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My year during the program cost me about 35k, so i think your estimates are good. It can be easy to find a part-time job, but I don't recommend it as the program is intense and requires a lot of hours. I suggest you focus on your studies. To add to this point, no student took a part-time job...

I have entered the program with a 90%+ average, but some of the students came in with a lower GPA (about 80%)

CChow : Yes, some of the students have very theoretical backgrounds and almost no exposure to finance. As long as your candidacy is strong (good GPA - above 3.5, any papers written, any extracurricular, etc..)

Nice document!!!

yeah I'd write it to the Human Resources Department, Credit suisse. Something along those lines.

Are you applying directly to someone ? Or is this the internet application ? If it is the internet application, it's not always relevant to put an address on the cover letter...

Well, the majority of students have no difficulty findings jobs after the program. This also applies to the winter internships, last year we had a placement of 100%. It really depends on what you want to do as a career. If you like risk management and would like to evolve in this field, then...

Try www.ycif.com (young canadians in finance) , it's a 50$ membership, but they host a lot of social events, conferences, etc. Best 50$ I spent last year. Got me a job too! Sorry if I look like an ad men.

You need to also consider the types of jobs both degrees will get you. The MMF is almost exclusively oriented towards risk management (and has been so for the past couple of years, and I can only believe that this trend will continue in the future). On the other hand, the MFE places people in...

I've graduated from the MMF program. The MMF program and MFE program are very different in nature. The MMF program really teaches you about the mathematics of finance in terms of instrument pricing, portfolio theory, optimization and risk management (to name a few.) as opposed to the MFE which...

To add to Andy's post. http://www.bloomberg.com/news/2011-08-06/u-s-credit-rating-cut-by-s-p-for-first-time-on-deficit-reduction-accord.html

http://www.betabeat.com/2011/08/02/digital-derivatives-bitcoin-markets-wall-street-bankers/

Perhaps it's material non-public information...

aww. I was about to post this... lol. I was deciding whether to put it in Quant Matters or Off Topic.

Thank you for the precious time you've taken to answer my post. As I think I mentioned in one of my previous posts, I have decided to model the residuals between a seasonality function and my time series. I have discussed about this approach with my teacher, and we both agreed that for the...

As of right now, my model is very simple but captures the essential features that I want to model. Sharing the actual model (code) will be a bit more complicated. So following my discussion with ecnanif, and having discussed this with my instructor. I've been able to model a seasonality...

If anybody is interested, there is a discussion between me and ecnanif that is ongoing about this.

I think online program are a no-no unless you're very familiar with the underlying concepts (stochastic calculus, probability theory, analysis, etc).

groutgauss : Thank you! Very much appreciated. I've already contacted the operator of the powerplant i'm trying to simulate to obtain some operating details. I will surely contact this prof regarding prices modelling. Oh, so much work to do... so little time.

yeah! Electricity is so sensitive to instant demand/supply which makes it very very volatile. Constant vol assumption = big no no.

Andy Nguyen : I've looked at the book earlier today, unfortunately, the powerplant i'm trying to value is uncommon. It is an hydro plant with a reservoir. It operates with two closed reservoir, one which is at sea level and the other one about 200 meters below ground. They become profitable by...

Nice, thanks Ken. I'll look into it. Ultimately, my goal is to value a powerplant, so on top of modelling the actual physical process I also need to model prices on a hourly basis, but also on a intra-hour basis to see if there is any optimality that can be achieved by micro-managing my plant's...

Hi all, I am trying to find a way to model electricity prices and I don't really know where to start. I have some of the main characteristics of electricity : 1. Very cyclical (hourly basis, but also seasonality) 2. Very sensitive to instant supply & demand Does anybody have experience with...

It's against CFA ethical regulations to share that material, or in fact, to even try to access it. I can however tell you that these practice exams are quite useful, especially the ones prepared by the CFA institute (your registration to the exams gives you access to one practice exam).

I'm from Montreal, but currently studying in Toronto. Will be moving back to Montreal in a couple of weeks for a full time job ;)

For the hours, it really depends on the job... Montreal is known to be a bit more relaxed, so I doubt you will be working 12hours a day everyday.

