numerical analysis

[roni]

One of UCB MFE's prerequisities is 'numerical analysis'
Now, what is this exactly? Which classes will cover it best?
I am planing on taking:
Stochastic processes
Linear algebra
ODE
C++ even though I have starte coding and reading books by myself.

and if I have time, I'll take a statistics class...
Am also taking multivariate cal and a probability class...
I also wanted to take PDE, but it's not offered in my college very often and our math chairman said it's not necessary for prerequisities( will study it in the MFE program itself)

 

[CGiuliano]

It all depends on the program. Stanford for instance requires PDE, but most others do not. In order to take numerical analysis you will need to take real analysis. Again, a good number of MFE programs require real analysis and even if they do not, I'm guessing 95% of admitted applicants have taken it.

Where are you currently studying? How much time do you have left? What have you already taken--from the looks of it calc 1 & 2?

I would use this as a reference on what to take:

Financial Mathematics: Admissions Prerequisites - Stanford University

 

[roni]

It all depends on the program. Stanford for instance requires PDE, but most others do not. In order to take numerical analysis you will need to take real analysis. Again, a good number of MFE programs require real analysis and even if they do not, I'm guessing 95% of admitted applicants have taken it.

Where are you currently studying? How much time do you have left? What have you already taken--from the looks of it calc 1 & 2?

I would use this as a reference on what to take:

Financial Mathematics: Admissions Prerequisites - Stanford University

But Stanford doesn't offer any MFE programs. As far as I know Financial Mathematics is a little different and it requires much higher mathematical skills.

And, what's real analysis ? which of the classes I mentioned covers this ?

Currently, I am a Finance and Investments student at Baruch College, I am a senior and am going to graduate in Aug 2010.
I've taken cal 1 and cal 2... I will be taking multivariate cal and probability in fall 2009, and am trying to fit in a C++ class.
the rest I'll take in spring 2010 (4-3 math classes).

Again, which classes teach numerical analysis and which classes teach real analysis ?

Thanks,
Roni.

 

[CGiuliano]

But Stanford doesn't offer any MFE programs. As far as I know Financial Mathematics is a little different and it requires much higher mathematical skills.

And, what's real analysis ? which of the classes I mentioned covers this ?

Currently, I am a Finance and Investments student at Baruch College, I am a senior and am going to graduate in Aug 2010.
I've taken cal 1 and cal 2... I will be taking multivariate cal and probability in fall 2009, and am trying to fit in a C++ class.
the rest I'll take in spring 2010 (4-3 math classes).

Again, which classes teach numerical analysis and which classes teach real analysis ?

1. Financial mathematics = financial engineering = computational finance. Notice that MSFE at Baruch is offered by the mathematics department. Also, the program used to be called mathematics in finance.

2. Real Analysis (MATH 4010 Advanced Calculus) -- Think going back over limits, derivatives, integrals etc... But using abstract theory to PROVE these methods. Real Analysis specifically deals with real numbers as opposed to Complex Analysis, which deals with complex numbers (much more elegant).

3. MATH 4310 Numerical Analysis is a completely separate course which is the study of algorithms for the problems of continuous mathematics.

4. If you've set your heart on MSFE, you may want to spend another year taking math and programming. Aside from the obvious fact that 90% of other applicants to Baruch, UCB, CMU will have a stronger background than you, you will want to build some mathematical maturity before entering such a rigorous program.

 

[roni]

1. Financial mathematics = financial engineering = computational finance. Notice that MSFE at Baruch is offered by the mathematics department. Also, the program used to be called mathematics in finance.

2. Real Analysis (MATH 4010 Advanced Calculus) -- Think going back over limits, derivatives, integrals etc... But using abstract theory to PROVE these methods. Real Analysis specifically deals with real numbers as opposed to Complex Analysis, which deals with complex numbers (much more elegant).

3. MATH 4310 Numerical Analysis is a completely separate course which is the study of algorithms for the problems of continuous mathematics.

