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Which Math Course, Calc 2, Stats 2 or Linear Algebra?
 

Higheck123's picture
 
Points)
 on 4/14/11 at 12:09pm

I am trying to figure out which of those courses would be best to prepare me for a general MSF degree (I only have calc 1 and stats 1 now) I am not sure which way to go, leaning towards stats because it seems more practical and utilizes software that could come in handy. Please let me know if you have any other suggestions. Thank you.

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Notepad's picture

Pretty much every serious MSF

(Baboon, 120
 
Points)
 on 4/14/11 at 2:18pm

Pretty much every serious MSF program requires calculus / linear algebra / statistics / real analysis, so take as many of those as you can. Even if the program doesn't formally require so much math, math fluency always helps. In order of priority, and pretty much in sequence:

1. Calculus and linear algebra (sets, sequences, limits, subspaces, integrals, differential forms)
2. Statistics (where you use integrals but not measure theory)
3. Real analysis (Lebesgue integral, Lp space, approximation theorms)
4. Probability theory (sigma fields, Kolmogorov conditioning, convergence, martingales)
5. Time series (stochastic processes, Brownian motion, functional central limit theorms)

The further you get along the sequence, the more you will be able to spend time learning finance rather than math, which will reflect well for future interviews. Pick up Matlab along the way and you'll be solid.

euroazn's picture

Hey notepad - out of

HF
 
Points)
 on 4/14/11 at 2:27pm

Hey notepad - out of curiosity, why is time series so low and real analysis so high?

manbearpig's picture

euroazn wrote: Hey notepad -

CO
(Neanderthal, 3,029
 
Points)
 on 4/14/11 at 2:38pm
euroazn:

Hey notepad - out of curiosity, why is time series so low and real analysis so high?

Because one learns measure theory in real analysis, and probability is basically just measure theory. Probability is a pre-req for stochastic calculus (which I think is what he meant by time series), which is used in every part of derivatives pricing.

-MBP

manbearpig's picture

Notepad wrote: Pretty much

CO
(Neanderthal, 3,029
 
Points)
 on 4/14/11 at 2:40pm
Notepad:

Pretty much every serious MSF program requires calculus / linear algebra / statistics / real analysis, so take as many of those as you can. Even if the program doesn't formally require so much math, math fluency always helps. In order of priority, and pretty much in sequence:

1. Calculus and linear algebra (sets, sequences, limits, subspaces, integrals, differential forms)
2. Statistics (where you use integrals but not measure theory)
3. Real analysis (Lebesgue integral, Lp space, approximation theorms)
4. Probability theory (sigma fields, Kolmogorov conditioning, convergence, martingales)
5. Time series (stochastic processes, Brownian motion, functional central limit theorms)

The further you get along the sequence, the more you will be able to spend time learning finance rather than math, which will reflect well for future interviews. Pick up Matlab along the way and you'll be solid.

Good list. I would throw in a PDE course if time permits. (Useful when you get to feynman-kac representations)

-MBP

Notepad's picture

euroazn wrote: Hey notepad -

(Baboon, 120
 
Points)
 on 4/14/11 at 2:45pm
euroazn:

Hey notepad - out of curiosity, why is time series so low and real analysis so high?

It's true that with basically no math or stats, you can go ahead and take a class that uses something like Hamilton to learn the classical theory, but you'll have absolutely no idea how to handle anything non-classical. The usual theory simply fails. Given the current industry focus on fat tails, measurement in the presence of microstructure noise, non-normality, and other non-standard setups, I think it's worth building up the math foundations to take a more advanced course instead.

euroazn's picture

Notepad wrote: euroazn

HF
 
Points)
 on 4/14/11 at 2:56pm
Notepad:
euroazn:

Hey notepad - out of curiosity, why is time series so low and real analysis so high?

It's true that with basically no math or stats, you can go ahead and take a class that uses something like Hamilton to learn the classical theory, but you'll have absolutely no idea how to handle anything non-classical. The usual theory simply fails. Given the current industry focus on fat tails, measurement in the presence of microstructure noise, non-normality, and other non-standard setups, I think it's worth building up the math foundations to take a more advanced course instead.

Hm. Gotcha.
Might have to reconsider the classes I was planning to take then!
Thanks!

TW Pepper's picture

At the bare minimum, calc 2,

IB
 
Points)
 on 4/14/11 at 2:58pm

At the bare minimum, calc 2, linear algebra, and a calc based prob/stats class. If you have time, then diff eq and calc 3 and an analysis course.

manbearpig's picture

TW Pepper wrote: At the bare

CO
(Neanderthal, 3,029
 
Points)
 on 4/14/11 at 3:02pm
TW Pepper:

At the bare minimum, calc 2, linear algebra, and a calc based prob/stats class. If you have time, then diff eq and calc 3 and an analysis course.

The people who took just the bare minimum requirements got absolutely slaughtered in my MFE.

-MBP

euroazn's picture

Btw MBP it's 288 ;)

HF
 
Points)
 on 4/14/11 at 3:12pm

Btw MBP it's 288 ;)

TW Pepper's picture

He wants msf not mfe.

IB
 
Points)
 on 4/14/11 at 3:19pm

He wants msf not mfe.

euroazn's picture

TW Pepper wrote: He wants msf

HF
 
Points)
 on 4/14/11 at 3:21pm
TW Pepper:

He wants msf not mfe.

Notepad was perhaps alluding to Sloan?

blastoise's picture

i don't understand how you

O
 
Points)
 on 4/14/11 at 3:36pm

i don't understand how you can take linear algebra with out cal 2.......

euroazn's picture

blastoise wrote: i don't

HF
 
Points)
 on 4/14/11 at 3:41pm
blastoise:

i don't understand how you can take linear algebra with out cal 2.......

It's the other way around bro.
You take linear algebra, and then you can analyze multivariable calculus properly. Remmember the second derivative test? That's just a determinant. Extended for higher derivatives also.

And then there's manifolds :3

TW Pepper's picture

calc 1 is usually a prereq

IB
 
Points)
 on 4/14/11 at 3:41pm

calc 1 is usually a prereq for la

Notepad's picture

euroazn wrote: TW Pepper

(Baboon, 120
 
Points)
 on 4/14/11 at 3:49pm
euroazn:
TW Pepper:

He wants msf not mfe.

Notepad was perhaps alluding to Sloan?

Hmmm yeah to be fair I'm thinking more M. fin / Msc. Maybe you should just disregard my advice and relax =)

Sorry if I've confused anyone.

euroazn's picture

It's ok Notepad, still useful

HF
 
Points)
 on 4/14/11 at 3:57pm
Higheck123's picture

Thank you for all the posts &

 
Points)
 on 4/14/11 at 4:54pm
euroazn's picture

I say Calc 2. I you really

HF
 
Points)
 on 4/14/11 at 5:09pm
TW Pepper's picture

try to take calc 2 and la in

IB
 
Points)
 on 4/14/11 at 8:44pm
southernstunna's picture

linear algebra is

O
(Baboon, 126
 
Points)
 on 4/15/11 at 3:05pm
manbearpig's picture

southernstunna wrote: linear

CO
(Neanderthal, 3,029
 
Points)
 on 4/15/11 at 3:40pm

-MBP

Dr Joe's picture

I agree that Calc 2 would be

O
 
Points)
 on 4/15/11 at 4:01pm
Higheck123's picture

Dr Joe wrote: I agree that

 
Points)
 on 4/15/11 at 4:30pm
Dr Joe's picture

If you have the time, then

O
 
Points)
 on 4/15/11 at 4:52pm

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