Question on courses recommended for MFin or MFE?

[Aerial]

Hi, I'm currently a student at NYU Stern, double majoring in Finance and Mathematics, and would like to pursue a career in trading. I have a couple questions on some recommended prerequisite courses in terms of MFE/MFin for graduate school.

1. Partial Differential Equations - I know that differential equations is absolutely essential but in your opinion would ordinary differential equations be ssufficient or would PDEs be highly recommended? I know the best answer would probably be "take both of them" but then again I am packed in to a tight schedule for all 4 years and I would need to make tradeoffs - just wondering how much weight you would place on PDEs as a prerequisite to MFin/MFE.

2. Computer Science/Programming - I know that C++ plays a major role in quantitative finance but I was wondering if this could be overlooked by studying programming on my own. I've heard from upperclassmen that VBA is probably the only programming language you will need, as a fresh graduate from college, and I should learn VBA on my own. Would not taking a tangible Comp Sci/programming in Java, C#, C++ course be a huge detriment in terms of admissions? Or would self studying VBA be sufficient in terms of admissions?

3. Stochastic Calculus/Processes - In my math major, I have the opportunity to take a graduate course and I have my eyes set on Stochastic Calculus. However Stern also offers a course called "Stochastic Processes". Would it be redundant to take both (basically I'm asking if Stochastic Calculus and Processes are the same thing) and if not, which would carry more weight? Furthermore, I've read that taking a course in real analysis is recommended before taking Stochastic Calculus - did you find having a background in real analysis very helpful or was it more just an icing on the cake? (I ask this because I plan to delay taking Real Analysis till my senior year to protect my GPA).

Lastly, I was wondering if the prerequisites for Princeton MFin and a general MFE may be very different? For example would Columbia MFE admissions demand more programming etc. whereas Princeton may be less strict in terms of programming?

Sorry for the lost post, but I do wish to hear your feedback! Thanks!

 

[bigbadwolf]

1) PDEs is recommended. But to understand them, a prior exposure to ODEs is needed.

2) You need some serious programming exposure. C/Python/Ruby should do the trick. If it is mixed with some numerical analysis, that would be ideal. A bit of exposure to data structures and algorithms -- usually a course immediately subsequent to a first programming course -- won't do you any harm either.

3) Take stochastic processes first (assuming you already know the contents of a first course in probability). Yes, stochastic calculus does need the ideas and methods of real analysis. To the extent that you will probably be crippled if you haven't taken real analysis.

Stop thinking about admissions and trying to figure out what it will take to get through the program if you are admitted.

 

[Aerial]

Thanks for the response bigbadwolf. I'll definitely keep in mind the programming part (which I'll probably have to self-learn).

Lastly I just found that that as an undergraduate, I have access to taking any graduate course offer in NYUs Courant, especially those offered for the Math Finance graduate degree. Luckily, I have a couple elective slots open and I was looking to some of Quantnet's feedback on which courses would be the most useful as an undergrad looking to get an introduction to quant finance (esp in the trading side)?

Here are my options in no particular order:

1. Stochastic Calculus
2. Derivative Securities
3. Computing in Finance
4. Continuous Time Finance
5. Partial Differential Equations for Finance

Questions:

1. If you could only pick 4 of them, which would you pick and in what order?
2. The prerequisites for PDE for Finance is only stochastic calculus. For people who have previous taken a similar course, how important in a background in ODEs? Do you think it is doable just by mastering stochastic calculus or would one need a thorough previous background in ODEs and PDEs?

Thanks in advance.

 

[bigbadwolf]

I'll definitely keep in mind the programming part (which I'll probably have to self-learn).

The problem is not learning the syntax of a language but learning how to use it to solve problems. If you take a class where tough coding problems are handed out as homework assignments -- problems that make you think, make you sweat, make you experiment -- it will be infinitely better than trying to learn by yourself.

1. Stochastic Calculus
2. Derivative Securities
3. Computing in Finance
4. Continuous Time Finance
5. Partial Differential Equations for Finance

Questions:

1. If you could only pick 4 of them, which would you pick and in what order?
2. The prerequisites for PDE for Finance is only stochastic calculus. For people who have previous taken a similar course, how important in a background in ODEs? Do you think it is doable just by mastering stochastic calculus or would one need a thorough previous background in ODEs and PDEs?

I presume they're stochastic PDEs. If it's based on something like Oksendal or Rogers and Williams, you should not even think about it. Even if you can follow it in some dim, hazy sense, you will gain next to nothing. If you try to take shortcuts, you will lose more in the long term because of the lack of sturdy foundation. Less haste, more speed.

 

[enthusiast]

1. I would recommend PDE. Like BBW said you need to know ODE's to start with.
2. I would definitely recommend C++ if you want to do MFE. It will be more efficient if you take C++ course than learning it yourself. Professors know what material to cover and help out when you have questions. If you had previous exposure to C++ I would only then recommend self study refresher.

The 4 courses I would pick are (assuming MFE here):
1. Stochastic Calculus
2. PDE for Finance
3. Computing in Finance
4. Cont. Time Finance

1-3 above are basic courses that lay the foundation for MFE. 4 (Cont Time Fianance) I assume you will also do in MFE along with Derivative Securities.

You must know atleast ODE's to start with. Get the basics and foundation right. The rest will follow.