Undergrad Courses and Books to Prepare for Quant Masters

Most quantitative finance masters programs have a common list of courses a student must have taken as an undergrad. Most do not accept self study of topics! These courses are:

Calculus (1-2)
Linear Algebra
Probability
Ordinary Differential Equations (ODE)
Partial Differential Equations (PDE)

Other courses typically required are:
Finance
Programming (C++, Python, R, or Matlab)

Math Textbooks from this video:

Other Textbooks from this video:

All links are my affiliate links from Amazon. The books cost you no more than if you found them on your own, however Amazon pays me a small commission as a thankyou for driving traffic to their site.

In general I don't think the version of a textbook matters, especially for math textbooks. Just find cheap books that you will learn from. I prefer hardcover textbooks as I like to re-read them and use them for references however I have started purchasing softcover books to save money.

Gilbert Strang's Linear Algebra Course:

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[xkr]

Nice video. Won't comment on books but when it comes to topics, If you ask me, the most crucial one is Probability. That defines Quantitative Finance. If you can, getting some intro into random processes will be useful too.
Next, I'd say the foundations of calculus, techniques to solve ODEs, and understanding of PDEs (don't really have to solve them though but you should be comfortable with differentiation and evaluation expressions / proving equations/changing their form etc.)
Personally, I consider Stochastic calculus as just an extension of probability applied to random processes.
Linear Algebra foundation and some basics like matrix / vector-related differentiation. This will even help in machine learning math and courses like optimization.
Also, when it comes to building a good base in probability, you should also solve probability-related questions. Lots of resources online and those will be fun too. These problems will help you in improving your foundation.

[JamesSpencer]

I'm a pure mathematician, but for calculus I would recommend Apostol's Calculus. It strikes a good balance between applications and theory. Spivak's Calculus is good as well since it has a solutions manual. However, it only covers single variable calculus and has minimal applications.

[ABSTRACTSHNITZEL]

Great video. I wish I knew all this before coming to college, but this is great for future aspiring Quants.

[Kgo]

Advanced Calculus is not calc 3, its more of a taste or Real Analysis

[jmguevarajordan]

I think that you are describing books for an applied math or math major. Real analysis is one of the hardest courses in math.

[AHeroOfAzeroth]

What do you think about “Linesr algebra done right” by Adler? I’m half way through it, and it give me an whole other view of what exactly is linear algebra.

[hotokohoue]

Thanks for the video. Is there a material you recommend to learn C++ for quantitative finance specifically?

[z.v.s.]

Hey Dmitri, I appreciate your Honesty.
In description you clearly mentioned that the links are affiliated and it would cost us more.

[CarterBabylung]

I don't care how heavy it is, I will never get rid of my James Stewart calculus book.

[dpp]

I would say a course in PDEs is a complete waste of time. Spend that time studying real analysis/measure theory if you want a deep dive into math. Or make sure to know statistics at advanced undergrad level (linear regression, multivariate stats).

[chunawalla]

Hi Dmitri, I would like to ask your take on, how important is learning/exploring numerics. I saw that there are some cool quant devs working on the buy side, that seem to focus on parallel programming, monte carlo, and it got me interested, since I have a software background, and thought its skill/direction worth developing.

[dm]

hey i am doing comp science and specializing in data science, can i break into these masters program after doing my undergrad?and i really am hoping to get in uc berkley or michigan or princeton

[veerpatel]

Thoughts on Analysis I (Calculus by Spivak)

[amj]

Would you recommend the math/stat that is used in high frequency trading?

[mtiulrq]

Whats the best practical problem solving, critical thinking CALCULUS MATH TEXTBOOKS

CALCULUS 3RD OR 5TH EDITION, STEWART

CALCULUS CONCEPT 3RD EDITION, STEWART

THOMAS CALCULUS 12 EDITION

CALCULUS 9TH EDITION, LARSON

Thank you

[beksultanbazarbaev]

Hi Dimitri, I have an undergrad degree in Finance and I want to get Quant Master's degree. My math skills are not on the level and I am considering taking a gap year to learn all the courses you listed here. The pinch here is that I am 25, and by the time I graduate I will be 28. Do you think it would be too late for me to start quant career at this age?

[device]

Is it a must to take a c++ course because in my university it’s restricted to IT&SE majors ? Instead of that can i take an online C++ approved course by said university?

[lazizaakramova]

Can I ask please. My major is Banking and Audit. I had some courses related to Math: higher mathematics 1. higher mathematics 2, Statistics, Econometrics (two semeters). Are they enough? Also if you have certificates of the other universities courses in Math, can they help me to meet this requirement of the provided list of Math courses?

[Rizzickk]

Hi Dimitri, just curious, do you do portfolio analysis on your own personal portfolio?

[ananthramj]

As a soon-to-be freshman, I am trying to do two bachelor degrees simultaneously, one is a BSc in Computer Science and the other might be an integrated Masters degree in Economics. Do you think it's REASONABLY doable (should I put in the work) to get a job in quant finance right after my masters (the first program may be 3, hopefully a 4 yr honours course, while the second is a 5 year degree in total).