Mathematics before MFE Program

[PrakharT]

Hi,

I have a question regarding preparing mathematics before going to MFE in this fall. It has been long when I used or solved mathematical problem. My mathematics used to be very good and I am sure I can revise it pretty quickly. But one think, I would like to ask, whether should I revise engineering mathematics again or there are some particular topics which I should focus upon? Please let me know if you can name any book which I can use for revising all my concepts and preparing well for MFE

Thanks

 

[mhy]

I think these posts are a pretty good guide.

https://www.quantnet.com/threads/how-to-prepare-for-financial-engineering-programs-part-1.9964/
https://www.quantnet.com/threads/how-to-prepare-for-financial-engineering-programs-part-2.10012/

 

[Andy Nguyen]

But one think, I would like to ask, whether should I revise engineering mathematics again or there are some particular topics which I should focus upon? Please let me know if you can name any book which I can use for revising all my concepts and preparing well for MFE

From the QuantNet master reading list

GOOD BOOKS TO READ BEFORE STARTING MFE PROGRAM

• A Primer For The Mathematics Of Financial Engineering, Second Edition
• Paul Wilmott on Quantitative Finance 3 Volume Set (2nd Edition)
• An Introduction to the Mathematics of Financial Derivatives, Second Edition by Salih Neftci
• Options, Futures, and Other Derivatives (8th Edition) by John Hull
• Principles of Financial Engineering, Second Edition by Salih Neftci
• Elementary Stochastic Calculus With Finance in View by Thomas Mikosch
• The Concepts and Practice of Mathematical Finance by Mark Joshi
• Financial Options: From Theory to Practice by Stephen Figlewski
• Financial Calculus : An Introduction to Derivative Pricing by Martin Baxter
• A Course in Financial Calculus by Etheridge Alison
• The Mathematics of Financial Derivatives: A Student Introduction by Paul Wilmott
• Frequently Asked Questions in Quantitative Finance by Paul Wilmott
• Derivatives Markets by Robert L. McDonald
• An Undergraduate Introduction to Financial Mathematics by Robert Buchanan

 

[Daniel Duffy]

Many of these books assume a certain mathematical level, usually implicitly stated.

Especially stochastics.

 

[Ken Abbott]

Many of these books assume a certain mathematical level, usually implicitly stated.

Especially stochastics.

...but not all. The first 100 pages of Figlewski provide the best intuitive description of option pricing I've ever seen. Indeed, it's what gave me the "aha!" moment 20-odd years ago.

I have been recommending it to students for years, particularly to to ones who have the pure math but not necessarily the institutional context.

 

[Andy Nguyen]

...but not all. The first 100 pages of Figlewski provide the best intuitive description of option pricing I've ever seen. Indeed, it's what gave me the "aha!" moment 20-odd years ago.

I have been recommending it to students for years, particularly to to ones who have the pure math but not necessarily the institutional context.

What a bargain! It can be had for a couple of bucks on Amazon.
I added the book to the master reading list. Thanks Ken.

 

[PrakharT]

...but not all. The first 100 pages of Figlewski provide the best intuitive description of option pricing I've ever seen. Indeed, it's what gave me the "aha!" moment 20-odd years ago.

I have been recommending it to students for years, particularly to to ones who have the pure math but not necessarily the institutional context.

Thanks a lot Ken! I am buying this book for sure!

 

[Daniel Duffy]

...but not all. The first 100 pages of Figlewski provide the best intuitive description of option pricing I've ever seen. Indeed, it's what gave me the "aha!" moment 20-odd years ago.

I have been recommending it to students for years, particularly to to ones who have the pure math but not necessarily the institutional context.

I am going to order it.

Ideally, IMO a book should take the finance to maths to code to examples. This helps enormously.