which master should i choose?

[Bonaventura Cavalieri]

Hi,

i'm an italian student of Applied math.

I'm on the first year of bachelor degree and i'm now choosing a master to apply.

I like very much maths, especially numerical math so i thought that maybe a MFE could feed my passion and put some bread on my plate :D:D

Looking around on the internet i heard a lot of good things about this school, and so i started to give a look at the courses in my spare time.

This course, as many others MFE, imho is a bit... on the easy way.

Look: I don't want to offend or demolish anyone's work... but...

It's a bit too weak on the math... I always thought that finance requires very strong mathematical instruments... But looking at the course it lacks on strong maths tools...

MTH 9821 Numerical Linear Algebra (core math course)
This course begins with a brief presentation of fundamental linear algebra topics: vector spaces,
eigenvalues and eigenvectors, and diagonal forms of matrices. The main part of this course consists of the study of numerical methods used in linear algebra: direct and iterative methods for solving linear systems, eigenvalue methods, least square problems, and Newtons method.

I've alredy done all of thoose things on the second semester... Both theroically (demostration of convergence, geometrically representation, ...) and pratically (application by hand, with matlab or homemade C code)...

MTH 9831 Real Analysis and Probability (core math course)
This course covers enough measure and integration theory to lead quickly to probability. The fundamentals of probability are then covered, to include probability spaces, random variables, expectation, conditional probability and expectation, moments and certain limit theorems.

I've yet done a very strong, multivariable, approach to integration theory and the next semester i'll have measure theory and probabilistic calculus the next semester...

MTH 9852 Numerical Methods for PDEs in Finance (core math course)
Security prices are often represented as solutions to parabolic partial differential equations (PDEs)
arising out of the stochastic calculus. This course focuses on the study of these equations, from both a theoretical and a numerical point of view. Several finite difference methods are presented, and their performance is compared with other methods, e.g., binomial methods. Applications include the Black-Scholes formula for American options as the solution of a PDE as well as some exotic option pricing. Prerequisites: MTH 9815, MTH 9821, MTH 9831.

MTH 9862 Stochastic Processes in Finance (core math course)
This course covers the basic stochastic processes and probabilistic techniques used in finance,
for example: random walks, Markov chains, martingales, Brownian Motion, stochastic integration, and Itô's formula. The Black-Scholes formula is presented from the standpoint of expectation in
an appropriate probability space. Prerequisites: MTH 9815, MTH 9821, MTH 9831.

On the third year i have 8 exams about thoose topics...

It's right: i'm having a far more mathematical and less financial approach... And doing finance without either knowing the mean of "stock" is impossible... but anyhow i think this master lacks a bit in math.


Instead i've seen an intersting MFE with a lot of maths and a lot of economics:

Stochastics and Financial Mathematics - Programme

http://www.few.vu.nl/en/aanstaande_studenten/masters/stochastics/page_sfm_link1.html


Again i say i don't want to be annoying or arrogant, but i would like to hear your opinion...

Definetly the question is: It's just an impression that many of the worldwide MFE are a bit lacking on the math side?
How do i have more chance to get a job? Applying to a course like your or having a stronger mathematical background?

I mean: it doesn't look like you do any seriously bayesian statistics for example... but BS it's a very intersting, vital and useful tool for modern finance...


Thanx a lot, and sorry for my crap english, but i'm not used to english... Just to the one you hear on family guy :D:D:

 

[Andy Nguyen]

Hi Bonaventura,
What is your career plan ? What do you want to get out of MFE program ? Do you have any background in finance or programming (C++) ?

 

[Bonaventura Cavalieri]

Hi Bonaventura,
What is your career plan ? What do you want to get out of MFE program ? Do you have any background in finance or programming (C++) ?

I don't know yet wich is my career plan. I'm just looking around, asking to people to get an idea.

Now i'm thinking about doing a bachelor in applied math (3 years), a master in finance and math (2 years) with eventually a year more of master in pure economics.

I don't have any background in finance, and i'm not going to have one during the bachelor.

I've done a 60 hours course of C (endend with a project regarding an implementation of the http://en.wikipedia.org/wiki/Dijkstra's_algorithm) and the next year i'll have a 60 hours course of Java.

 

[Andy Nguyen]

You seem to like math. If you like to have a career doing math for a living, I would suggest that you do a PhD in Math.
MFE is a Master program and as such, it's not as rigorous as PhD. That said, Baruch MFE program has a well balance between math, finance and programming.

I took all the courses that you listed and I can say that the course descriptions online didn't do the courses any justice.. 9831,9862 would give someone with lesser math background a very challenging time. 9821, 9852 would be programming heavy.
Different people with different background would have different experience, obviously.

Do look at the students profile, and the career tracks of the graduates from this programs. See if you can see yourself being one of them.

 

[Yuriy]

I think course descriptions serve more as guides to what is being offered rather than being the exact syllabi. Take MTH 9821 for example, when I took it a while back, we didn't just learn the theory but needed to code all that in C++, and the programming component of the course was large. And I'm sure now it is even more challenging.

 

[Yuriy]

Regarding MTH 9862. The course description is an elementary-level summary of what to expect. And all those concepts can be packed into one 3-hour lecture. The difficult part is how to apply all those elementary concepts in Finance.

 

[Bonaventura Cavalieri]

I think course descriptions serve more as guides to what is being offered rather than being the exact syllabi. Take MTH 9821 for example, when I took it a while back, we didn't just learn the theory but needed to code all that in C++, and the programming component of the course was large. And I'm sure now it is even more challenging.

i was definetly sure that there was more behind the program...

looking at the exiting student profile they looks all like elite students...

 

[Bonaventura Cavalieri]

You seem to like math. If you like to have a career doing math for a living, I would suggest that you do a PhD in Math.
MFE is a Master program and as such, it's not as rigorous as PhD. That said, Baruch MFE program has a well balance between math, finance and programming.

I would definetly love to attend a PhD in math, but let's explain my situation:

In europe university system in different: there's a 3 year bachelor and a 2 year master degree.

I've started school one year before usual (i didn't like kindergarden :D:D).

So if i attend the bachelor in math in italy, plus a one year master in USA or UK i would be a 22 years old with strong math and financial background, fluent in italian and spanish, with a very good english and german.

I've heard from friends at human resource department of many firms that the age is a very strong discriminant in hiring, after skills/experience and before language knowledge. So IMHO it would be a great thing to graduate 2 years before usual.

Does this make sense to you?

 

[Yuriy]

I think most people want to make things faster, not slower There are many ways to stretch your educational path.

Masters in the US usually takes more than a year, at least, a year and a half if you are studying Full-Time. And you can always spend a year or two working towards advanced certificates. Or get an internship. By the time you are done, you will be 25