Need advice regarding Mathematics for Financial Engineering

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PrakharT

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Dear all,

I have been admitted to two programs, UIUC MSFE and UMN MSFM, and have decided to join UIUC as I find it better in terms of location and brand value. But I am facing a problem regarding its curriculum that both Stochastic Calculus and Numerical methods, are in the second semester which makes it really difficult for students to attend entrance test for big banks during winters. I feel that it is very difficult to study these topics on my own in the first semester due to the other work load. Though, currently I am studying Primer for Mathematics of FE but I don't think that would suffice the level that is required.

I really don't want to miss these opportunities. Can you guys help what should I do in this regard

Thanks
 
Check out UW's CFRM 460 class online through Coursera this summer - I'm taking it right now and it's a great primer so far!
 
PrakharT said:
Yeah I am doing this course and along with this studying Primer of Math in FE.. I know that is not sufficient but I hope will give me decent knowledge? I have heard a lot about Shreve for Stochastic Calculus but do not have time to study that
Click to expand...

Honestly, I don't know if this is sufficient or not. I am starting MFE at UIUC myself so I am looking at prep resources myself...
 
PrakharT said:
Yeah I am doing this course and along with this studying Primer of Math in FE.. I know that is not sufficient but I hope will give me decent knowledge? I have heard a lot about Shreve for Stochastic Calculus but do not have time to study that
Click to expand...

If you don't have time to study Shreve vol 1, which is about as simple as it gets, then what do you call studying anyway?
 
C S said:
If you don't have time to study Shreve vol 1, which is about as simple as it gets, then what do you call studying anyway?
Click to expand...
I have a job man! Then, there are other books like John C Hull that I am studying. Programming is something that I need to work on.. so, I am concentrating on only one book for math (Primer for Math).. It's really difficult to devote time when you have 11 hours job a day :(
That's why I wanted to know, will this book give a good idea about Stochastic Calculus?
 
PrakharT said:
Dear all,

I have been admitted to two programs, UIUC MSFE and UMN MSFM, and have decided to join UIUC as I find it better in terms of location and brand value. But I am facing a problem regarding its curriculum that both Stochastic Calculus and Numerical methods, are in the second semester which makes it really difficult for students to attend entrance test for big banks during winters. I feel that it is very difficult to study these topics on my own in the first semester due to the other work load. Though, currently I am studying Primer for Mathematics of FE but I don't think that would suffice the level that is required.

I really don't want to miss these opportunities. Can you guys help what should I do in this regard

Thanks
Click to expand...

Prakhar, in your first semester at UIUC you will take a course by professor Sreenivas in Financial Computing. Even though it covers a lot of material in a superficial way, the things I learned in that course like binomial models, random number generators, and optimization methods were enough to get me to the final interview at UBS securities. My interviewer seemed kind of impressed when I talked about Newton-Raphson actually. If you really want to stay ahead of the game, another student was interviewed by Citadel in the second or third week of the first semester and asked about binomial models. Ofcourse when its that early in the semester, none of us had any clue so he failed that interview. If you want to review this ahead of time, I strongly suggest Shreve's vol. 1.

You'll learn about the more heavy-duty numerical methods like finite difference schemes and Monte-Carlo methods (stratification, antithetic variates) in your second semester. You really don't need to jump ahead to Stochastic calculus dude. Work on reviewing and making sure your foundations in Linear Algebra, Calculus I,II, III, and Ordinary Diff. Eqs are rock solid. Key things to review are Taylor Series, Eigenvalues and eigenvectors, determinants, asymptotic analysis (finding the limit of functions), and calculus-based statistics (PDFs of normal, exponential, gamma distribution, as well as calculating their maximum likelihood parameters, etc.). If you have time, I suggest some background knowledge in the basic Partial differential equations and their solutions (heat, wave, and laplace) and also Fourier series could really help you reap the most out of the program.

I just attached something I found that might be good review. I would say chapters 4,5,6,8,10,16,17,18 are pretty fundamental.
 

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drahmah said:
Prakhar, in your first semester at UIUC you will take a course by professor Sreenivas in Financial Computing. Even though it covers a lot of material in a superficial way, the things I learned in that course like binomial models, random number generators, and optimization methods were enough to get me to the final interview at UBS securities. My interviewer seemed kind of impressed when I talked about Newton-Raphson actually. If you really want to stay ahead of the game, another student was interviewed by Citadel in the second or third week of the first semester and asked about binomial models. Ofcourse when its that early in the semester, none of us had any clue so he failed that interview. If you want to review this ahead of time, I strongly suggest Shreve's vol. 1.

You'll learn about the more heavy-duty numerical methods like finite difference schemes and Monte-Carlo methods (stratification, antithetic variates) in your second semester. You really don't need to jump ahead to Stochastic calculus dude. Work on reviewing and making sure your foundations in Linear Algebra, Calculus I,II, III, and Ordinary Diff. Eqs are rock solid. Key things to review are Taylor Series, Eigenvalues and eigenvectors, determinants, asymptotic analysis (finding the limit of functions), and calculus-based statistics (PDFs of normal, exponential, gamma distribution, as well as calculating their maximum likelihood parameters, etc.). If you have time, I suggest some background knowledge in the basic Partial differential equations and their solutions (heat, wave, and laplace) and also Fourier series could really help you reap the most out of the program.

I just attached something I found that might be good review. I would say chapters 4,5,6,8,10,16,17,18 are pretty fundamental.
Click to expand...
Thanks a lot drahmah! This is really informative. I think, for now Primer for Math is a good choice as it covers basics and engagement with finance. I will focus on topics which you mentioned above.
 

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