Required math for Computational Finance?
computational-finance, computer-science, finance, math
Solution
You want some calculus, linear algebra, probability, statistics, numerical analysis, Monte Carlo methods, partial differential equations, and stochastic calculus at a minimum. A good introduction is Paul Wilmott's Paul Wilmott Introduces Quantitative Finance. That will provides you references for the aforementioned subjects as well as drawing together the necessary ideas to have a basic understanding of quantitative finance.
Problem
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.