Pure vs. Applied Mathematics

futureoptions · May 18th, 2012, 12:04 pm

For a newbie (or even an experienced) quant, would Pure mathematics be more relevant and useful, or would Applied mathematics be the one?

acastaldo · May 18th, 2012, 12:26 pm

Maths courses that quants take, such as Partial Differential Equations, Ito calculus, Stochastic Processes are generally considered part of Applied Mathematics.

futureoptions · May 18th, 2012, 12:48 pm

Thanks acastaldo - I know there is never a single biblical book on any subject, and the trick is to refer to many books & papers, but do you have any all-time favorite applied math books that you can recommend?

Cuchulainn · May 18th, 2012, 1:55 pm

Taxonomy of Mathematics ExamplesQuote7.3 Numerical Analysis 7.3.1 Computer Arithmetic 7.3.2 Solutions of Equations 7.3.3 Solutions of Systems 7.3.4 Interpolation 7.3.5 Numerical Differentiation 7.3.6 Numerical Integration 7.3.7 Numerical Solutions of ODEs 7.3.8 Numerical Solutions of PDEs Quote8.2 Partial Differential Equations 8.2.1 First Order 8.2.2 Elliptic 8.2.3 Parabolic 8.2.4 Hyperbolic 8.2.5 Integral Transforms 8.2.6 Integral Equations 8.2.7 Potential Theory 8.2.8 Nonlinear Equations 8.2.9 Symmetries and Integrability

DalekSec · June 14th, 2012, 9:13 am

This book by Mary Boas is extremely popular with physicists:Mathematical Methods in the Physical SciencesIt's an undergrad book, but quite a few PhD physicists (including me) check it regularly. I don't think it has any stochastic calculus, which is an obvious problem for quant education.For Ito/Stratonovich calculus, I like these:Oksendal's book is a common standardSteele's book is full of pure math and gambler's intuition Chirikjian's book focuses on multivariable problems

Culverin · June 16th, 2012, 9:46 pm

I would say applied-applied-math is more relevant. Quant don't invent new ideas but just apply the simple models to the real world.If you are a pure math guy, I guess you need to know certain software to give you numbers.