Most difficult course/topic covered in MFE/MQF-type programs?

[mhy]

I'm currently enrolled in a top MFE. Stochastic Calculus is definitely the hardest series in my program. C++ and stats are a lot easier...

I agree. Stochastic Calculus makes almost every course I took in university look like a piece of cake.

 

[CasanovaJ]

The syllabus says Brockwell & Davis, Introduction to Time Series and Forecasting

Davis was my professor here-- parts of that book were twice as hard as anything I've seen in stochastic.

 

[Quant4Life]

True time series can be extremely difficult and theoretical. But our time series class is very practical and these books are mentioned just as references for deeper results, whereas stochastic Calculus is purely mathematical goes deep enough to make you struggle. At least that's how it is in our program.

 

[Daniel Duffy]

Davis was my professor here-- parts of that book were twice as hard as anything I've seen in stochastic.

Yes, it's a heavy book. And rigorous.

It is very helpful if you get up to speed with how to _manipulate_ mathematical expressions.