Material to Review Before Starting Program

[NYY]

Hi everyone,
I will enrolling in Columbia’s MAFN program this fall and wanted to know if anyone has any suggestions of material/books/sites to review in preparation for the Fall.

Thanks!

 

[Andy Zhang]

green book (A Practical Guide To Quantitative Finance Interviews), 150 Most Frequently Asked Questions on Quant Interviews, and/or Leetcode to get started depending on your strengths/weaknesses

 

[NYY]

green book (A Practical Guide To Quantitative Finance Interviews), 150 Most Frequently Asked Questions on Quant Interviews, and/or Leetcode to get started depending on your strengths/weaknesses

Thanks this is super helpful! I was more so wondering for preparing for the classes at the school.

 

[Andy Zhang]

Thanks this is super helpful! I was more so wondering for preparing for the classes at the school.

For specific textbook details about that, probably better to reach out to former MAFN students if you can't find any syllabi online (you can use these links to get some details but it looks like you need to be able to log in to get syllabi: Mathematics of Finance at Columbia University - Mandatory MAFN Courses and CU Directory of Classes).

I would read Shreve volume I and II as those are quite standard stochastic calculus for finance texts used.

Maybe even read Hull's Options, Futures and other Derivatives?

The interview books I suggested do touch on some of the topics that should be covered.