Recommended Reading
<!-- Page content starts below this line --> The following information is presented for prospective students with 2 purposes in mind.
- First, it outlines the appropriate background for applicants to the program.
- Second, it can assist in preparation for the diagnostic test which is part of the selection process.
Finance
- Phelim P Boyle and Feidhlim P. Boyle, Derivatives, The Tools that Changed Finance, (free download on-line)
- "Enjoy the Free Lunch" Derivatives: The Tools That Changed Finance
- John Hull, Options, Futures and Other Derivative Securities.
- David G. Luenberger, Investment Science, Oxford University Press.
- Sheldon M. Ross, An Introduction to Mathematical Finance: Options and Other Topics. This is a very accessible introduction.
Probability and Statistics Topics:
- Distribution of random variables
- Conditional probability and stochastic independence
- Some special distributions
- Distributions of functions of random variables
- Limiting distributions
- Estimations
- Markov Chains
- Brownian Motion and Markov Processes
Robert Hogg and Allen Craig,
Introduction to Mathematical Statistics , chapters 1-6. Also helpful: S. Ross, Stochastic Processes , chapters 4-6.
Econometrics
Familiarity with multiple regression would be helpful. Almost any econometric textbook will cover this topic. For example: J. Johnston,
Econometric Methods or W.H. Greene,
Econometric Analysis .
Analysis Topics:
- The real number system
- Elements of set theory
- Numerical sequences and series
- Continuity
- The Riemann integral
- Sequences and series of functions
These topics can be found in the classical book by W. Rudin,
Principles of Mathematical Analysis, Chapters 1-7.
Calculus Topics:
- Techniques of integration
- Partial derivatives
- Multiple integrals
- Vector calculus
- Optimization of multivariable functions
- Ordinary differential equations
Most concepts in univariate differential and integral calculus will be used routinely. There are many books that cover these topics, for example J. Stewart,
Calculus , (Third Edition)
Linear Algebra Topics
- Matrix algebra
- Determinants
- Vector spaces and linear transformation
- Orthogonality and projections
- Eigenvalues and eigenvectors
There are many excellent books on linear algebra that cover these topics, for exaple: T Lawson,
Linear Algebra . In addition, any good econometric textbook will have a chapter on the required matrix algebra. See Econometrics , above.
