I'm an undergraduate econ major, and my main focus is in actuarial sciences, which as you may or may not know it's pretty mathematical. Some of the topics I will have to learn at some point on my own is stochastic calculus, stochastic differential equations, and the monte carlo method. So in my own experience I have taken probability theory, a full calculus sequence (all of Thomas' Calculus book), and linear algebra. With these classes alone will that be enough to learn the previously listed topics? If not, what else should I learn?
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1I think it would be a good idea to add the topics names in the title to get a wider response. – Learner Apr 13 '13 at 13:21
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@Learner I thought about it but I didn't want to make too long of a title. Perhaps I will add one of them in there. – TheHopefulActuary Apr 13 '13 at 17:05
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Learn $\ {\bf{\tt C++}}\ $ and practice yourself some little problems at the beginning. – Felix Marin Sep 08 '13 at 23:48
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You could go on to learn
- Real Analysis
- Measure Theory
- Functional Analysis
Plus any advanced courses on Probability theory, stochastic processes or statistics would not harm.
Learner
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1I'd like to learn more about the topics you posted but I can't for a long time because I need to focus on financial mathematics, and attaining credentials and certifications. Do you think that given my current experience I'd be successful in learning those topics I listed? Or am I missing prerequisites? – TheHopefulActuary Apr 13 '13 at 17:14
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1@Kyle it would be very useful to understand measure theory and functional analysis before studying stochastic PDEs – obataku Sep 08 '13 at 23:20
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@oldrinb Isn't measure theory more important because measure theory is needed at the very start of probability theory? – Nov 28 '15 at 02:24