Is Brushing Up on Analysis Enough for a Graduate Course in Mathematical Finance?

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Discussion Overview

The discussion revolves around the preparation needed for a graduate course in Mathematical Finance, specifically focusing on the mathematical foundations required, including Analysis, Statistics, and Probability. Participants explore various resources and strategies for studying these topics.

Discussion Character

  • Exploratory
  • Technical explanation
  • Debate/contested
  • Homework-related

Main Points Raised

  • Eduardo expresses a need to refresh his mathematics knowledge, particularly in Analysis, before starting his graduate course.
  • Some participants inquire about Eduardo's prior exposure to analysis and integration theory.
  • One participant suggests that Bourbaki's books may not be the best choice and recommends finding a good analysis book instead.
  • Eduardo outlines a study plan that includes Lang's Basic Mathematics, Victor Bryant's Yet Another Introduction to Analysis, and Tom Apostol's Calculus books, while seeking opinions on Rudin's book and additional resources for Probability.
  • Another participant emphasizes that while brushing up on foundational topics is beneficial, the focus should primarily be on Analysis for the course.

Areas of Agreement / Disagreement

Participants generally agree that a strong understanding of Analysis is essential for the graduate course, but there are differing opinions on the necessity and relevance of other mathematical topics such as algebra, topology, and set theory.

Contextual Notes

Some participants mention the importance of foundational knowledge in statistics and probability, indicating that while these areas are relevant, the specific requirements for the course may vary.

Who May Find This Useful

Students preparing for graduate studies in Mathematical Finance or related fields who seek guidance on mathematical prerequisites and study resources.

esahione
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Hello Everyone!

I'm going to start a Graduate course in Mathematical Finance next year, and I need some brushing up on my mathematics. I've done the basics: Calculus and Linear Algebra. But where I'm going to, the least I'm going to need is to really know my Analysis. I'm an economics undergrad at the moment.

I was thinking of grabbing the Bourbaki books. At least Set Theory, Algebra I and II, Integration and Topology.

But maybe that's not the best way, so I came here to ask you guys. I was planning to study 3h a day (I have the time to do it at work).

What do you guys think?


Eduardo.
 
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Have you already been exposed to analysis and integration theory?
 
Bourbaki is not the way to go for so many reasons.

Just grab a good analysis book. Ask if you need suggestions.
 
Well, I haven't done analysis yet. But I need not only to learn analysis, but to also to work on my foundations. The place I'm going to study at is IMPA (Brazilian Institute of Pure and Applied Mathematics). They expect me to know my math really, really well. That includes my statistics and probability.

Any other suggestions?

Here's what I'm going to do over this week:

a) Go through Lang's Basic Mathematics
b) Go through Victor Bryant's Yet Another Introduction to Analysis

Then I'll go through Tom Apostol's Calculus books. After that I don't really know what to do.

What do you guys think about Rudin's book? And which book should I study next, to brush up on my probability? I have studied statistics, econometrics and probability already, but I want to go slightly deeper.Eduardo.
 
Last edited:
If you want to brush up on foundations, go ahead. But a math finance course will require knowledge of analysis. That's it. Any knowledge of algebra, topology, set theory, etc. is not used in any way.
 

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