Abdel, HEC's placement is very good. Almost 100% from what I hear. The teachers are good and very industry-oriented. On the downside, it is true that most of the jobs will be in Montreal, although I know some graduates of the program who ended up on trading desks in NYC / London. For the...

Sure, :) It'd also be great if anybody can provide some insight of the formula provided by Stefanica, or the context in which it is used / derived.

Sold :)

I'm not too sure about the Stefanica formula, since I don't know the context in which it is derived, etc. Look at @bob ' s post : it is pretty complete. The delta gamma approximation is derived from bob's taylor expansion. (Ignoring the contribution of cross derivatives, time, vega,..) Here...

dV = DELTA * dS + THETA *dt + (sigma²*S²)*(1/2)*GAMMA*dt Where does the sigma comes from in your gamma expression?

Did you consider also the volatility of your stock ? The difference might seem negligible ( 1/20 ), but you also need to consider volatility. (I'm not talking about including vega here)

@JulianT : There are a few Quantnet members from HEC Montreal. (Althought I haven't seen them active in a few months). I personally know some.

I got dual monitors at the start of my MFE degree! best investment ever ! (considering it was only 200$ to get a second 23" monitor).

and from Toronto.... www.algorithmics.com (more risk mgmt oriented)

@Andy : I would also be interested in the french program numbers in terms of admission, offers, etc. In terms of placement, there is no doubt that most of these students easily find jobs in western europe. Some of these schools have a very good brand name in Europe (In the states also, but I'd...

This is the program I was talking about. They have highly influencial professors in the fields of finance and stochastic control. (Touzi, El Karoui). http://www.mathematiquesappliquees.polytechnique.edu/home/programs/masters/m2-probability-finance/

I have a few friends studying mathematical finance at polytechnique paris. In my opinion, the program is very highly regarded but only in France. From what I heard , most students are french or from arabic countries (tunisia, morocco, etc). So my answer regarding the misrepresentation of these...

There was a guy in undergrad with euler's formula on the arm, same type of tattoo.... I think he eventually dropped out too, lol.

Well, to be honest, I am in fact writing this from a yacht. I will take a bath in fresh crisp 100$ bills later too. In all seriousness, I will be writing a review when I have some time.

a lot of students from my programs use macbooks. With macbook and bootcamp, they can do everything.

Send a form to fill in. :)

Hi guys, I will be done my master's in july and I need to move back home to start a job. To all the U of T MMF future students, this means that all my furniture is for sale and possibly, you could even more into my current apartment (1-person bachelor apartment). I live twenty minutes walk...

In the toronto mmf program, there are about 30-40% girls.

my buddy's got one. everything he cooks goes on the foreman grill. EVERYTHING.

I've had 7 interviews for the full time job I will be starting this summer. Past a certain point (after my 4th or 5th interview) , it was a lot more "fit", just to see if I would agree well with the group.

I've been to the one in Toronto. It's "fun", but not very helpful if you are an advanced user. I also think that this is good for "prototyping" but the actual implementation isn't fast enough to satisfy algorithmic and HFT requirements.

I've never heard of such a process, perhaps its new due to the high number of applicants this year. I can't really tell you what to expect.. sry!

Ryan's a good guy. He's our TA for pricing theory. He likes quizzes and everything, so prepare for that !

I know it's not correct to assume that. I'm just struggling with the calculus.

Hey guys. I am running a currency model here and I'm trying to compare my MC results with analytical formulas. The problem is that I am having a hard time finding the analytical variance. The model is as follows : USD follows : r_usd(t) = x(t) + phi_usd(t) , where dx(t) = -alpha*x(t)*dt +...

Like chooser options ?

thats an expensive laugh.

Agreed. I simply don't understand the motivation.

http://www.hollywoodreporter.com/news/snooki-paid-more-nobel-prize-173941

Well what exactly are you simulating ? Let's say you are simulating a geometric brownian motion, you can look at the distribution's property (so you will need to store results) at a given time of your simulation and compare with the mean and std deviation you should be obtaining.

Congrats to all who got accepted. Last year's placement is very good. Everybody got a full time offer, except for one person (I was told he was not seeking direct employment). Also, two of these decided to pursue a PhD. This year's placement is on par with previous years. Internships are ending...

