【先修课】美国金工申请需要的先修课解析

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发布者：: 吴偲

分类：: 留学指南

2025-09-05

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先修课

美国的金融工程硕士看重学生在数学，计算机和金融方面的知识和能力储备。尤其是数学和计算机能力出众的学生，往往录取结果更好。总的来看，常见的先修课主要有以下：

数学和统计

· 微积分（Differential Calculus, Multivariate Calculus）

· 线性代数（Linear Algebra）

· 概率论和统计（Probability and Statistics）

· 微分方程Differential Equations（偏微分PDE&常微分ODE）

以上为最基础的要求，但是要想有更大优势，尽可能多修

· 随机过程Stochastic Processes

· 数值分析Numerical Analysis

· 计量经济学Econometrics

· 时间序列Time Series

· 实变函数Real Analysis

· 优化Optimization

计算机

· C, C++, Matlab, Python, R （目前最常见的）

· Machine Learning

· SAS, Gauss, RATS, S-Plus, or Garch

金融

• 微观经济学Microeconomics

• 宏观经济学 Macroeconomics

• 公司财务及财务分析 Corporate Finance and Financial Analysis

• 货币和资本市场 Money and Capital Markets

• 投资学 Investments

自学推荐书籍&新闻杂志：

• 金融衍生品：John Hull’s Options, Futures, and Other Derivatives. The so-called Bible of Wall Street Professionals, this book is mandatory reading for everyone entering the mathematical finance field. Somewhat dry at times, but the topics covered, presentation, and relevance to the program has no equal.

• 金融工程：Saleh Neftci’s Principles of Financial Engineering. A great synopsis of the interaction between financial instruments and asset classes within the markets. The late Professor Neftci was truly a gifted writer.

• 金融书籍的随机微积分Steven Shreve’s Stochastic Calculus for Finance books: namely Stochastic Calculus for Finance I: The Binomial Asset Pricing Model and Stochastic Calculus for Finance II: Continuous-Time Models. These books are standards for courses in stochastic calculus; but caution, these books can be hard to read the first time through, especially the Continuous-Time Models.

• 公司金融：推荐Stephen A. Ross, Corporate Finance。

• 计量经济学：推荐Jeffrey M. Wooldridge, Introductory Econometric

• Ross: “A First Course in Probability”

• Mood, Graybill & Boes: “Introduction to the Theory of Statistics”

• Rudin: “Principles of Mathematical Analysis”

• R语言：Paul Teetor’s R Cookbook. A great, simple-to-read-and-do tutorial on the R scripting language and R framework. Many courses will rely on R or some statistical-based package. Being proficient in R will be a great time-saver as well as tool that will be useful for all time.

• 金融工程和计算：Yuh-Dauh Lyuu’s Financial Engineering and Computation. A great book that touches mainly on the computational aspects of mathematical finance.