So – I an effort to get back in the game with my maths, I have ordered a series of books and I am planning on weekly study time. Here is my basic list:

Calculus:

• Functions and limits

• Differentiation and integration

• Taylor series

• Complex numbers

• Functions of several variables

• Gamma and beta function

• Numerical integration

Differential Equations:

• First order equations

• Second and higher order equations

• Partial Differential Equations

• Diffusion equation

• Black-Scholes equation

Linear Algebra:

• Matrices and Vectors

• Systems of linear equations

• Eigenvalues and eigenvectors

• Vector spaces

Elementary Probability Theory:

• Discrete and continuous distributions

• Simple moments (mean and variance)

• Higher moments (skew and kurtosis)

• Important distributions

• Correlation

• Central Limit Theorem

Basic Stochastic Calculus:

• Random walks/SDE

• Brownian motion and Itô’s lemma

• Basic Monte Carlo

This is taken from the Wilmott’s Maths Primer. I have been considering taking the Wilmott/ 7City CQF. I am obviously interested in continued automated trading efforts. I am relatively strong with the probability/ statistics driven work – I have done the most professionally there. I am also obviously interested in the business of trading, including more and more derivative products. I have been able to work with quants in the past to implement automated systems. The way I figure it – the more I can work directly with quants, the closer I am to doing more and more of quantitatively minded fully automated real time trading.

I will let you know how it goes – my continued maths studies.

-Chris-