, that is up to the admission committee.

However, having those classes under your belt will help you a lot once you are in the program.
 
I might be able to work for a year and take those courses at night. I think that applying to start this fall would be too rushed, especially since some programs offer summer refresher courses. And I also need C++. It's too bad my school did not offer better advising earlier on. Through operations research I found out about financial engineering but better late than never.
 
I must say, I am yet to be convinced about the merit of undergrad quant courses.
Although some finance can be handled at undergrad level, or even pre-university, I worry that people taking these courses lack math depth.
It is even the case that some firms have an official policy that any application for a quant role that does not have at least a masters, is binned unread.
 
sorry if I wasn't clear. I was wondering what is the better option, to do an undergrad in actuarial science where i do up to calculus 3 and some financial mathematics and statistics, or do a mathematical finance degree which is pure math mixed with mathematical finance.

while one is more rigorous in pre FE, it doesn't really leave me with any fall back if I can't score As on the pure math courses. Actuarial Science is in demand and if I don't make it into grad school I can just continue my act sci career.
 
samson said:
sorry if I wasn't clear. I was wondering what is the better option, to do an undergrad in actuarial science where i do up to calculus 3 and some financial mathematics and statistics, or do a mathematical finance degree which is pure math mixed with mathematical finance.

while one is more rigorous in pre FE, it doesn't really leave me with any fall back if I can't score As on the pure math courses. Actuarial Science is in demand and if I don't make it into grad school I can just continue my act sci career.
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Be more prudent to stick with actuarial science. You can always make a transition later.

The ideal background for a rigorous MFE program (but which may not be achievable in the confines of most US undergrad programs) would be two semesters of PDEs, at least one semester of real analysis, one semester of ODEs, two semesters of numerical analysis, two semesters of C++, and the standard undergrad course in statistics and probability. Some of the better universities have undergrad courses in stochastic processes (usually discrete rather then continuous (e.g. Markov chains, Poisson processes, discrete-time martingales, etc.)) which can only be helpful. Any undergrad courses in econometrics and simulation can also only be helpful. Courses on portfolio theory (in the business or economics departments) should also come in handy. I reiterate: this is an ideal list and not one which may be achievable.
 
Is taking a course in PDEs that essential? Isn't the extent of PDEs used, just a tiny subset?
 
Aerial said:
Is taking a course in PDEs that essential? Isn't the extent of PDEs used, just a tiny subset?
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Essential... depends on intent. Stochastic PDEs are interesting apart from anything and very useful.
 
samson said:
sorry if I wasn't clear. I was wondering what is the better option, to do an undergrad in actuarial science where i do up to calculus 3 and some financial mathematics and statistics, or do a mathematical finance degree which is pure math mixed with mathematical finance.

while one is more rigorous in pre FE, it doesn't really leave me with any fall back if I can't score As on the pure math courses. Actuarial Science is in demand and if I don't make it into grad school I can just continue my act sci career.
Click to expand...

Don't major in actuarial science. It limits you on future opportunities for other fields. I would say take a focused curriculum in pure math, computer science and economics/finance. By now probably enough people have told you that an actuarial science degree is not needed for an actuarial job. I majored in actuarial science (a regret) & finance during undergraduate studies in an American university and wish that I have done more math and computer science back then. In my firm, we have actuaries who have majored in psychology, philsophy and German. What matters is just your ability to pass those exams AND communicate. If you major in actuarial science, but couldn't pass any exams, your resume would just tossed from the stack of waterloo act sci resumes we get every year - the school simply produces too many act sci majors. Study more math, computer science and take some exams on the side.
 
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