MSc FE from a Chemistry background (Imperial RMFE)

[ChemistryQuant]

I recently graduated from a Master of Chemistry (MChem) from a top 30 UK university and now have a place at Imperial College for RMFE starting next year. I have taken this year out to improve my fundamental mathematics as currently this is lacking due to my course not really going past A-Level maths apart from some basic linear algebra involved in quantum mechanics. Can anyone recommend me some good books to solidify my fundamental maths or give any insight in to the level of maths covered by this program? Thanks

 

[Jiajie Liu]

stochastic calculus by shreve

 

[Daniel Duffy]

stochastic calculus by shreve

You need (almost) degree-level (honours) maths for this if you want to do it right, so background is

1. measure, probability
2. analysis
3. computational 'savvy'
4. Some ODE/PDE

There are 2 volumes.

With A-levels maths there's not a hope in hell. I suggest taking a step backwards.

 

[Daniel Duffy]

One ploy is first a refresher/get in shape, gets you used to working things out with pencil and paper.

https://www.amazon.com/Schaums-Outline-College-Mathematics-Outlines/dp/0071626476

and then programming the methods in Python

A kind of feedback loop. And you learn Python in the process which can't be bad.

I reckon if you apply yourself then 3-4 months is doable.

// I used the 1958 edition of Ayres' book when doing my Leaving Cert (~ A levels).

 

[ChemistryQuant]

Thank you for the responses, to clarify my thesis was in computational chemistry so I believe my programming knowledge is sufficient already but I like the idea of practising in conjunction with bringing my maths up to speed. I'm currently working my way through Introduction to Quantitative finance by Robert Reitano which I'm finding to be very clear and concise but I'll try Schaums as well. Do you have any suggestions for materials to read before tackling Shreve's?

 

[Daniel Duffy]

Mikosch

https://www.amazon.com/Elementary-Stochastic-Calculus-Statistical-Probability/dp/9810235437

And Dan Stefanica's (of Baruch) Primer