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Math courses for quant

JOKER

Joined
8/4/10
Messages
8
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Hello, I'm a undergraduate student in Stat major.

I would like to know any courses to have to take for preparing to quant

My then question is the "Differential Equation" ; this course is necessary or not ?

If necessary, Should I take both ordinary and partial ?

Any suggestion would be appreciated . Thanks in advance
 
As a statistics major, you should definitely take stochastic processes and montecarlo simulation. Furthermore, a course in numerical analysis and one financial mathematics course focusing on derivatives pricing can be very helpful. I believe ordinary differential equations is good course to take. Partial really isn't necessary because at the undergrad level it focuses mainly on physical concepts than finance.
 
Yes, but PDE for Finance is taught at the graduate level. I think learning PDE can come later. It's better to first build a solid ground in programming and analysis. But everyone has their own opinions.
 
Oh Thank everyone ,

As for programming, I just learnt C# and heard that quants use C++ instead
Moreover, I cannot take the course pricing derivatives, it is not in my curriculum :(

or I should have to learn by myself ? It seems a good idea but how everybody else will know that I have these abilities because it will not in my transcript.

By the way, my second question is ,if possible, should I take "Topology", "Complex Analysis" and "Baysian Statistics/Inference" courses ?

I have no experience about quant and in my faculty it seems no one who knows well about quant job , I really appreciate every help.
 
JOKER said:
Oh Thank everyone ,

As for programming, I just learnt C# and heard that quants use C++ instead
Moreover, I cannot take the course pricing derivatives, it is not my curriculum :(

or I should have to learn by myself ? It seems a good idea but how everybody else will know that I have these abilities because it will not in my transcript.

By the way, my second question is ,if possible, should I take "Topology", "Complex Analysis" and "Baysian Statistics/Inference" courses ?

I have no experience about quant and in my faculty it seems no one who knows well about quant job , I really appreciate every help.
Click to expand...

topology? :) would be sweet if it had any application in finance. but sadly there are none.

just concentrate on calculus and probability theory.

I think this book (Amazon.com: Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability) (9789810235437): Thomas Mikosch: Books ) is a great first step towards learning fin. math.
 
ThinkDifferent said:
topology? :) would be sweet if it had any application in finance. but sadly there are none.

just concentrate on calculus and probability theory.

I think this book (Amazon.com: Elementary Stochastic Calculus With Finance in View (Advanced Series on Statistical Science Applied Probability, Vol 6) (Advanced Series on Statistical Science and Applied Probability) (9789810235437): Thomas Mikosch: Books) is a great first step towards learning fin. math.
Click to expand...

According to my acquaintance (as a math major) , he recommended me to learn about real&complex analysis, topology ,and functional analysis before taking probability theory but I don't ask why...

As for that book, what's any prerequisite for the book ? I have just taken Cal III , not taken linear algebra yet
 
JOKER said:
According to my acquaintance (as a math major) , he recommended me to learn about real&complex analysis, topology ,and functional analysis before taking probability theory but I don't ask why...

As for that book, what's any prerequisite for the book ? I have just taken Cal III , not taken linear algebra yet
Click to expand...

calc I/II is enough. it's self-contained. all extra material is in the appendices there...
 
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