A bit of help pls!

[Poirot]

Hello Ladies n Gents,

I wonder if I may ask a few questions about the MFE program.

I currently work as a desk programmer in the fixed income trading division of a tier-1 ibank.
It's a software developer role but it provides heavy interaction with the traders and quants.

I have a B.S degree in Computer Science from Rutgers University. 6 years of work experience (all of them on wall street). I am terribly interested in learning finance and have extensive programming experience in Java (I am sure I will pick up c++ in a hurry).

What concerns me is this, I have only taken differential, integral calculus and Linear algebra.
The undergrad curriculum didn't expose me to Multi variable Calculus, PDE nor any calculus-based statistics and probablity classes.

So, do you think my math skills are too lightweight to do well in the program?
Or do you think I would be okay if I were admitted and took the refresher courses?

Cheers,
Vic

 

[Yan He]

I think you can well prepare yourself by taking the refresher courses, since the refreshers are designed for the in-depth study.

 

[Poirot]

Thx for your response Yan.

Is there a way to get a list topics that are covered in the "Advanced Calculus" and the "Probability" refresher course?
This way I can plan to independently study the topics that won't be covered.

Cheers,
Vic

 

[Andy Nguyen]

The syllabi for those refresher courses keep changing every summer (more advanced topics added) as the level of preparedness of new students increases.
Prof. Stefanica will publish a book in March that been used in Linear Alg and Calculus refreshers. That's the best book you can get to prepare (at least for our program).
You can take a calculus-based probability course. Stochastic calculus in the program is a tough one.
Take a look at this and get the books in advance if you want to self study Required books for Fall 2007 - QuantNetwork - Financial Engineering Forum

 

[Poirot]

"Prof. Stefanica will publish a book in March that been used in Linear Alg and Calculus refreshers. That's the best book you can get to prepare (at least for our program).[SIZE=-1]"

That sounds excellent. I will make sure to buy a copy.

Thank you guys for responding.
[/SIZE]Once I acquire the knowledge, I intend to help out others just as you guys do so diligently and cheerfully on this board.

Cheers,
Vic

 

[Vadim]

That is really good book for financial engineers. I wish to have this book before I entered the program. Though, it will be very useful not only for perspective students, but also for everybody who study applications of math models in finance.