TestMagic

teatime · 01-14-2008, 02:13 PM

Hi, guys. I am choosing between complex analysis and stochastic caculus. Which one is better for PhD in Finance/ Financial mathematics in top schools? Any suggestion?

macroeconomicus · 01-14-2008, 05:12 PM

I think stochastic calculus will give you better benefit/cost at this stage. Stochastic calculus is used a lot in asset pricing and mathematical finance, and I assume in some other subjects in economics (macro perhaps?). Complex analysis is used a little in advanced probability to work with characteristic functions and such, and also for some things in time series, but you probably don't need to take a whole analysis course to follow. I heard you can just pick it up along the way.

shootermcgavin7 · 01-14-2008, 05:20 PM

Stochastic

teatime · 01-15-2008, 12:42 AM

Quote:

Originally Posted by macroeconomicus

I think stochastic calculus will give you better benefit/cost at this stage. Stochastic calculus is used a lot in asset pricing and mathematical finance, and I assume in some other subjects in economics (macro perhaps?). Complex analysis is used a little in advanced probability to work with characteristic functions and such, and also for some things in time series, but you probably don't need to take a whole analysis course to follow. I heard you can just pick it up along the way.

Thank you,Macroeconomicus!

teatime · 01-15-2008, 12:43 AM

Quote:

Originally Posted by shootermcgavin7

Stochastic

Can you give me details about the reason?
Thank you, too.shootermcgavin7!

shootermcgavin7 · 01-15-2008, 12:58 AM

Because you sound like you're more leaning toward the quant-heavy finance areas. Theoretical asset pricing/risk management/etc (the very quant-heavy areas) lean HEAVILY on stochastic methods.

Hell, even the technical master's courses in these arenas use some type of applied stochastic calc, although they often don't tell the students that they're using it.

chartreuse · 01-16-2008, 04:11 AM

stochastic is useful in industry as well, if you ever decide to go that route...

teatime · 01-17-2008, 01:48 AM

Thank you guys~~~I guess I will choose stochastic calculus..

desimba · 01-18-2008, 01:04 AM

Stochastic calculus. More relevant.

doubtful · 01-22-2008, 01:10 AM

stochastic calculus

01-14-2008, 02:13 PM	#1 (permalink)
teatime Trying to make mom and pop proud Join Date: Jan 2008 Posts: 9	Is complex analysis very useful in Finance/Financel Mathematics? Hi, guys. I am choosing between complex analysis and stochastic caculus. Which one is better for PhD in Finance/ Financial mathematics in top schools? Any suggestion?

Thread Tools	Search this Thread
Show Printable Version Email this Page	Search this Thread: Advanced Search
Display Modes
Linear Mode Switch to Hybrid Mode Switch to Threaded Mode

01-14-2008, 05:12 PM	#2 (permalink)
macroeconomicus Within my grasp! Join Date: Sep 2007 Posts: 329	I think stochastic calculus will give you better benefit/cost at this stage. Stochastic calculus is used a lot in asset pricing and mathematical finance, and I assume in some other subjects in economics (macro perhaps?). Complex analysis is used a little in advanced probability to work with characteristic functions and such, and also for some things in time series, but you probably don't need to take a whole analysis course to follow. I heard you can just pick it up along the way.

01-14-2008, 05:20 PM	#3 (permalink)
shootermcgavin7 Within my grasp! Join Date: Jan 2006 Posts: 498	Stochastic

01-15-2008, 12:58 AM	#6 (permalink)
shootermcgavin7 Within my grasp! Join Date: Jan 2006 Posts: 498	Because you sound like you're more leaning toward the quant-heavy finance areas. Theoretical asset pricing/risk management/etc (the very quant-heavy areas) lean HEAVILY on stochastic methods. Hell, even the technical master's courses in these arenas use some type of applied stochastic calc, although they often don't tell the students that they're using it.

01-16-2008, 04:11 AM	#7 (permalink)
chartreuse At Crossroads Join Date: Oct 2007 Posts: 56	stochastic is useful in industry as well, if you ever decide to go that route...

01-17-2008, 01:48 AM	#8 (permalink)
teatime Trying to make mom and pop proud Join Date: Jan 2008 Posts: 9	Thank you guys~~~I guess I will choose stochastic calculus..

01-18-2008, 01:04 AM	#9 (permalink)
desimba Within my grasp! Join Date: Aug 2007 Posts: 248	Stochastic calculus. More relevant.

01-22-2008, 01:10 AM	#10 (permalink)
doubtful Within my grasp! Join Date: Oct 2007 Posts: 406	stochastic calculus

TestMagic

Free GMAT, GRE, SAT Test, TOEFL practice tests