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Required math for Computational Finance? [closed]

I don't have a strong mathematical background, but I would love to work on some computational finance problems. I got "An Introduction to Computational Finance Without Agonizing Pain " by Peter Forsyth, but it still was pretty hard for me to follow what he was saying.

What are the required maths prerequisites for this course?

I want to make sense of these kinds of papers.

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unj2 Avatar asked Jul 28 '09 02:07

unj2


1 Answers

The skills you will need for being a real quant not just an IT programmer working in a quant company:

  • Stochastic Calculus
    • Geometric Brownian Motion
    • Black-Scholes
    • Risk neutral measure
  • Measure Theory
    • Sigma algebra
    • Integrals
  • Probability
    • Expectations
  • Econmetrics
    • Time Series (ARMA(p,q), MA(p), AR(p))
  • Computational
    • Monte Carlo
    • Finite Difference Methods
like image 140
SmallChess Avatar answered Oct 29 '22 16:10

SmallChess