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Math background for financial engineering

  1. Jul 25, 2007 #1
    I have a B.S in biochemistry and a minor in mathematics. In actuality I have taken additional courses after fulfilling the requirement for the math minor.
    The courses that I have taken are: Cal I, II, III, Linear algebra, Mathematical stats I & II, Differential Equation. I am interested in doin financial mathematics so I am takin some more math classes. I am takin graduate linear algebra and multivariate calculus. I will be takin basic probability class next semester. I have all As in my undergraduate class but was not able to pull that off for the summer classes. I feel like my math backgound is not strong enough for math finance so I am thinking of doin masters in applied math to strengthen my math, computing skills. I am havin difficulty deciding as to apply for the math finance program for next year with this profile or goin for masters in applied math. Any suggestions will be greatly appreciated.
  2. jcsd
  3. Jul 25, 2007 #2
    Here are the prerequisites for the University of Michigan's masters degree program in financial engineering:
    • Two years of college mathematics including multivariable calculus, differential equations and linear algebra
    • Two terms of calculus-based probability and statistics
    • Basic microeconomic theory/time value of money/interest
    • An introductory finance course
    • Accounting principles
    • Computer programming experience
    I would particularly emphasize probability and statistics and computer programming.

    You might also want to read Mark Joshi's essay, "On Becoming a Quant": http://www.markjoshi.com/downloads/advice.pdf
    Last edited: Jul 26, 2007
  4. Jul 26, 2007 #3
    It seems like I have all the math requirements for U of Michigan. But I want to apply to programs where they want more quantitative skills because that seems the most valued thing for this degree. For instance NYU's program is very mathematical. I am wondering if I am cut for these kinds of program. thanks
  5. Jul 26, 2007 #4


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    Gold Member

    "Financial Engineering"??

    Sounds like a euphamism for cooking the books...:rolleyes:
  6. Jul 26, 2007 #5
    That's what I thought when I first heard the term as well. :tongue: In fact, there are three different names for what is essentially the same discipline: "mathematical finance", "financial engineering", and "econophysics", depending on whether one comes from a math, engineering, or physics background.

    Getting back to the original question, even if you've already covered the basic prerequisites, you may want to pursue additional study in some of them. For example, an advanced calculus/basic analysis course may be helpful for the graduate-level probability/random processes/stochastic calculus course that you will be required to take in the financial engineering program. A junior/senior level course in partial differential equations might be useful background for the specialized PDE course offered in the financial engineering program.
    Last edited: Jul 26, 2007
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