Advice to new students in math finance masters programs

  • Thread starter Thread starter maciej
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maciej

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Hey Guys,

I'm wondering if anyone has any advice on what to do in the summer preceding a math finance program. Specifically if anyone found any areas they wish they knew more before entering the program.

Thanks in advance for any advice,
-Maciej
 
Read Stefanica "A Primer for the Mathematics of Financial Engineering" and Savitch "Problem Solving with C++."
 
A First Course in Probability - Sheldon Ross
Stochastic Calculus for Finance I: The Binomial Asset Pricing Model - Steven Shreve
 
Also Neftci "Principles of financial engineering" may be good
 
Enjoy the summer as best you can, it's likely the last free summer you will have for a while.
 
Thanks for the tips,

I think I'll be fine with C++, I double majored in math and CS at Boston University. But are there any specific libraries that are used by quants. The only one I could find is quantlib which doesn't seem that popular from reading the forum.
 
learn the boost library, study Real Analysis and Probabilities, Linear Algebra, learn Stochastic calculus.
 
National Plumbing Codes Handbook
Plumber's Licensing Study Guide
Plumber's Exam Preparation Guide
 
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