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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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    $\begingroup$ I think it would be a good idea to add the topics names in the title to get a wider response. $\endgroup$ – Learner Apr 13 '13 at 13:21
  • $\begingroup$ @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. $\endgroup$ – TheHopefulActuary Apr 13 '13 at 17:05
  • $\begingroup$ Learn $\ {\bf{\tt C++}}\ $ and practice yourself some little problems at the beginning. $\endgroup$ – Felix Marin Sep 8 '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.

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    $\begingroup$ I'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? $\endgroup$ – TheHopefulActuary Apr 13 '13 at 17:14
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    $\begingroup$ @Kyle it would be very useful to understand measure theory and functional analysis before studying stochastic PDEs $\endgroup$ – oldrinb Sep 8 '13 at 23:20
  • $\begingroup$ @oldrinb Isn't measure theory more important because measure theory is needed at the very start of probability theory? $\endgroup$ – user198044 Nov 28 '15 at 2:24

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