@yjt : That is somewhat true, the course load is quite intense and for industry people to come back and do this can sometimes be overwhelming. Especially when it comes to stochastic calculus. I would say GPA's range between 3.75 and 4 , but thats a very rough estimate (my estimate...)

Yes indeed, this is a flaw. Also, when students are inequal in programming knowledge and finance knowledge, this doesn't allow the professors to challenge us more in their class projetcs, etc. The program is trying to improve through mandatory evaluation of the program; students are...

@Andy Nguyen : You're somewhat right, the interview process is a bit "weird" to me. I don't really know what they are looking for in those group interviews. They put a lot of emphasis on communication skills, hence the required short presentation. Since I am originally from outside of Toronto, I...

Also, i'm angry at their website. It is old and I think it gives a bad first impression of the program.

Oh, here's a list of companies that students intern at : OTPP (Ontario's Teacher Pension Plan) CPPIB (Canada Pension Plan Investment Board) Manulife ScotiaCapital BMO CIBC RBC Algorithmics OMERS etc... Usually the companies are big names, students don't really get internships on trading floors...

@Andy Nguyen : What do you mean when you say they are recruiting a bunch of math geeks ? Please explain a bit more. @DanM : The UofT MMF is more oriented towards risk management than other programs, this is also reflected in the types of internships that students are able to obtain. Most of the...

@EconomicStudent. Hull doesn't teach for the MMF program, but, we do have to take a class given by White. It's an MBA class given in the winter semester at the same time that students are doing their internships. As for the class size, we are currently about 30 students. Two students have...

The interview process is very different for GTA students than for other students. The candidates from toronto invited for an interview will be the subject of a 3-4 hours group interview with various probability/math/programming questions as well as a presentation on a given topic. The ones that...

Here's my opinion on number 2 Having completed a summer internship in a quantitative group, I really don't think there is any job/role that leads to a true quant role without prior education in the field. In order to be able to fully understand and perform a quant role, a certain...

Hi guys, I would like to install an e-mail software that enables me to sync my e-mails between two computers. I have looked up up the function for outlook 2010, but this seems to be only doable by copying a file from a computer to another (this meaning that you lose e-mails that have been...

What will be the procedure to update your old resume to a more recent version ? @Ilya : you should post your resume in a pdf format. (.doc's are very unfriendly documents)

Hi guys, So i've just installed windows 7 on one of my computers. I'm used to running a mac with safari / firefox, and I would like to know what is the best browser out there to run on win 7 ? Thank you.

Thats very low - I suggest you take it again even though your quant score is quite high.

It seems like you think any job is not good enough for you. And also, quit comparing yourself to stanford PhDs and what not, and start proving your skills when you get an interview. I've met some people working in Wall Street for big firms (BarCap, BearStearns, Lehman) that got there with a...

With asian countries developping, I think some of the financial "attention" will shift to asia over the next decades. I'd love to be there when that happens.

Nicole El Karoui of Polytechnique X Paris. One of the best schools in France. Many of their graduates end up in top US schools and biggest banks / hedge funds. She's well known for her many contributions to mathematical finance - derivatives pricing techniques, etc. personal website : Nicole EL...

Here's one site : Conferences - Risk.net , there are many more. Look for risk management journals or for finance journals. You might find some conference listed there.

MBA degrees and master's in computational finance are two very different things. To have a quant kind of job, a master's degree is almost a necessity now. To do real quant work, people usually hire phds.

I agree with Andy. I've always like programming and mathematics, but I've also had an interest in Finance. Before preparing for the MFE applications, i've decided to take some finance classes at a nearby university - just to make sure finance was really an interest I wanted to make a living out of.

k go for maths, but you should def. check out if there's a way to take finance classes on the side without prereqs. I've been able to do that...

I don't think accounting is really relevant. I would definitely try and get some math classes and maybe a general finance class. Also, don't forget, programming classes are also a must.

I believe your stock trading experience is not really relevant when applying for quantitative jobs. Have you developped any models ? Or some sort of methdology ?

Hi guys, i'm looking to install a dual screen setup for my computer. I've seen many options, such as : dual output dvi graphic cards, DVI cable splitters, etc.. I need your advice on what kind of setup is the best in your opinion ? Thank you,

I was about to start a similar thread... My choice of laptop is a Thinkpad T series, I'm not sure if i'll go with the T410 or the T510. - I'm lucky to be able to benefit from the employee rebate ;). I'll be using two os : win 7 pro 64 and a linux distro ( I havent made my mind - i'll need to...

