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

[esahione]

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.

 

[morphism]

Have you already been exposed to analysis and integration theory?

 

[quasar987]

Bourbaki is not the way to go for so many reasons.

Just grab a good analysis book. Ask if you need suggestions.

 

[esahione]

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.

 

[zhentil]

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.