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

NotepadPretty 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)

euroaznHey 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.

euroaznHey 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.

TW PepperAt 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.

TW PepperHe wants msf not mfe.

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

And then there's manifolds :3

southernstunnalinear algebra is ridiculously easy. You could teach it to yourself if you had to (serious). I'd go with Cal 2 if I were you.

yeah cuz calc 2 is really difficult =|