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He just posted his old resume from 2000 which he thought he would have to use because he was unsure of whether or not he would ever get drafted. I found it interesting that he had an internship at Merrill Lynch "researching stock and mutual fund reports." ;)

I would go with option 1.

So I have an interview for derivatives analyst at a company that provides independent OTC derivative and structured product valuation and risk management. Just wondering what kind of questions I could possibly be asked. Keep in mind this is for someone with an undergraduate degree. I'm...

http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2172549 A new study by NBER released a few months ago. I remember that initially there were studies that concluded that CRA did not play a role in the crisis. This one seems to suggest otherwise. Thoughts?

Does anybody know of an algorithm for generating random numbers from a multinomial distribution? I would like to implement it in (preferably) C++. But Java would be fine as well.

The first half was embarrassing, but it was nice to see the 28 point comeback in the 2nd half, even though they came up short. The Giants on the other hand got blown out. ;)

That was an awesome game.

If Welker, Hernandez, and Branch don't drop passes at crucial points in the game like they did last time, and if Gronkowski is healthy, I don't see the same result being repeated. We finally have a decent defense.

I think we could finally take them this year.

So, less than a month before the NFL playoffs. What are everyone's thoughts? I may be a tad biased, but after last week's dismantling of the Texans, I don't see how anyone can deny that the Pats are the top team in the AFC (possibly even the entire league.) Tomorrow's game against the 49ers...

I might take you up on this after finals. I'm enjoying the new physics engine in Madden.

Economics today is dominated by Keynesians (unfortunately.) Their track record over the years has been less than stellar. It shouldn't surprise anyone that their solution to the problem is to throw money at it.

I agree 100% with this. The ideal situtation would have been for failing institutions to file for Chapter 7 bankruptcy, liquidate their debt, and possibly allow other firms to purchase certain segments, assets, or business operations of those institutions. The following weeks or months may...

Homeland is the best show on TV.

Combinatorics may not be as useful as numerical analysis, but it is an interesting area of mathematics. I'm currently taking a course in it (it is mostly proof based and theoretical) and I am liking it a lot. As far as application: it can be applied to molecular biology, coding theory...

There were no brainteasers. I was emailed a "test" to complete in MATLAB and was told that if I pass it, I would be given a bigger project to complete. Their decision will be based on that.

I have a phone interview coming up for the role of Trading Strategist with a quantitative fund. This is the description: • develop trading signals (alpha generation) • work on projects focused on improving execution and trading strategies • explore large data sets • investigate and...

http://www.amazon.com/Financial-Modeling-Simon-Benninga/dp/0262026287

Check out the posts in this thread from Ken Abbott who is a Managing Director. He discusses the usefulness of accounting along with math. Though this has more to do with roles in compliance than with admission to MFE. https://www.quantnet.com/forum/posts/88591/

Thank you.

These are the topics covered in the first course (taken from the course schedule from this past year): Trend smoothing, autocovariance, autocorrelation, ARMA models, nonstationary time series, forecasting, model identification, estimation, unit root problem. These are both offered in the fall...

Yes, they are both undergraduate courses.

I'm trying to decide between these two courses. Which one would be more beneficial for quantitative finance? Introduction to the Theory and Methods of Time Series Analysis A systematic presentation of many statistical techniques for the analysis of time series data. The core topics include...

Same here. There's a course called Elementary Probability which covers probability spaces, conditional probability, distributions functions, moment generating functions and limit theorems. MATH 2030 - a second year course. This is a prerequisite for MATH 2131, which is an extension of 2030 to...

konadian - you mentioned in a previous thread that you attend a Canadian university. The description of Introduction to Statistics II sounds familiar - almost identical to a course I took. Which school are you attending if you don't mind me asking?

Quantitative mathematics as opposed to qualitative mathematics?

You can't possibly know whether or not you like theoretical math if you are still in high school. Having a good understanding of "theoretical math" is always important.