Thanks, thats the kind of answer I was looking for.

Hi guys, I've got a basic question about commodity futures and producers. I've read this article : FT Press: Basic Training: A Futures Primer > A hedging example which has got me a bit confused. I thought that commodity future were settled with the future. From what i've been reading in the...

Very helpful! Thank you Andy

Hi guys, so I'm trying to program a function that will do conditional forecasts on a var (Vector autoregression). Basically I have two variables (100 data of each), and I've computed my parameters for my VAR with a lag of 3. Now, I would like to fix my forecast for one variable and then...

I chose the internship.

I totally agree with Andy.

Money never sleeps looks bad... nothing will ever replace the original. I've bought my 1st gekko shirt today !

Hi guys, is there an equivalent command to na.rm when summing in MATLAB ? Thank you. ---------- Post added at 02:15 PM ---------- Previous post was at 01:45 PM ---------- I believe i've found my answer. command nansum() works fines. Thank you.

Taking into schools in Asia would be a good idea. I was myself, considering NTU Singapore in my choice of programs. Asia's financial hubs will undoubtedly gain popularity in the next couple of years.

Yeah, can't you just get your own trading platform at home ?

I'll have to agree with niski on this one. I do not see how this ranking can be so objective ? Choosing a MFE program should be something very personel, and people should put more effort in choosing one. There are already many rankings of program, and student reviews, etc. and even with all...

The brokers from JT MARLIN will be there !! http://www.pocketchangenyc.com/fmf/viewPhoto.php?imgID=7144

Well, angular velocity and linear velocity are related. Angular velocity is the speed of an object in relation to his center of rotation (center of the circle). So the human is moving at x radians / seconds. Now if you want to get his linear speed, which is distance / time, you need to multiply...

I don't think it does. It's got to do with linear velocity (the speed at which the humanoid walks on the circumference). Does the chicken only walks in a straight line from the center to the circumference ? or can it change strategies ?

To complete alexandre's post, there is also a section on the hedge fund database's biases in the reading #73 of the CFA Level 1 curriculum.

lol ! long iron man 2.

Yes, this person with whom I've been in contact works on high frequency trading. I've read the information the site, apparently this language is perfect for handling time series data and such, hence, the utilisation in HFT.

I've googled it up before. I was actually asking for user comments/inputs on this language.

Hey guys, I've been talking with some person I know that works at a major bank in London. He's been talking to me about Q which is a programming language I've never heard of before. Any of you guys had any experience using Q ?

@cfish, i don't think so. Work on those math classes.

My personal opinion : CMU's program is probably the best one in this field. If you would like to become a quant. I don't think you can go wrong with CMU !! Congrats on the admin.

Find the research papers, contact the authors.

hey there, we've started a facebook group for UofT's MMF students. Incompatible Browser | Facebook

Thats a good idea Joy, but I think you might wanna push people to use this format in the application tracker. If you take a look at my application in the tracker, you'll notice I've tried to put in as much information as I could in the "comments" section.

@HorryC, no, the CFA is usually not a prereq to most MFEs. Some of them can ask you to take if, if they believe your finance knowledge is not up to the level.

She posts on the seekingalpha.com , hold on, here's the post : The Dummies Guide to Valuing a CDO: Reference Barnett-Hart’s Thesis -- Seeking Alpha If you're registered, I believe you can send a PM.

http://twitter.com/akbarnetthart boom. pay me!

Congratulations ! Which university will you accept now ?

Don't mean to highjack this thread, some portion of their code is in S+ and some is in R, they're looking to change all that into Matlab.

I don't mean to disappoint, but i'll be working to transfer all R code to MATLAB this summer at a firm..

Man.. I can't wait to hear abour their results. I've recently read this book that largely talked about the LHC's experiments. Amazon.com: Why Does E=mc2?: (And Why Should We Care?) (9780306817588): Brian Cox, Jeff Forshaw: Books

I've found this : Finance Internships Anyone knows what its worth ?

I've read somewhere that the iPad doesn't support multitasking. Wouldn't that be a necessary feature ?

