I am a CompSci engineering graduate. I have applied for a masters in financial engineering to two-three programmes that I shortlisted. I am self-learning :
- Basic probability from Introduction to Probability, Joe Blitzstein and Jessica Hwang
- Real Analysis from PMA, Rudin
A working knowledge of Linear Algebra, numerical methods and how to program these is an absolute must. What would be some good books to brush up Linear Algebra as well as program these in say, C++?
Thanks in advance,