April Fools!

The Ontario Teacher's Pension Plan for example, hires graduate students in quantitative disciplines as interns to work on their models.

That's not what the MMF is intended for. It is not aimed at teaching people how to be equity researchers. It's a quantitative program which trains people to work in quantitative areas of finance.

These are two completely different programs. The MMF is a quantitative finance program (which includes numerous math/stats/programming courses) and is geared towards careers in risk management and financial engineering, whereas the MFin covers a lot of the CFA material and is more geared towards...

That's what I was thinking. Wouldn't obtaining the Black Scholes volatility equivalent only make sense when you're using a model other than Black Scholes (such as Heston) to obtain the price of a European vanilla option and then using that price in BS to solve for the volatiltiy? It doesn't...

http://en.wikipedia.org/wiki/Volatility_arbitrage

Couldn't you just use the price calculated from whichever model you are using and then invert the Black Scholes formula (using the newton raphson method) to get the BS equivalent? Maybe I'm not understanding you correctly.

In my opinion: Probability, Stochastic Processes, and numerical analysis.

In regards to the claim that an applied math major is more favorable or sophisticated than a stats major, I have to disagree. It depends on the school and the program. At my school, the coursework for a stats major is much more rigorous than that of an applied math major - it is actually...

I'm glad the Patriots will have an opportunity to get payback for their Super Bowl XLII loss to the Giants.

Not today.

I've seen some do this by performing Cholesky factorization on the correlation matrix and some by performing it in the covariance matrix. Which way is correct?

Numerical Analysis by Burden & Faires is a good mix of theory & application. I used it this term.

Rob Gronkowski broke the record for most TDs by a tight end in a single season, and Pats go to 10-3. Hopefully their defense improves considerably over the next 3 weeks though.

Since when is math modeling ever "highly theoretical"? Modeling is applied mathematics.

It's first semester, 3rd year. And yes, it's a more theoretical/proof-based coverage of Green's Theorem, Stoke's Theorem, etc. I took multivariate last year.

Math courses I'm taking this year & next year (which will be my final year): Real Analysis I Vector Calculus Numerical Methods I (computational linear algebra) Mathematical Statistics I Real Analysis II Differential Equations Mathematical Statistics II Real Analysis III (full year course)...

Technically, the modeling industry is "the most beautiful industry out there."

How about: no financial institution (or any company for that matter) receive any sort of taxpayer-financed bailout, ever.

That is the correct name. The address of the "company" is an appartment building (not downtown). Also, I was told several hours later that the interview would be at a Tim Horton's. Needless to say, I don't see any point in pursuing this.

After further research, I highly doubt it's a legitimate fund. I just wanted to see if anyone else was approached by them.

Has anyone in the Toronto area heard of "LongShort Hedge Fund"? They called me for an interview on Tuesday, but cannot find any information about them on the web.

Just saw Margin Call. Pretty good.

It's ok to be wrong & unintelligent when you are as hot as the girl in that pic.

I never said anything about the IRS being unconstitutional. The IRS isn't even a social program. There are, and have been, social programs that are unconstitutional. The New Deal, for example, had many programs that were found to be unconstitutional by SCOTUS, and were subsequently repealed -...

With regards to how to interpret the constitution, judicial interpretation is an important part of law. It's something you'd learn in a Constitutional Law course along with statutory interpretation. So I disagree with the notion that the constitution cannot, or should not, be interpreted. That...

I agree, he does seem to be a utilitarian libertarian. I just wanted to point out that deontological libertarianism is more rigorous and logical than utilitarian libertarianism or any other political ideology based on utilitarianism.

I don't want to speak for Abdel, but the majority of people (libertarians & paleoconservatives) who share his views are not utilitarians. They are not concerned with the effects on overall utility of the policies they support, but rather with the effects on liberty. They don't support limited...

LOL Did that guy seriously claim that there are "no restrictions or regulations" on Wall Street? Seriously?

