Masters in Financial Mathematics: Is it Right for Me?

[ktheo]

Hi guys,

I'm an undergraduate in a mathematics & economics double major right now. I have struggled pretty hard with math in the past (even failed many times) but I have pretty much developed the resolve to see it through because I enjoy it and I think the challenge is actually quite defining. I'll actually be graduating after this year, and my plan is to apply for the masters in financial mathematics (MMF) at the University of Toronto and a couple other schools.

The kicker is that I have never done any strictly financial mathematics. I know it seems weird to want to apply to do a whole masters on the subject, but I am moderately proficient as a self-trader (was able to make very large contributions to my school costs) and I am very interested in finance so I figured with my skillset, it was the best route. I also like applied math very much over pure.

I'm taking my first "mathematical economics" class right now, and I hate it. I loathe it. We are essentially re-doing all of set theory with binary relations, which when I took in algebraic group theory, almost drove me right out of mathematics... if this guy starts talking about homomorphisms and rings I might actually jump out the window to avoid having to go through it again. I was just wondering: is financial math similar to economic math? I was under the impression that financial maths was largely set in probability, stochastic calculus, regression/sampling, and things like Markov chains, which I have extensive exposure in and like.

 

[MarneMath]

Yes and no. Mathematical economics and financial mathematics are such broad and overarching terms that it's hard to say that one will follow path A and the other will follow path B and the intersection will only occur here and here. Mathematical economics can be as diverse as using game theory and general equilibrium theory which has found application for topology and functional analysis. You can also end up doing econometrics which has a more statistical feel. Furthermore, it may also just mean an economist who translates economic theories into a mathematical framework or model.

Financial mathematics has a lot of stochastic calculus. It also tends to have partial differential equations, stochastic differential equations, numerical analysis, asymptotic analysis. It really depends on how you choose to approach financial mathematics. You can look at it as a mathematician and look at techniques and theories and determine when the solutions are valid and what conditions must hold. You can also approach this field from a more financial view point and consider arbitrage, option time values, and myriad of other pricing theories and thus build models reflecting those theories.