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Help with MATH course selection for MFE


Hi,

I needed some guidance towards selecting MATH coursework which might prove helpful in MFE. So, far I have already completed all my calculus courses, along with diff. eqn. I am currently taking Numerical Analysis and Applied Diff. Eqn. I still have a choice for 2 more class which I can fit into my schedule. Some of the courses which I am looking at are:

Advanced Calculus
  • Euclidean space
  • Theorems of partial differentiation
  • Higher order derivatives
  • Calculus of vector fields, line and surface integrals
  • Conservative fields
  • Stoke's, Green's and divergence theorems
Complex Analysis with Applications

  • Complex integration
  • Taylor and Laurent series
  • Residue calculus
  • Branch cuts
  • Conformal mapping
  • Rouche's theorem
  • Poisson integral formula
  • Analytic continuation
Introduction to Probability

 
Introduction to Probability
  • Probability spaces
  • Random variables and their distribution
  • Conditional distribution and stochastic independence
  • Special distribution
  • Sampling distribution
  • Limit theorems
I hope the quantnet family can provide me with value feedback as to which courses are worth pursuing from MFE's viewpoint.
 

Diego Calderon

Grad Student
swapnilchristian :: I would choose Advanced Calculus...Green's functions come up in special cases of linear differential operators, but I've never used ANY of the Complex Anal I learned in school, ie, this stuff is interesting (gauss, cauchy, and riemann were geniuses, but not useful for quant stuff) stick to Real Anal instead.

Oh and definitely Probability - I would say it's the benchmark.
 

Diego Calderon

Grad Student
bigbadwolf :: thanks for pointing that out, I didn't mean to confuse the OP - just wanted to bring functional analysis into the mix because it'll be in my studies this fall
 
PDE would have some functional analysis, Green's Function, heat eq (Black Scholes), Laplace which is used in probability, and many more benefits.
 
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