Courses suggestions for a finance-wannabe?

[wj2cho]

Hello all,

I am an applied math/physics major who wishes to land on a finance-related jobs (including insurance) with a bachelor's degree. The coursework includes ODEs, PDEs, Calculus of Variations, Numerical Analysis, etc., with three faculty elective courses. Here is a list of courses that I might take and I was wondering if you could help me to narrow it down. I also plan on studying for 2 or 3 preliminary actuary exams during summer breaks.

• CS 234 Data Types and Structures [Python]
  Top-down design of data structures. Using representation-independent data types. Introduction to commonly used data types, including lists, sets, mappings, and trees. Selection of data representation.
  
• CS 246 Object-Oriented Software Development [C++]
  Introduction to object-oriented programming and to tools and techniques for software development. Designing, coding, debugging, testing, and documenting medium-sized programs: reading specifications and designing software to implement them; selecting appropriate data structures and control structures; writing reusable code; reusing existing code; basic performance issues; debuggers; test suites
  
• CS 476 Numeric Computation for Financial Modeling [Matlab]
  The interaction of financial models, numerical methods, and computing environments. Basic computational aspects of option pricing and hedging. Numerical methods for stochastic differential equations, strong and weak convergence. Generating correlated random numbers. Time-stepping methods. Finite difference methods for the Black-Scholes equation. Discretization, stability, convergence. Methods for portfolio optimization, effect of data errors on portfolio weights.
  
• ACTSC 231 Mathematics of Finance
  The theory of rates of interest and discount including the theoretical continuous case of forces of interest and discount. Annuities and sinking funds, including the continuous case. Practical and theoretical applications primarily to mortgages and bonds. Yield rates.
  
• ACTSC 371 Corporate Finance 1
  Time value of money. Introduction to corporate finance in a mathematical setting. Description and valuation of financial instruments, including stocks, swaps and options. Real options. Investment decisions. Capital budgeting and depreciation.
  
• ACTSC 372 Corporate Finance 2
  Investment decision using Markowitz and utility theory. Capital Asset Pricing Model. Arbitrage Pricing Theory. Market efficiency. Capital structure and dividend policy. Advanced topics.
  
• STAT 333 Applied Probability
  Review of basic probability. Generating functions. Theory of recurrent events. Markov chains, Markov processes, and their applications.
  
• STAT 433 Stochastic Processes
  Point processes. Renewal theory. Stationary processes. Selected topics.

I will be able to choose any combination of three from the list above, except for STAT 433 which must include STAT 333. Is there an ideal combination that complements particularly well with my major?

Thanks

 

[pasmith]

It depends what you're looking to do in finance. If you want to do quantitative analysis you will probably need at least a master's degree anyway.

If you intend to take professional exams, it is worth checking whether there is any overlap between them and the ACTSC courses, in which case it is to your advantage to take those courses.

ACTSC 231 looks like it's intended for non-math majors, and you can probably skip it. It looks like most of it will be covered in 371 anyway.

ACTSC 371 is probably essential. The course titles suggest that you should only take ACTSC 372 if you are also taking ACTSC 371.

If you have any ambition to do quantitative analysis then you should certainly consider CS 476, and also CS 246 if you don't know C++ or Java. If you do know C++ or Java, take ACTSC 372 instead. But if you are not comfortable with the material in STAT 333 or STAT 433 it may be best to take those in preference to the CS courses or ACTSC 372. You should also delay taking CS 246 until you've done courses on ODEs, PDEs and numerical analysis.

 

[Locrian]

Have you looked to see which courses satisfy VEE requirements for actuarial designations? I'm having trouble accessing the SOA website right now, but a google for "SOA VEE" should get you to a list pretty quick. "CAS VEE" works, too.

I wouldn't make that top priority, but if you're considering actuarial work, knocking out VEE in the process will save you some mild irritation/suffering later on.

ACTSC 333/433 will help with some of the exams (P & MFE, maybe C), but they aren't necessary. You can teach yourself the material.

 

[wj2cho]

Is learning C++ to some extent going to help with an actuarial career? At this point I am not sure of quantitative finance, but I read somewhere that any business job for math majors requires some knowledge in C++.

http://www.toroidalsnark.net/mathcareers.html

 

[Locrian]

Actuarial work that requires knowledge of C++ is very rare. Not a bad thing to have on your resume, but very rarely used.