Hey, folks I'm about to register for the Fall semester soon and am here to ask for your valuable input. The candidate courses I'm think of are: Advanced Numerical Analysis, Probability Theory and Stochastic Analysis. My background: I had a master in Computer Science and am currently in my second master studying Applied Mathematics. The goal is, well, apparently, to find a quant job. Since stochastic analysis is essential to quant work and I can only take two courses in total, I'm trying hard to decide the second one to take from: Advanced Numerical Analysis and Probability Theory. I took one Advanced Numerical course last semester and should I keep taking this Advanced course? Or does the Probability Theory sound more relevant? What would you say? Course descriptions: MATH Advanced Numerical Analysis INumerical solution of nonlinear equations in one and several variables, numerical methods for constrained and unconstrained optimization, numerical solution of linear systems, numerical methods for computing eigenvalues and eigenvectors, numerical solution of linear least squares problems, computer applications for applied problems. STAT Probability Theory IMeasurable spaces and measures, Lebesgue-Stieljes measure, independence, almost sure and in probability convergence, integration in probability spaces, product measures, absolute continuity of measures, weak law of large numbers, strong law of large numbers, weak convergence. MATH Stochastic AnalysisConditional expectation, Brownian motion, semimartingales, stochastic calculus, stochastic differential equations, stochastic control, stochastic filtering.

i would have thought that Probabiity theory 1 would be a prerequisitie for stochastic calculus. Whether it is or not, you'll find it hard to survive stochastic calculus without it.

Thanks for your opinions, mj. Actually I did talk to the stochastic professor and the first question he asked me was whether I had previous knowledge in measure theory. I did not. He paused for a few seconds and said it should be fine if I’m mathematically mature enough. Well, I assume I am and am planning to take the course. However I did realize that this advanced probability course (yes, it’s an advanced one and includes quite some measure theory) would be very beneficial to the stochastic analysis course.But what about the Advanced Numerical Analysis course? I will be more programming oriented in the future job market ( since I’m master level). Would it more relevant to invest more time on numerical stuff instead of something else?

i think you'll find it a lot easier to pick up numerical stuff on the job, most of the stuff in that course you would just grab a routine from somewhere and use it in any case. I am not knocking the course in absolute terms, but relative to probability theory i'd say it was a lot less useful for getting a job (and somewhat less useful for doing one.)

I'd skip stochastic calculus. You can't make money by knowing it. Stick to probability and differential equations...

OK, I see the importance of probability. But I'm getting a little bit confused by N. Aren't people here talking about stochastic calculus all the time? Why would you say that it's not essential?

Stochastic calculus is only essential for a business school degree. It absolutely does not provide any value to quantitative finance (mainly because the math is flawed).People talk about stochastic calculus because of homework for school - but *no one* makes money using it! It only applies to 'translational group' dynamics which means processes with maximum increasing entropy or in other words - purely dissipative systems. Theory of differential equations is essential as well as probability theory (approximations of PDEs).

Stochastic Calculus is essential.

You really dont need stochastic calculus that much. But if you dont learn it in school then you are never ever going to learn it. The thing is that those who actually do use stochastic calculus are usually the hardcore quants with physics or engineering backgrounds. They have used this math as a tool in their previous life. Those who have formally studied stochastic calculus (e.g. in a financial engineering program) rarely if ever have to apply it. And if they do then they tend not to be very good at it.So, if you do decide to take the course, dont expect to be ever using it in real life. It will give you a better understanding of some things, it may make you smarter because it is actually difficult. But you dont get any real life skills from it.

QuoteOriginally posted by: Gmike2000You really dont need stochastic calculus that much. But if you dont learn it in school then you are never ever going to learn it. The thing is that those who actually do use stochastic calculus are usually the hardcore quants with physics or engineering backgrounds. They have used this math as a tool in their previous life. Those who have formally studied stochastic calculus (e.g. in a financial engineering program) rarely if ever have to apply it. And if they do then they tend not to be very good at it.So, if you do decide to take the course, dont expect to be ever using it in real life. It will give you a better understanding of some things, it may make you smarter because it is actually difficult. But you dont get any real life skills from it.I agree with Gmike2000. Hundred percent. My scratch note on this topic is as follows... DO not join a BSchool where they are not going to teach you MATHEMATICAL Finance. You might end up as a broker. cheers

QuoteOriginally posted by: frontofficequantStochastic Calculus is essential.Essential for what? Does it provide a better model than the usual solution to the Black Scholes equation? It simply does not.It's important to learn probability theory, but it's best to stay away from stochastic calculus since it's just 'junk' math. Knowing it will *never* make you a dime! (I love to see someone try to prove me wrong).Does anyone actually believe that successful quant hedge funds use algorithms/technology based on stochastic calculus? If you do, I have a bridge over the East River you may be interested in...N

QuoteOriginally posted by: commonwealHey, folks I'm about to register for the Fall semester soon and am here to ask for your valuable input. The candidate courses I'm think of are: Advanced Numerical Analysis, Probability Theory and Stochastic Analysis. My background: I had a master in Computer Science and am currently in my second master studying Applied Mathematics. .If the advanced numerical analysis course gets you in front of a computer writing algorithms, that sounds more generally useful for looking for work (not just QF work). The main thing that you'll learn in a numerical analysis course in which you are required to write code is how to write and debug numerical code, and that is very useful in real life. The other thing that you'll learn is all of the subtle ways seemingly correct numerical code will blow up on you.On the other hand, if you've think you'll already had enough of that from earlier work in your degree, the probability theory might be useful since it gives you exposure to something new and different. My personal experience was that it was harder to "pick up" probability theory than SDE's since SDE's are something like mutated PDE's whereas probability theory was something totally new and different.