what classes i need to take in undergrad for MFE

preinvestmentbanker:

I am not sure I am the best person to answer this but I have a masters degree in engineering (not CS or related). What I would do is take mostly computer science classes, because those classes are going to make you the person capable of analytically getting through this type of job. People with PhDs in quantum physics many times get these jobs. Are you going to be able to learn enough in the CS classes to be an expert? Or can you get a high grade in the class but do not have much latitude in your programming ability? I would recommend some finance, and accounting core classes, and possibly some upper level classes of interest. However I think many times they admit people to MFE degrees without any business classes. What I would say is in the world of admissions, GPA plays a big impact. Take whatever business courses you can for sure get an A in. Because if you take so-called "good" classes by the advisor standards, and don't get an A in them, this won't help your case. MFE really is engineering, in that it is more about have fluidity in your computer science and mathematics abilities, and I am sure you are on the right course. Forgive me if there are specific required courses for MFE entrance in business, but I would recommend if there are required business classes, that you select those where you can get the highest grade average. I would think the best MFE that goes into a financial career is going to have the latitude and programming abilities more geared towards their technical knowledge rather then surface business knowledge from a survey course.

IB2001:

Business: Just two basic finance classes

Math: Multivariable calculus (all of them) Linear algebra ODE PDE Numerical analysis (as many as possible) Probability (as many as possible) Statistics Stochastic calculus Real analysis

I assume you know what classes to take in CS.

Basically you might as well double major in math on top of your CS degree.

do you recemend econometrics, taking it next semester already have 4 econ classes under my belt and 3 stats class

IFM, debt instruments (with carpenter), futures and options, time series, applied stoch processes ...IMHO for FX i would also take A LOT of macroeconomics

What type of FX trading? Spot, Forwards, Vanilla Options, Flow Exotics or Basket Options?

If you want to trade spot FX, why would you want an MFE? Spot FX trading at a BB is not incredibly complicated.

....

That makes sense but I would like to move on to more complicated stuff eventually.

Yes, providing you meet the requisite math, or plan to do so before matriculation.

MFE adcoms don't care about what you declared as your major. They care about the math/stats courses you've taken and your grades in those courses.

There are my grades:

Statistics I : 3.8 Statistics II :3.8 Maths(Calculus,Linear Algebra) :3 Financial Mathematics : 2.4 (i was so unlucky)

Do i have any chance?

Not gonna cut it. You need way more math and way better grades. For Math, atleast have vector calculus (a full year sequence that covers stokes theorem in R^3) and ODEs, PDEs and a basic Real Analysis course. Then you need at least one full year course in probability (real probability, not the basic combinatorics stuff). On top of that, you need way better grades. Anything below an 85 in any of these courses looks really bad. You should be getting above 90 in all of them. Also, there's no such thing as luck in math, you either know it or you don't. There's no subjectivity in marking. Maybe a little in the upper year theoretical courses, but definitely not the plug and chug courses at the level you've taken.

^^Nice Pirates of the Carribean reference, but he didn't really make a request. You do bring up a good point, if he's a senior, there is literally no chance, and even if by some miracle he got in, he would fail out in months, because the subject matter is quite advanced for someone of his background. On the other hand, if he's a sophomore, then there's plenty of time to boost his profile.

My department doesn't offer other math subjects like vector calculus as you say.Im in the second year and the only subjects that seems to me that have maths, are econometrics,computational finance and some subjects with derivatives which are available in the next 2 years. I m a little dissapointed :P.Should i drop out and do other major?

Your Math is okay. Basically, you need Calculus, PDE, Probability and Statistics. You will learn Stochastic Calculus in the MFE program. Your main drawback is lack of programming. MFE prepares people for quant jobs. That is 90% C++ programming. You don't really use Math all that much in your work. 90% of your time at work is C++ programming. Also, you will be doing C++ programming a lot in the MFE program.

Don't listen to Trader Joe, your math is definitely not okay. You need to take way more math to have a shot. I have an MFE so I know what I'm talking about. Like I said, even if by some fluke you get in, you are going to fail a lot of courses because you won't be properly prepared. You can't just learn stochastic calculus or derivative pricing theory or even risk management if you don't have the necessary background, which, at the moment, you most certainly do not have. The pace in an MFE is incredibly fast, and you will not have a chance to catch up once you start. You should really think about why you want to do an MFE, and if you find that it's definitely something you want to do, then take all the steps to prepare yourself well. In my class, there was only one person who only took the bare minimum course requirements in college (which you still aren't even close to having), and he failed 5 of the courses, and is currently the only person who does not have a job, 7 months after graduation.

And yes, take a course in c++. one course will suffice.

I also want to add that I'm not trying to discourage you, and you shouldn't be discouraged. You still have plenty of time to do all the right things and prepare. But don't listen to this other awful advice about how math isn't important because 90% of the job is programming. First of all, this is simply not true. Second of all, even if it were true, what exactly do you think you'll be programming 90% of the day? When you're a quant, people don't hold your hand and write you clear and easy specs so you can just write up the code. They have software developers for that that they pay a third of what quants make.

Look, you can take all the Math you want. It will not help you get a job. There are hundreds of unemployed Math and Physics PhDs who have Math skills which the MFEs can only dream about. They are all trying for the same quant jobs. What will get you the quant job is high quality C++ programming skills with a bit of Math. Believe me, 90% of your time at work will be spent in C++ programming. You will never be able to compete with the Math and Physics PhDs for the true Math Modeling jobs. There is already a huge surplus of Math and Physics PhDs. For the job, you need hard-core C++ programming skills. The Math in the MFE program is at a really low level compared to the Math skills which these Math and Physics PhDs have, so there is no point in trying to compete with them for the same jobs. Almost all the MFEs end up taking developer / IT / Risk / Back Office /Serf type jobs. They just don't have the Math skills or the research skills for the modeling jobs.

Yes, there is a huge difference between the level of mathematics taught in a MASTER of FINANCIAL ENGINEERING and a PHD in MATHEMATICS. That was never under dispute. The basic courses I mentioned that he needs, namely, vector calculus, basic ODEs, basic PDEs, basic Real Analysis, and a full probability course, are not even close to enough to get into a PhD in math (even if you get 100% in all of them), but they are required to be seriously considered for, and do well in, an MFE program.

You know what, here is a very simple test OP.

Give yourself exactly one hour to read the definition of a sigma algebra, and then prove that the arbitrary intersection of sigma alebras is itself a sigma algebra.

This is actually quite trivial to prove if you have the sightest bit of mathematical maturity. It doesn't require any knowledge of ODEs, PDEs, real analysis, vector calculus, algebra. All you need to know is the definition, and understand it. But the problem is that you won't have any mathematical maturity without taking some basic theoretical courses.

Oh and FYI, this topic of sigma algebras is day one of stochastic calculus in the MFE, and it's covered for roughly 15 minutes, and then you just speed through to other topics. And the reason is that measure theoretic probability needs to be adequately covered in about 1 month, before the stochastic calculus actually starts. That's why it's important for the OP to know some real analysis coming in, so he can pick this stuff up fast enough.