Background

The MSMF core courses require good command of the following topics:

  • Functions and inverse functions
  • Limits, derivatives, partial derivatives, and chain rule
  • Integrals and multiple integrals, changing the order of integration
  • Taylor series approximations
  • Lagrange multiplier method
  • Vector and matrix arithmetic, determinants
  • Eigenvalues and eigenvectors, singular value decomposition
  • Random variables, expectations and conditional expectations.

At this time, we do not offer preparatory classes for MSMF. If you need a refresher course, we recommend you audit one of the available online classes before starting the program.

Alternatively, "A Primer for the Mathematics of Financial Engineering" provides a good review of central concepts in Calculus and Probability Theory. The most relevant sections are 1.1-1.6 (Calculus Review), 2.1-2.4 (Numerical Integration), 3.1-3.4 (Probability Concepts), 4.1-4.3 (Lognormal variables), 6.1-6.3 (Taylor Series), 8.1-8.4 (Multivariable Calculus), 9.1 (Lagrange Multipliers).

Knowledge of basic finance is helpful, but not required.

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