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A Primer for the Mathematics of Financial Engineering, A Horror Story for Quants

I've just been looking through a copy of Dan Stefanica's book, "A Primer for the Mathematics of Financial Engineering" Here

It's well written and covers much that a quant should know.

That is in fact, why I regard it as such a scary book. There are parts of the mathematics that I remember first doing when I was a teenager. I like to think I have some ability at maths, but no one ever called me a child prodigy. Stefanica runs the Baruch Masters in Financial Engineering, which is distinctly one of the better MFE programmes. And before you email me to ask, we never ever give out an ordered list of programs.

Apparently, people apply to serious MFE programs not knowing the chain rule in calculus. Obviously you'd expect a bit of background noise in applications from those who think quantitative finance is some form of extreme accountancy, or who mistake it for an MBA. But I am told that such holes exist in people who have passed numerate degrees from universities you will have heard of. This book will cover a lot of the maths you need to be clear on if you are going to survive any sort of masters degree in financial engineering, or the CQF. So the first bit of utility you gain from it, is helping you work out whether this line of work is for you. You can make your way in this line of work without being a PhD, but you cannot prosper if PDEs are forever beyond you. The maths are put in a financial context, which helps, since most people in this field are porting across from a different discipline. Being focused in financial maths, you do not use time on types of mathematics not used in QF. But of course you should not kid yourself that this book will get you all the maths you need to know. It's will help you get up to speed if time is pressing.

Aside from the calculus applied to variants on solving Black Scholes model, deriving greeks, there is a basic introduction to finite difference methods. He doesn't even try to do this in C++, which is a wise choice, else the target reader would just get lost.

At $42.50 it is cheaper than many finance books, which is nice, and makes it something of a bargain. If you're starting a finance masters this year, you ought to take a look.