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Master reading list for Quants, MFE (Financial Engineering) students

Ole Bueker

Active Member
Too much (detailed) mathematics for MFE. Usually MFE only covers Shreve-level or similar, Brownian Motion and Stochastic Calculus by Karatzas & Shreve goes way beyond that, so I wouldn't recommend if you're only interested in MFE.
 

jdinatale

Member
I am wondering what areas of the master reading list I should self-study in addition to my coursework for my MS in math. My end goal is to have a competitive application for top 10 MFE programs.

Right now, I am taking (graduate level of course): Advanced Linear Algebra, Mathematical Statistics, Partial Differential equations, and Topology

Next semester, I will take Optimization, Advanced Numerical Analysis, Real Analysis, and Mathematical Statistics II.

Now for self study, I can do any of the following options:

1. Pick an area of math that I am lacking, and study that - stochastic processes, stochastic calculus, or time series

2. Learn more about finance in general. I could read Hull's book for instance, or any of the overview style books of mathematical finance.

3. Work on getting a tangible certification, such as CFA level 1

4. Although I am fairly proficient in programming in C++, Java, and Python, I could always learn more or work on a coding project (Make sure I know how to code up monte carlo simulations and other financial applications)

Thoughts?
 
I've heard that R is becoming very popular for prototyping. I have some base knowledge in R and have used it for more general data analysis, but I would love some recommendations for books in regards to using R for quantitative finance. (I know the intro to R for quant. finance book by PACKT publishing, but was wondering if there were any more). Thanks guys.
 

mhy

Well-Known Member
I've heard that R is becoming very popular for prototyping. I have some base knowledge in R and have used it for more general data analysis, but I would love some recommendations for books in regards to using R for quantitative finance. (I know the intro to R for quant. finance book by PACKT publishing, but was wondering if there were any more). Thanks guys.
This is the book that we used / were recommended at CMU.

http://www.amazon.com/Statistics-Analysis-Financial-Engineering-Springer/dp/1461427495
 

Menime

Member
Hi Guys,

I am joining an MSFE program this fall.
It's been 2 years since my undergrad and I need a brush up on Multivariate calculus and Linear Algebra before I begin.
Can anyone suggest some books for that..
Any help would be appreciated.
 

vixiyu

Active Member
C++
This question might have been asked before but: for the listed Quant Interview books, are they good for studying for MFE interviews as well? If not, is there any books you would recommend? Thanks!
 
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