This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Wednesday, February 14, 2007

Columbia's MS in Financial Engineering Prerequisites

I didn't see this before: Columbia's MS FE Program has a bunch of math questions for prospective students to look at. They are supposed to know answers to most of them, if they want to get into the program. Nice.

Just in case you didn't know: E. Derman's there.

UPDATE: I posted my answers to their problems here. I think that problem 4b has an error in the variance expression. I sent an e-mail to Columbia's admissions dept about it. I hope they'll fix it soon. We'll see. Also, if you see any errors in my solutions, please, let me know. I didn't spend too much time double-checking my solutions. It was fun, by the way. I figured that I need to refresh some areas in math.

UPDATE: they've fixed the error, which I mentioned in the previous update.

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