GRE way more important !

Can you guys comment on speed of these two languages ? I'm quite unfamiliar with S+/R

and the answer was..... 1) They only have one coder left that uses S+ .. so you guys were partly right ! 2) Speed, they said some of their routines MATLAB computes in 15s can take much more longer in S+ As for my interview : I think it went pretty well, not too technical questions and...

Students for 2010-2011 : Manifest yourselves!

Hi guys, I'll be interviewing for an internship with a big firm tommorow, one of the tasks i'll have to perform includes reprogramming certain S+ and R code into MATLAB code. I have not yet been able to ask about why they were switching (I certainly plan on it tommorow). In the meantime, do...

I think 2.3 gpa is quite low, you're going to have to ace your math classes. As for the programming, some schools will require you take classes. I suggest you take them, they'll give you more than what books have to offer.

Yeah i knew that. I was talking about numpy/scipy. I've installed on python 2.6, works like a charm.

Should I go with Python 2 or Python 3 ?

Has anyone installed on OSX?

that would be a great initiative andy. I'm in.

Thats insane, how do these compare with GPU computing ?

Astrophysicist Replaces Supercomputer with a Cluster of Eight PlayStation 3s

48 hours until you get an answer. I've contacted them concerning a typo I found in the curriculum. They have replied within that timeframe.

The best way to know if to give the CFA staff a call, or e-mail.

I'm currently looking for internships in the commodities sector. Risk management for oil companies. I've got a big cocktail on monday. Let's hope it all goes well.

Hey! which school will you decide to attend ?

Hey ubc, did you accept UofT, do you mind asking me your profile ?

Hi seth, I see that you've been accepted at UofT. Do you plan on accepting ? What's your background ?

I've had a samsung omnia for the past year, and I really think it's crap. The windows mobile OS is crap, and also the touch keyboard is crap. I've installed the spb skin which makes a lot of the touch features more intuitive. Also the spb keyboard makes it a little less painful to type. But...

To how many places did you apply ? You're always talking that you apply to different places. Are you getting any results back ?

Yeah, very interesting.

impressive. I think you'll make a very competitive candidate.

First of all, I would make sure this is what YOU really want, and are not only interested in this because your teacher mentionned it. Now, if you really want to go into an MFE, start working now towards getting your Calculs/Probability/Other relevant math classes/Programming classes right now...

All these questions should be asked before applying to grad schools.. I really wonder what you've wrote in your SOP...

I think it is a big disadvantage if you don't have any programming exp. Most of the schools I've applied to had an explicit requirements for prog. classes. You could ask your school if it is possible for you to take a prog classes as an elective without having done the prereqs. You just need to...

For the MFE, the most important readings will be on derivatives, swaps, futures, etc. But, it would also be a good idea to read about general finance aka, the broad environment where FE takes place. I'm reading Paul Wilmott introduces Quantitative Finance, which I think is good for starters...

Basic finance ? Or more derivatives oriented ? You should check out the Master Reading List that Andy has prepared. Master reading list for Quants, MFE - QuantNetwork - Financial Engineering Forum For derivatives, there is Hull's Book - Options, Futures and Other Derivatives.

Any chances you could take a programming classe as an elective? If you like to pursue in the quant field it will be necessary. C++ is widely used.

Well there's no clear answer to that question. First of all I think it really depends on you and your motivations. If you would like to pursue your education afterwards I think that working as a research assistant is very good. Also, if it is well explained in your SOP, then you will be scoring...

Yeah, well since i'm not from the GTA, my interview had to be conducted over the phone. It was mainly questions about why I applied to the MMF, my future career goals, why UofT, etc.. I had my interview last tuesday (23/02/2010). Keep us updated on your results, and please, use the QN tracker!

hey pathak5 ! that's detroit -- not chicago!!

Thank you guys! @ DanM, yes i'm from Montreal. So i'll be reppin' the Canadiens in TO!

I got acceptance today. My profile is on the tracker. I plan on accepting!

3/2/10

Do these people have prior work exp ? or they go directly to an MBA?

What do most Indian MBA graduates end up doing ?

I'm curious, why would you like to switch to a MFE after having finished your MBA ?

There is a thread on global derivatives on this subject, some guy who is currently in the program gives some good info!

