The Rutgers Master of Science in Mathematical Finance (MSMF) summer boot camp offers a ten-day review and preparation program that covers fundamental topics in undergraduate mathematics. We have found that MSMF students who have strong foundations in these topics are well equipped to successfully complete subsequent MSMF graduate courses. The boot camp provides an opportunity for the incoming class to ensure that they have these rigorous and essential foundations. This is also an excellent occasion to get a preview of the MSMF program graduate curriculum and the opportunities and resources available to the MSMF students before the start of the busy academic year.
The program is set up as a problem-working seminar. At the beginning of each daily session, relevant concepts will be reviewed and problems will be assigned to be worked on during the session. The topics include Multivariable Calculus, Numerical Methods, Ordinary Differential Equations (ODEs), Partial Differential Equations (PDEs), and Probability Theory. The following is a selected example of the materials that will be covered:
- Multivariable calculus: Techniques of integration, Fundamental theorem of Calculus, Taylor formula and series, vector analysis, divergence theorem. Numerical differentiation and integration, solution of linear and non-linear equations. Reference: T. Apostol, Calculus, Volumes I and II, Wiley.
- Linear algebra: Matrices, determinants, inverses, vector spaces, bases, linear transformations, dual spaces. Basic numerical methods for matrix analysis. Reference: K. Hoffmann and R.Kunze, Linear algebra, Pearson.
- Ordinary differential equations: Explicit solution of Initial Value Problems for first and second order equations. Basic numerical methods for ordinary differential equations. Reference: W. E. Boyce and R. C. Di Prima, Elementary differential equations and boundary value problems, Wiley.
- Partial differential equations: Heat and Laplace equations, partial differential equations that arise in Math Finance. Basic numerical methods for partial differential equations. Reference: W. A. Strauss,Partial differential equations, Wiley.
- Probability theory and statistics: Probability space, continuous and discrete random variables, probability density and distribution functions, independence, expectation, conditional probability, conditional expectation, multi-dimensional distribution, Law of Large Numbers, and Central Limit Theorem. Statistical estimation and inference. Monte-Carlo method. Reference: S. M. Ross, A first course in probability, Pearson.
Our review and preparation program is led by Professor Triet Pham, a researcher in probability theory and its applications to mathematical finance, an experienced instructor for several of the core MSMF courses, including Math 16:643:621-622, Mathematical Finance I, II and Math 16:643:632, Mathematical Finance in Industry, and a mentor for student quantitative finance competitions.
Boot Camp Schedule: Starts Friday, August16 and ends on Saturday August 24. Hours are as follows:
10:00 AM - 12 Noon
Lunch - 12 Noon -1:55 PM Lunch is provided by the MSMF Program
Location: Science & Engineering Resource Center (SERC) Room # 204
118 Frelinghuysen Road , Piscataway , NJ 08854 ( BUsch Campus )
Cost: $ 350.00
Registration Deadline: August 10,2019
Housing: To arrange for housing, go to http://ruoncampus.rutgers.edu/apply-for-housing/rates-and-billing/
Two things you should know: The earliest you can move in is August 15, 2019 and the rates currently displayed are those that were in affect for the 2018-2019 academic year. The prices for the new academic year will increase slightly.