Economics as a base

[jimenef]

Hi, I am an economics major in a university in Peru. My program is intensive on econometrics and we have the possibility of taking advanced optimization classes. A professor of mine who is an alumni did a specialization in financial engineering in harvard (i think it has been discontinued), and he has told me that given the underdevelopment of the financial market in Peru, it is likely that you can get by using Visual Basic for your applications. However I imagine that as the market grows perhaps the tendency will go towards C++. I have only programmed in VBA, E-views and Stata and will probably take a course in Matlab when I do optimization. Given the software and language I will know

Which language would you recommend me mastering?

I had thought of C++... I bought first C++ for dummies (its pretty good actually) and am now reading Sams guide to C++ with which I am not done yet. After having read those books which books would you recommend? also which other language or software should I master before getting into the MFE world?

 

[CGiuliano]

For MATLAB you really don't even need a book, due to the awesomeness of the help command.

For C++ I used Stroustrup, but warning: it's not for novices.
Stroustrup: Programming -- Principles and Practice Using C++

 

[jimenef]

Strange

I find it strange that Economics is not a popular undergrad specialization that leads to MFE given its quantitative natura..

Any thoughts about this?

 

[CGiuliano]

I don't know how things go in Peru, but here it seems that allot of students in economics shy away from the quant side, and focus on theory (not the math/econ double majors because there allot of them also). I have a friend who is an economics major -- my suitemate actually. He needed me to show him how to use the quadratic equation.

 

[Sanket Patel]

I find it strange that Economics is not a popular undergrad specialization that leads to MFE given its quantitative natura..

Any thoughts about this?

Economics at an undergraduate level generally doesn't tend to very quantitative. The two most quantitative Economics courses I had were Econometrics and Game Theory / Static Optimization - both of which required nothing beyond Calc I.

 

[CGiuliano]

On the flip side,

There is a pure economics major in my analysis class -- real bright kid -- who is taking a boatload of math and quant classes on his own. They do offer special tracks for people like this, i.e., a special micro-macro sequence that heavily, and sometimes unnecessarily (Slutsky's equation), applies multivariate calculus and basic probability.

So, ultimately economics can be quantitative, but there are backdoors left almost everywhere for students who don't like math.

 

[jimenef]

Your right

Yes, in Peru it is quite curious. Of the people studying economics only 5% works in that field, most of them go into finance. There is a certain resilience to being a business or finance undergrad because of the low academic difficulty of those programs. In fact people who study economics in Per are required to take a lot of Math. The career is 5 years long (like all careers in Peru) and we see some graduate level courses. It must be that Economics is differently orientated in other places.

The compulsory maths ive taken so far is:

-calculus 1,2: taylor series expansions, double and triple integrals
- algebra: eigenvalues, complex numbers, number theory
- econometrics: parametric and nonparametric, time series, panel data.
- stochastic differential equations
- Dynamic optimization methods.

Which other math field would you recommend me to put emphasis on?

 

[CGiuliano]

Which other math field would you recommend me to put emphasis on?

Someone correct me if I'm wrong. Honestly you could probably get into a good number of programs with what you've got, but if you must:

Financial Mathematics: Admissions Prerequisites - Stanford University

+ Numerical Analysis

 

[jimenef]

It seems to me that economics is a good base to enter into the investment world since you have a macro understanding of the environment. perhaps a maths major will have better applications than you but i think your intuition is also pretty valuable