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Best way to prepare for entering MFE and starting a quant career

Sleep Early

Joined
1/24/21
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I am entering a good MFE program this fall and I am curious what should I do now given that MFE is quite fast-paced. A little bit of info about myself: I am an applied math major and took 4 programming courses in college.

I know there is a quite long reading list but wish for more focused/directed/effective things to do before I enter the program. Any advice is appreciated. Thank you guys
 
I think one thing that would be useful, and something that I'm doing at the moment myself, is to review (i) mathematical statistics, (ii) linear algebra, and (iii) optimization. Chapters 7-9 from Casella and Berger's Statistical Inference is a good start for (i), Stefanica's A Linear Algebra Primer for Financial Engineering a good one for (ii) and Chapters 2-5 from Cornuejols and Tutuncu's Optimization Methods in Finance for (iii). I would also get a jump on stochastic calculus (if you haven't already) as many quant interview books have questions that require an understanding of it. Shreve 1 (Chapters 1-3 and 5) and Shreve 2 (Chapters 2-5 \ 4.7, 5.5, 5.6) are great as a first read for this. Also need to dedicate time to keeping your programming ability up and practice interview-style exercises via hackerrank/leetcode.

I am an entering MFE student for this fall as well, so take the above advice with a grain of salt as others that have already gone through the process may have much better advice.
 
Qui-Gon said:
I think one thing that would be useful, and something that I'm doing at the moment myself, is to review (i) mathematical statistics, (ii) linear algebra, and (iii) optimization. Chapters 7-9 from Casella and Berger's Statistical Inference is a good start for (i), Stefanica's A Linear Algebra Primer for Financial Engineering a good one for (ii) and Chapters 2-5 from Cornuejols and Tutuncu's Optimization Methods in Finance for (iii). I would also get a jump on stochastic calculus (if you haven't already) as many quant interview books have questions that require an understanding of it. Shreve 1 (Chapters 1-3 and 5) and Shreve 2 (Chapters 2-5 \ 4.7, 5.5, 5.6) are great as a first read for this. Also need to dedicate time to keeping your programming ability up and practice interview-style exercises via hackerrank/leetcode.

I am an entering MFE student for this fall as well, so take the above advice with a grain of salt as others that have already gone through the process may have much better advice.
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Man that is some good articulate advice. I am also an entering MFE student this fall, and was probably not even thinking of doing any revision but the way you listed all the study material makes me want to review all of it now, and I probably will :D
 
Qui-Gon said:
I think one thing that would be useful, and something that I'm doing at the moment myself, is to review (i) mathematical statistics, (ii) linear algebra, and (iii) optimization. Chapters 7-9 from Casella and Berger's Statistical Inference is a good start for (i), Stefanica's A Linear Algebra Primer for Financial Engineering a good one for (ii) and Chapters 2-5 from Cornuejols and Tutuncu's Optimization Methods in Finance for (iii). I would also get a jump on stochastic calculus (if you haven't already) as many quant interview books have questions that require an understanding of it. Shreve 1 (Chapters 1-3 and 5) and Shreve 2 (Chapters 2-5 \ 4.7, 5.5, 5.6) are great as a first read for this. Also need to dedicate time to keeping your programming ability up and practice interview-style exercises via hackerrank/leetcode.

I am an entering MFE student for this fall as well, so take the above advice with a grain of salt as others that have already gone through the process may have much better advice.
Click to expand...

Casella is no joke, finishing it up now and it’s been brutal imo
 
Qui-Gon said:
I think one thing that would be useful, and something that I'm doing at the moment myself, is to review (i) mathematical statistics, (ii) linear algebra, and (iii) optimization. Chapters 7-9 from Casella and Berger's Statistical Inference is a good start for (i), Stefanica's A Linear Algebra Primer for Financial Engineering a good one for (ii) and Chapters 2-5 from Cornuejols and Tutuncu's Optimization Methods in Finance for (iii). I would also get a jump on stochastic calculus (if you haven't already) as many quant interview books have questions that require an understanding of it. Shreve 1 (Chapters 1-3 and 5) and Shreve 2 (Chapters 2-5 \ 4.7, 5.5, 5.6) are great as a first read for this. Also need to dedicate time to keeping your programming ability up and practice interview-style exercises via hackerrank/leetcode.

I am an entering MFE student for this fall as well, so take the above advice with a grain of salt as others that have already gone through the process may have much better advice.
Click to expand...
It's really detailed and thanks a lot
 
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