Master reading list for Quants, MFE (Financial Engineering) students

Too much (detailed) mathematics for MFE. Usually MFE only covers Shreve-level or similar, Brownian Motion and Stochastic Calculus by Karatzas & Shreve goes way beyond that, so I wouldn't recommend if you're only interested in MFE.
 
I am wondering what areas of the master reading list I should self-study in addition to my coursework for my MS in math. My end goal is to have a competitive application for top 10 MFE programs.

Right now, I am taking (graduate level of course): Advanced Linear Algebra, Mathematical Statistics, Partial Differential equations, and Topology

Next semester, I will take Optimization, Advanced Numerical Analysis, Real Analysis, and Mathematical Statistics II.

Now for self study, I can do any of the following options:

1. Pick an area of math that I am lacking, and study that - stochastic processes, stochastic calculus, or time series

2. Learn more about finance in general. I could read Hull's book for instance, or any of the overview style books of mathematical finance.

3. Work on getting a tangible certification, such as CFA level 1

4. Although I am fairly proficient in programming in C++, Java, and Python, I could always learn more or work on a coding project (Make sure I know how to code up monte carlo simulations and other financial applications)

Thoughts?
 
I've heard that R is becoming very popular for prototyping. I have some base knowledge in R and have used it for more general data analysis, but I would love some recommendations for books in regards to using R for quantitative finance. (I know the intro to R for quant. finance book by PACKT publishing, but was wondering if there were any more). Thanks guys.
 
Kevin Ramlal said:
I've heard that R is becoming very popular for prototyping. I have some base knowledge in R and have used it for more general data analysis, but I would love some recommendations for books in regards to using R for quantitative finance. (I know the intro to R for quant. finance book by PACKT publishing, but was wondering if there were any more). Thanks guys.
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This is the book that we used / were recommended at CMU.

http://www.amazon.com/Statistics-Analysis-Financial-Engineering-Springer/dp/1461427495
 
Hi Guys,

I am joining an MSFE program this fall.
It's been 2 years since my undergrad and I need a brush up on Multivariate calculus and Linear Algebra before I begin.
Can anyone suggest some books for that..
Any help would be appreciated.
 
This question might have been asked before but: for the listed Quant Interview books, are they good for studying for MFE interviews as well? If not, is there any books you would recommend? Thanks!
 
Yes those books cover basic finance topics that you can use to prep for MFE interviews. Topics such as options, Black Scholes, etc. And the math brainteasers are pretty standard everywhere.
 
That book is very old and many MBA students use it. There are more current books on that list by Wilmott, Joshi, Stefanica, etc that are more technical and useful for MFE audience.
 

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