Serving the Quantitative Finance Community

 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

How much does a math degree help in Finance?

March 30th, 2018, 6:06 pm

I am currently studying mathematics and Statistics,plus a degree in Banking and finance. I want to know how much value is placed on knowledge of topics in Optimization/linear and non linear programming for constrained and unconstrained minimization problems, stochastic dynamic programming? Graph theory and networks design, applied probability, numerical analysis, statistical modeling, operational research, number theory, stochastic dynamics? How useful are these, or how valued are they in finance? Basically, how valuable is math to finance?
 
User avatar
bearish
Posts: 5188
Joined: February 3rd, 2011, 2:19 pm

Re: How much does a math degree help in Finance?

March 31st, 2018, 2:10 am

Math is as valuable to finance as English (substitute your favorite language) is to history. The problem with trying to answer a question like this is that both "math" and "finance" cover an awful lot of ground. I can think of no area of finance that doesn't at least rely on basic arithmetic, but large swaths of investment banking and corporate finance pretty much stop right there. I am not saying these areas are not difficult, merely that the math component is not the challenging one (as long as you possess basic numeracy). Number theory rarely shows up, although it has been utilized in the creation of low-discrepancy sequences for efficient Monte Carlo simulation. Riemann's zeta function makes a brief, but very useful, appearance in the valuation of discretely monitored barrier options (or continuously monitored barrier options modeled via a discretized process). Those of us involved in option pricing apply probability theory and stochastic processes a lot, and occasionally (stochastic) dynamic programming. Investment managers tend to lean heavily on statistical modeling and optimization (usually constrained). I gave a talk this week that involved linear programming, but that is not actually all that commonly applied in finance, AFAIK. There is anecdotal evidence that we should pay attention to numerical analysis, but most of us don't. Most of these observations relate to the practice of finance. If you have an interest in pursuing an academic finance career, there are many more areas of math that may by mined for publishable ideas. 
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 3:36 pm

I am currently studying mathematics and Statistics,plus a degree in Banking and finance. I want to know how much value is placed on knowledge of topics in Optimization/linear and non linear programming for constrained and unconstrained minimization problems, stochastic dynamic programming? Graph theory and networks design, applied probability, numerical analysis, statistical modeling, operational research, number theory, stochastic dynamics? How useful are these, or how valued are they in finance? Basically, how valuable is math to finance?
What about the other hard topics in mathematics? The above list feels like applications of mathematics.  The goal of learning mathematics is insight.

Nothing wrong with the topics. But they are more at home in CS+Statistics degrees. For more mathematical depth (if that is what you want) you might be short-changed.

There is anecdotal evidence that we should pay attention to numerical analysis, but most of us don't.
Another anecdote: many quants use it every day with knowing or even admitting it.
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 3:59 pm

You mean topics in pure math? What topics to be exact do you mean? 
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 4:21 pm

You mean topics in pure math? What topics to be exact do you mean? 
 A more rounded approach IMO. An example

https://www.maths.tcd.ie/undergraduate/ ... /index.php

// 'Pure' is a bit artificial
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 4:35 pm

These are a mixture of pure and applied math, I cover all of these, albeit in more depth. https://www.maths.cam.ac.uk/undergrad/course but in order to practice finance, what topics are best to focus on and perfect?
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 5:51 pm

My 2 cents

Real and Functional Analysis
Mathematical Physics stuff (ODE, SDE, PDE)
Numerical Analysis
C++ 
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:01 pm

I cover all these except C++, if you know any good books to learn with for beginners to professionals, I won't mind. Someone says books by Bjarne are good, but I have no idea.
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:05 pm

Then you have a good background (Cambridge).
The C++ books by Bruce Eckel are good. He does applications and not just dry syntax.
 
User avatar
ppauper
Posts: 11729
Joined: November 15th, 2001, 1:29 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:14 pm

I am currently studying mathematics and Statistics,plus a degree in Banking and finance.
These are a mixture of pure and applied math, I cover all of these, albeit in more depth. https://www.maths.cam.ac.uk/undergrad/course but in order to practice finance, what topics are best to focus on and perfect?
what does that mean, it can be read in at least 2 different ways
(a) you already have a degree in banking and finance and are now studying mathematics and statistics at cambridge
or
(b) you are currently studying for a degree in banking and finance as well as currently studying mathematics and statistics at cambridge
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:23 pm

Then you have a good background (Cambridge).
The C++ books by Bruce Eckel are good. He does applications and not just dry syntax.

Here you can see the list of C++ topics
https://www.quantnet.com/courses/

If you plan to go to the States several universities require C++ as prerequisite.
Last edited by Cuchulainn on April 1st, 2018, 6:25 pm, edited 1 time in total.
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:25 pm

I am currently studying mathematics and Statistics,plus a degree in Banking and finance.
These are a mixture of pure and applied math, I cover all of these, albeit in more depth. https://www.maths.cam.ac.uk/undergrad/course but in order to practice finance, what topics are best to focus on and perfect?
what does that mean, it can be read in at least 2 different ways
(a) you already have a degree in banking and finance and are now studying mathematics and statistics at cambridge
or
(b) you are currently studying for a degree in banking and finance as well as currently studying mathematics and statistics at cambridge
I am studying both simultaneously.
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:39 pm

Then you have a good background (Cambridge).
The C++ books by Bruce Eckel are good. He does applications and not just dry syntax.

Here you can see the list of C++ topics
https://www.quantnet.com/courses/

If you plan to go to the States several universities require C++ as prerequisite.
The link looks good, but is it something I can learn on my own? $1450 is a lot to cough out. Several universities require c++? Why?
 
User avatar
Cuchulainn
Posts: 20254
Joined: July 16th, 2004, 7:38 am
Location: 20, 000

Re: How much does a math degree help in Finance?

April 1st, 2018, 6:56 pm

C++ is still important and I suppose if you can master it then you can learn any language.
 
goldpill17
Topic Author
Posts: 8
Joined: March 30th, 2018, 5:49 pm

Re: How much does a math degree help in Finance?

April 1st, 2018, 7:02 pm

What do you think of the books listed on here?
https://www.quora.com/What-are-the-best-C++-books