Advice requested: getting into computational finance

Posted by ksvanhorn on
URL: http://quantlib.414.s1.nabble.com/Advice-requested-getting-into-computational-finance-tp7422.html

I'm an experienced software engineer with a B.S. in physics, a Ph.D. in computer science, and a love of mathematics.  I feel like my brain is going to atrophy if I don't find some way to use my math skills, and I ran across a description of computational finance in Wikipedia that sounds like it could be just what the doctor ordered.  The Wikipedia article states that "knowledge of the C++ programming language, as well as of the mathematical subfields of: stochastic calculus, multivariate calculus, linear algebra, differential equations, probability theory and statistical inference are often entry level requisites".  I'm a bit rusty on my differential equations and I lack the background in stochastic calculus, but I'm pretty strong on everything else.

So how would you all recommend I go about getting into this field?  One constraint I face is that I can't drop everything and go back to school for two years; I need to keep on making an income.   But I'm pretty good at studying things on my own.

-- Kevin S. Van Horn