How would you react if ? Would you consider that "intrusion" ?

I got the call from UofT today for an interview! It was very basic for me, I don't know if they were just "screening" the applicants. It was only a few question long, why the MMF, why UofT, etc.. Maybe this sort of interview is also for outside applicants, as I am not living in toronto.

2/23/10

Regarde tes PMs

Hmm I haven't received the call yet !! I hope it's coming!

Andy, you are missing HEC's MFE. HEC Montréal | M. Sc.l | Financial Engineering

I'd like to travel -- but as I will need to make a loan to pay for my studies, I think my best option would be to work!! So now, I'm trying to look for internships in the field (more general finance oriented - or risk mngmt). I'll also be looking at books and review my probability/statistics...

HEC has a financial engineering program. (2 year program -- MsC) Ecole Polytechnique does NOT have a financial engineering program. But they do offer masters program in Operational Research. If you guys have any questions, feel free to ask, I attend this school.

Mechanical Engineering :Ecole Polytechnique Montreal I've also decided to take some finance classes @ HEC Montreal Undergrad GPA : 3.93/4 GRE : 780Q, 320V, 4/6 A Math Classes : 2 multivariable calcl , 1 linear algebrea, 1 statistics, 1 numerical analysis, 1 Diff Eq (w/ a portion about PDEs) Econ...

Hi guys, I'm currently finishing my baruch application. I've read somewhere that the TOEFL was no longer necessary, but i cannot remember if it is only for students who have attended US schools. I am from Quebec, and I went to a french school. Question is : Do i need to send in my TOEFL...

perhaps : this

Can you please elaboratore on your GRE scores and the schools you are aiming for ?

Here's something that might give you a clue about the transition from engineering to FE. Take a look at Baruch's admission statistics. Masters in Financial Engineering (MFE) - Baruch College By taking a quick look i'd say from year to year, almost a quarter of applicants are from the...

can they really do that ? doesn't it violate a couple of laws ?

You could get a skype phone number. If not, any possibilities of getting a phone sooner ?

Yeah but again, from what I hear, most of these reports are based on the number of publications of a school / graduate-student related activites. Do you think this really represents the competitivity at the undergraduate level ? And aren't non-english school misrepresented by these rankings ?

from the mmf website. Evaluation starting: Beginning of February

From what I understood, students that have graduated from a canadian school are exempted from the GRE. As for the online application. You had to submit SOP, Resumes and references online. TOEFL (if applicable) and send your transcripts by regular mail. Check your status on SGS, it should say...

Here are two threads from GD. MMF utoronto MMF UToronto 2009-2010 Applicants They give out a few detailed profiles of accepted people. They also talk about the interview process. Some people had a very brief phone interview (mostly to test comm skills & english level), while some others had a...

From the website, it says that in early march they will start sending out invitations. I'm a bit disappointed in their website, they should give out more admission statistics or info. Oh well. Anyone else applying to UofT ?

Mechanical Engineering : École Polytechnique Montréal I've also decided to take some finance classes @ HEC Montreal Undergrad GPA : 3.93/4 Work exp : two internships , one was to model thermal expansion of a radial sel other was towards developping automated KPIs. Extracurricular : winner of...

I've applied at UofT , i've got baruch / nyu / NTU syngapore coming this week. What is your background/info ?

And what exactly are your criterias to saying a job will make you miss your homerun? You can never predict what will happen. I think at this point, you should just try and settle with a job that makes you happy and put the idea of a "dream job" aside. And don't forget, this will be your first...

I think CMU would be pretty strict on that. I'm sure they receive massive amounts of applications. If yours is late... then that's just too bad.

Do you know how competitive the program @ UofT is ? I've just applied to UofT and i would have to say I am a bit scared of the outcome. I'm studying in Mechanical Engineering, my GPA is 3.93/4 and i've got many extra-curricular activities. I've also enrolled in finance classes @ HEC in order to...

Phone interview : basic questions, why MFE, why this school ? what is your programming background, etc.. Profile : Mechanical Engineering :Ecole Polytechnique Montreal I've also decided to take some finance classes @ HEC Montreal Undergrad GPA : 3.93/4 GRE : 780Q, 320V, 4/6 A Math Classes : 2...

1/13/10