Math background for financial engineering

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Discussion Overview

The discussion centers around the mathematical background necessary for pursuing a career in financial engineering. Participants explore the adequacy of their current qualifications and the potential need for further study in mathematics and related fields to meet the demands of financial mathematics programs.

Discussion Character

  • Exploratory
  • Debate/contested
  • Technical explanation

Main Points Raised

  • One participant outlines their academic background, expressing concern that their math skills may not be sufficient for financial mathematics and considering a master's in applied math to strengthen their profile.
  • Another participant provides a list of typical admission requirements for financial engineering programs, emphasizing the importance of probability, statistics, and computer programming skills.
  • A participant notes that while they meet the requirements for a specific program, they are uncertain about their competitiveness for more quantitative programs, such as those at NYU.
  • Some participants express skepticism about the term "financial engineering," suggesting it may imply unethical practices, while others clarify that it encompasses various disciplines like mathematical finance and econophysics.
  • There is a suggestion that even if basic prerequisites are met, additional study in advanced calculus and partial differential equations could be beneficial for success in financial engineering courses.

Areas of Agreement / Disagreement

Participants generally agree on the importance of a strong mathematical foundation for financial engineering, but there is no consensus on the adequacy of individual backgrounds or the necessity of further study. Some express skepticism about the field itself, while others focus on the academic requirements.

Contextual Notes

Some participants mention specific courses and skills that may enhance a candidate's profile, but there is no agreement on a definitive path or set of requirements that guarantees success in financial engineering programs.

strugglinginmat
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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 doing 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 doing 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.
thanks
 
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Here are the http://interpro-academics.engin.umich.edu/fep/prospective_students/admissons.htm :
  • 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
 
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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
 
"Financial Engineering"??

Sounds like a euphamism for cooking the books...:rolleyes:
 
DaveC426913 said:
"Financial Engineering"??

Sounds like a euphamism for cooking the books...:rolleyes:
That's what I thought when I first heard the term as well. :-p 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.
 
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