Help with MATH course selection for MFE

[swapnilchristian]

Hi,

I needed some guidance towards selecting MATH coursework which might prove helpful in MFE. So, far I have already completed all my calculus courses, along with diff. eqn. I am currently taking Numerical Analysis and Applied Diff. Eqn. I still have a choice for 2 more class which I can fit into my schedule. Some of the courses which I am looking at are:

Advanced Calculus

• Euclidean space
• Theorems of partial differentiation
• Higher order derivatives
• Calculus of vector fields, line and surface integrals
• Conservative fields
• Stoke's, Green's and divergence theorems

Complex Analysis with Applications

• Complex integration
• Taylor and Laurent series
• Residue calculus
• Branch cuts
• Conformal mapping
• Rouche's theorem
• Poisson integral formula
• Analytic continuation

Introduction to Probability

 

[swapnilchristian]

Introduction to Probability

• Probability spaces
• Random variables and their distribution
• Conditional distribution and stochastic independence
• Special distribution
• Sampling distribution
• Limit theorems

I hope the quantnet family can provide me with value feedback as to which courses are worth pursuing from MFE's viewpoint.

 

[Andy Nguyen]

Remove Complex analysis from the list. Probability is one of the must have.

 

[D C]

swapnilchristian :: I would choose Advanced Calculus...Green's functions come up in special cases of linear differential operators, but I've never used ANY of the Complex Anal I learned in school, ie, this stuff is interesting (gauss, cauchy, and riemann were geniuses, but not useful for quant stuff) stick to Real Anal instead.

Oh and definitely Probability - I would say it's the benchmark.

 

[swapnilchristian]

Thanks for you feedback Andy and Diego.

 

[bigbadwolf]

@swapnilchrisitian :: I would choose Advanced Calculus...Green's functions come up in special cases of linear differential operators, ...

Green's theorem in vector analysis and Green's functions are two separate things.

 

[D C]

bigbadwolf :: thanks for pointing that out, I didn't mean to confuse the OP - just wanted to bring functional analysis into the mix because it'll be in my studies this fall

 

[swapnilchristian]

Thanks once again to everyone

 

[Dwsmith]

PDE would have some functional analysis, Green's Function, heat eq (Black Scholes), Laplace which is used in probability, and many more benefits.