4. If you've set your heart on MSFE, you may want to spend another year taking math and programming. Aside from the obvious fact that 90% of other applicants to Baruch, UCB, CMU will have a stronger background than you, you will want to build some mathematical maturity before entering such a rigorous program.

1) Thanks, I didn't know that

2/3) MTH 4010 or MTH 4310 are offered infrequently at Baruch (which is retarded), so I guess I won't be able to take them (unless they will be offered in spring 2010).

4) Another year ? ? in another year I'll be able to take at least 8 more math classes (16 math classes in total). I think its enough for doing the math major twice , lol.

I don't think I'll stay another year. IMHO, its a waste of time. If I'm going to take so MANY math classes, I can find a job as a quant(?) or at a trading desk without a MFE degree.

There are clear requirements for many programs:

differential and integral calculus = cal I and cal II
ordinary differential equations
linear algebra
calculus based probability course
plus strong programming.
These are the requirements of CMU.

I believe with my GPA(3.9) + high GRE + good essays + the math classes I wrote and maybe MTH 4010 or MTH 4310 (if they will be offered),I'll be able to enter to at least one of those strong MFE programs.

I don't think you need to have 300 math courses. If it was like that, they would accept only engineers,math majors and computer science majors. But, its not like this, many students from different backgrounds are accepted (if they have the prerequisites)

I am planing on applying to Baruch, CMU, CU and UCB.

 

[CGiuliano]

Although the job market may be rough, before committing yourself to two more years of school I would search for employment. With your GPA and if you get an 800Q on the GRE you probably have a good shot at a top MFE program. Be aware that the single most common reason applicants are not accepted is that they do not have a strong enough background in mathematics.

From what I have picked up this would be an acceptable amount of mathematics:
Calculus 1, 2, multivariate, linear algebra, theory of probability, theory of statistics/mathematical statistics, stochastic process. Bonuses: Real analysis, numerical analysis, abstract algebra.

Programming: (Programs like Baruch/CMU want more programming then they explicitly ask for)
Fluency in C++. i.e. Intro to programming, OO programming, data structures, C++ programming.

Oh, and the majority of applicants are mathematics/engineering/science majors, with the exception of a few highly quantitative finance/business/economics majors.

Masters in Financial Engineering (MFE) - Baruch College

~Good Luck

 

[roni]

Although the job market may be rough, before committing yourself to two more years of school I would search for employment. With your GPA and if you get an 800Q on the GRE you probably have a good shot at a top MFE program. Be aware that the single most common reason applicants are not accepted is that they do not have a strong enough background in mathematics.

From what I have picked up this would be an acceptable amount of mathematics:
Calculus 1, 2, multivariate, linear algebra, theory of probability, theory of statistics/mathematical statistics, stochastic process. Bonuses: Real analysis, numerical analysis, abstract algebra.

Programming: (Programs like Baruch/CMU want more programming then they explicitly ask for)
Fluency in C++. i.e. Intro to programming, OO programming, data structures, C++ programming.

Oh, and the majority of applicants are mathematics/engineering/science majors, with the exception of a few highly quantitative finance/business/economics majors.

Masters in Financial Engineering (MFE) - Baruch College

~Good Luck

actually most of the programs are one year.
And it's not a problem to find a job right now, but on the sell side,stockbroker (not something I want to do). I've been trying to find an internship at a trading desk, no success so far but I keep trying.

as far as the programing is concerned, I'll take one C++ class just for the records, I can learn much more by myself. Actually, I have learned a lot in the past few weeks (would learn the same amount in two months of course, IMO)

where is your ODE course? an important one ?

You're right that the majority are science majors, but hopefully I'll be one of the minority (15%-25%). And if you are a finance major, you just CAN'T take 20 math classes (unless you want to spend 6 years in your undergrad program :/)

 

[CGiuliano]

Opps, I forgot to include ODE; PDE can go under bonus. Luckily they combine ordinary and partial DE's into one course at my school: engineering differential equations.

One might argue that you have to learn everything on your own. Programming is one of those things that you just have to sit down and crank away at until it's second nature. Although, C++ is like math; if you don't use it often, it will dwindle away.