UIC

University of Illinois
at Chicago

Courses to Consider

Impetus

36% of UIC undergraduates go on to graduate school. That figure is impressive because it is high in general and compared to the 25% of UIUC undergrads who go on to grad school.

Every few weeks, a student asks me what courses I would recommend for someone interested in working in quant finance or going on to graduate school. Every semester I speak with students who wished they had advice like this earlier in their academic career.

Below are my thoughts about such courses — in hope that you will help increase that 36% to 50% or more. (Alternately: to help you be successful in the finance industry so you can give back to your alma mater to support the good work we are doing.) Note that while these are my suggestions, they do not differ much from those of others (such as Greg Mankiw in economics at Harvard). Finally, if you are an underrepresented minority student, please look into the Summer Research Opportunities and McNair Postbaccalaureate programs.

General Guidelines

Most students take too few math, statistics, and programming courses; many take too few economics courses. The CBA requires:

These are the bare bones of what you should do. You will need to do more.

Fulfilling only these requirements will make getting a job in quantitative finance very difficult and going to graduate school even harder. If you want to entertain — or even achieve — dreams of excellence, these courses are insufficient. Recruiters and interviewers will not tell you this: They see a lack of advanced coursework as a signal that you are not worth their time.

So what courses should you take? Here are a few ideas.

Math Courses

You may replace Math 165 (Bus. Calc) with Math 180 (Calculus I). Do this and take the three-course calculus sequence. If you have AP calculus credit, skip Math 180 (and Math 181, if you can).

Calculus, linear algebra, and differential equations are key tools for advanced finance. Therefore, I recommend taking:

You could even take Math 480 (Applied Differential Equations) and 481 (Applied PDEs) if you like differential equations. You might also consider Math 410 (Advanced Calculus).

If you want to go on to a PhD program and have free space in your schedule, I highly recommend taking the analysis sequence (Math 313 and 414).

Statistics Courses

Statistics is the science of uncertainty; and, you care about risk in trading and research/modeling. If you have credit for AP statistics, skip over IDS 270 to 371.

Beyond IDS 270 and 371, I would also suggest IDS 478 (linear modeling, aka regression analysis) and IDS 476 (time series). The probability sequence (Stat 401, 461, and 462) is also excellent. If you cannot fit IDS 478 into your schedule, BSTT 400 might work as a substitute.

Optimization and Game Theory Courses

Try to take at least one course on optimization and one on game theory. Stat 471 (Linear and Non-linear Programming) or IDS 435 (Optimization Models and Methods) would be great courses to learn a bit about optimization. Alternately, you can take IE 471 (Operations Research I) which covers linear programming and IE 472 (Operations Research II) which covers nonlinear progrmming and dynamic programming. For game theory, consider Stat 471 (Game Theory) or Econ 436 (Mathematical Economics). For dynamic modeling, you could consider IE 312 (Dynamic Systems and Control). Some of it might be too physics/engineering-focused; but, the methods taught are very useful. Another (possibly) useful IE course is IE 201 (Financial Engineering).

Programming Courses

Amazingly, your main benefit from taking a programming course will not be learning to program per se. Rather, you will need to organize your thoughts and learn a little bit about how some tools can be used in building a program. In general, any course teaching some about algorithms and data structures will be fine.

I know many recruiters want to see that you have "learned" C++. I don't care and neither should you. Learn to program in a language that will be useful for learning about the ideas of programming without distracting you with other bells and whistles. (I'm a big fan of courses which use Scheme, a dialect of LISP, or C.)

I would recommend taking one of:

with a bias toward CS 107 or CS 108.

Final Words

Can you take all of these courses? Perhaps not. However, I suspect someone taking the linear algebra and probability courses could petition to have those replace Math 160. (I'm guessing here; check to make sure!)

Please take something better than Business Calc. There is no excuse for studying finance at a top-notch research university in Chicago — one of the world's centers of quantitative finance — and not taking a proper calculus sequence. Further: the business world runs on linear algebra; you should know it.

Finally, linear modeling, time series, and game theory will help you (at least conceptually) for the rest of your life.


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