Useful Topics to self study?

[IanRobinson]

Hi QuantNet! I actually don't have a huge interest in becoming the traditional quant type analyst role. I already have a career in finance/investment management, but the topic of financial engineering interests me. Is there any value in taking courses/reading about linear algebra/optimization/econometrics/programming from a practical standpoint? Any applications a normal B.S. Finance degree can take from skimming or having a basic understanding of those concepts?

 

[bigbadwolf]

Any applications a normal B.S. Finance degree can take from skimming or having a basic understanding of those concepts?

If you mean skimming in the sense that you might go through a Dan Brown or Tom Clancy novel while sitting in a US airport lounge while listening to TSA risk level announcements and the blare of Fox and CNN, then no. You either know these subjects and have some skill at them -- or you don't. And mastery requires slow cumulative and patient work over a period of time -- something those not in the exact sciences may not have experience with. If you must, start with something modest, go slowly, and be sure you've mastered what you've learnt (i.e., you can play with it in your mind). I can probably give you the titles of some linear algebra texts or basic C/C++ texts if you want.

 

[okmijn]

Linear algebra done right!

 

[ExSan]

Linear algebra done right!

Paul Wilmott

• "linear models are boring and not realistic "

 

[yetanotherquant]

Programming is essential.
Econometrics/Statistics is very useful, however, make sure that the course is practical. And learn R!
(you can learn very advanced models but you will not become a statistician unless you do statistical analysis in practice).

If you want deeply understand derivative pricing then the measure theory is essential (here I can recommend to have a look
at my "Yet another, yet very reader-friendly, introduction to the measure theory" http://www.yetanotherquant.de)

Hope it helps