Various Questions

[Boris]

I am a student of mathematics at a second tier public university. I have a 3.7 gpa - it would be higher but I have taken a variety of graduate math courses in analysis, algebra, and topology (I will take an advanced probability course next semester). I am very good at problem solving but I am not really sure if I want to pursue a phd in math. I am thinking of possibly applying to good MFE programs. You can assume I will get an 800 on quant score on GRE. I will also have a high score on the math GRE (I will still apply to some phd math programs so I am taking it anyways). I do not have much programming experience outside of some basic java courses, but my parents are both software engineers so learning C++ under their guidance will not be hard. I have not actually taken any finance or economics courses however...

What is the chance of me getting into a top program like Columbias MSFE? (what are other top programs) What can I do to increase my chances? Do these MSFE programs value math above anything else when looking at applications? I know courses in very abstract math like algebra or topology have almost no applications in FE but they still train you to think.

 

[Tom Maloney]

You probably have a good chance. It's anyone's guess, really. Besides doing well in math, you'll need a good essay and recommendations. How close are you to graduating? If you have time left, take C++ and stochastic processes. Check out the books listed here http://www.quantnet.com/master-reading-list-for-quants/

 

[Devdeep]

I am a student of mathematics at a second tier public university. I have a 3.7 gpa - it would be higher but I have taken a variety of graduate math courses in analysis, algebra, and topology (I will take an advanced probability course next semester). I am very good at problem solving but I am not really sure if I want to pursue a phd in math. I am thinking of possibly applying to good MFE programs. You can assume I will get an 800 on quant score on GRE. I will also have a high score on the math GRE (I will still apply to some phd math programs so I am taking it anyways). I do not have much programming experience outside of some basic java courses, but my parents are both software engineers so learning C++ under their guidance will not be hard. I have not actually taken any finance or economics courses however...

What is the chance of me getting into a top program like Columbias MSFE? (what are other top programs) What can I do to increase my chances? Do these MSFE programs value math above anything else when looking at applications? I know courses in very abstract math like algebra or topology have almost no applications in FE but they still train you to think.

I second @Tom Maloney...

There are there 2-3 most important aspects, I think:

1) Solid Math background (which you should already have)

2) Decent -> Solid C++ background (get on it... now!!!) [Some Matlab will also help]

3) Genuine interest toward Finance (you can take relevant courses, read up relevant materials, get up to the speed on financial news, etc.)

GRE Q 800 is probably given... and hence would not help much... <790 will be bad... but 800 is normal... so I would not keep too much emphasis on that...

There are many good programs... you can look up rankings etc... and read the reviews here on quantnet...

Good Luck!
D.

 

[Boris]

I have 2 years left before I graduate (I'm pretty far ahead) but my schools finance or computer science classes will bore me so I'll have to learn it on my own. What books should I buy to get started in finance?

 

[Devdeep]

I have 2 years left before I graduate (I'm pretty far ahead) but my schools finance or computer science classes will bore me so I'll have to learn it on my own. What books should I buy to get started in finance?

http://www.quantnet.com/forum/threa...uants-mfe-financial-engineering-students.535/

 

[Boris]

Ive seen that list but it's kind of long... What's a good starting point?

 

[bigbadwolf]

Ive seen that list but it's kind of long... What's a good starting point?

1) Financial Engineering and Computation. Lyuu. Cambridge
2) Paul Wilmott Introduces Quantitative Finance. Wilmott. Wiley

 

[Boris]

Thanks. What do you think of Hull's book on option pricing and derivatives?

 

[bigbadwolf]

Thanks. What do you think of Hull's book on option pricing and derivatives?

The "industry standard." I have the 6th edition on my shelf but the 8th edition is the current incarnation. I personally prefer McDonald's "Derivative Markets," of which I have the 2nd edition (don't know what the current incarnation is). But perhaps it's because I find his style more congenial rather than any great difference in content.

Before I forget, don't fail to pick up a copy of Stefanica's "A Primer for the Mathematics of Financial Engineering" (2nd edition). Both Hull and McDonald don't require much of a math background ( a course or two in calculus should do the trick) and so can be used in MBA courses. Same can't be said of Stefanica's book, which is mathematically more sophisticated and designed for prospective quants who have some exposure to differential equations. Also his pseudocode can be used as C/C++ programming exercises. It's not expensive as books go these days and it is of enduring worth. Note, though, that you still need one of either Hull or McDonald: Stefanica's book is a math book that applies the math to finance; Hull and McDonald are derivatives books that use math as an essential tool. So Stefanica is not interchangeable with Hull/McDonald.

 

[Tsotne]

Yeah McDonalds book is the one I like too. It has some VBA introductory codes in appendix but it's worth nothing. I think that the best way to dig into derivatives mathematically is to learn that stochastic math(needed) separately and then go through the derivatives theories in a more financial side. McDonalds fits the bill in this case.

 

[bigbadwolf]

Yeah McDonalds book is the one I like too. It has some VBA introductory codes in appendix but it's worth nothing.

It's not much but the 20 pages he devotes to Excel and VBA include the rudiments of creating functions and subroutines.

I'm submitting each additional post on this thread with increasing reluctance because there are many excellent books on the market and it's easy to get carried away and buy everything. But with regard to VBA coding I should mention the 3rd edition of Benninga's excellent "Financial Modeling." He devotes six chapters -- a bit over 200 pages -- just to VBA coding. The 1100+ pages of the book also cover portfolio models, derivatives, bonds, and Monte Carlo methods (which are implemented in an Excel setting).

Postscript: There may be a later edition of Benninga but the 3rd is the one I have.

 

[Tsotne]

It's not much but the 20 pages he devotes to Excel and VBA include the rudiments of creating functions and subroutines.

That's why I said it was not even worth writing. As for contents themselves, McDonald describes many option types but the pricing methods are not discussed for many important ones. Black-Sholes world is greatly explained. From ch13 to ch26 there are especially interesting math. For comparison, I still think that from mathematical point of view, McDonald's book is better than Hull since it provides more math and less verbal explanations. In contrast, Hull provides very good explanations of topics bu less math than McDonald.