This actually looks pretty good. Much better than Wall Street 2.

You're not going to learn stochastic calculus in undergrad. I think it's ridiculous to teach undergrads stochastic calculus without a strong grasp of real analysis and knowledge of measure theory & stochastic processes (you most likely won't possess any/all of these prior to taking the...

Yes I am. Just PM me if you have any specific questions.

I can't comment on whether or not it would destroy your career, although I don't see why it would. But in regards to your ability - you have a good GPA from a top school, and even though it was in a non-quant major, it shows that you have aptitude and/or are persistent enough to do well in...

The government has played a significant role in the US economy for decades upon decades. It's amusing to me that given its track record, people who aren't "happy with the system" (a system in which government intervention is rampant) think that more government intervention is required to solve...

That's right, it was 4 picks - not 3. I hope Hernandez returns soon, but I heard he might be out 4-6 weeks.

I can't believe New England lost to Buffalo. What's more surprising is Brady throwing 3 INTs. WTF!?!?

You're probably the only person in here who actually believes him.

Did EMalu just ridicule someone for their grammatical errors? Seriously?

None of the things you stated are a requirement to run a nation effectively. It's absurd to claim that they are. A solid understanding of law and jurisprudence, for example, is far more important. Also, the majority of successful individuals in America, as well as those in the world, have...

Then you should definitely not major in math. You'll see vectors in numerous courses after first year, including linear algebra, multivariable calculus, differential equations, etc.

More importantly, given that leftists consider the wealthy to be greedy, it's shocking that their answer to alleviating the "ever increasing gap between rich and poor" is more government. The wealthy have, and always will, use their power, wealth, and influence to "persuade" politicians to enact...

Unfortunately, the US Constitution does not outline such a responsibility. The Founders' intention was for the government to act in defense of individual liberties (ie against being physically hurt, stolen from, or aggressed against in any unreasonable manner) and to protect property rights and...

Not really. Most of the "nice theories about free market economics" are not based on utilitarianism, but rather deontological ethics. Utilitarianism is very silly.

Hey, thanks for offering! I only want the real time data to test a pricing model I made in Excel on a trading simulator. It's not for work or anything, so I don't really *need* it. I'm using the RTD function for the stock quote, and for the options data I just imported the info from yahoo...

I created an RTD Server in C# so that I can get real time data in Excel from yahoo finance. I know how to deal with stock data (just type in the ticker symbol for the stock - i.e. 'MSFT') however, it doesn't work when I do the same for options - MSFT110521C00017500 , for example. Anyone know...

Don't major in pure math.

Do both of you guys live on res?

Thanks! Regarding those admitted into the program - how many had previous work experience? What was the average GPA of those who got in? (Not sure if you would know this, but I tried searching online and could not find anything. I know Baruch has statistics on the average GPA of those admitted...

Hm, come to think of it, I may have seen him around. Though I haven't been on much lately, and I don't think he has either. I doubt I've talked with him since he started the program. I'd be down with a Toronto meetup.

An MMF student! Finally! I've never had the opportunity to speak with one before. Being from Toronto, UofT would be my first choice. What's the program like in terms of curriculum (is it heavy on programming, which language is used most frequently), workload, etc? Which companies have students...

I agree. I'd also go with PDE.

Yes, Gaussian quadrature is typically faster.

I'm also an undergrad, and I self studied C++ using the book "Absolute C++" by Walter Savitch. It was a great resource. Then I went through Daniel Duffy's "Introduction to C++ for Financial Engineers" in order to learn how to apply what I learned to financial modeling. None of the courses at...

Thanks!

So I'm writing code (in C++) for calculating the joint probability of default between two entities using the Gaussian Copula method (not for school or work - just to improve my C++ skills and to gain a better understanding of default risk, etc). I've been successful in implementing the copula...

I'm devastated.

Interesting. I'm going to be using it in my 4th year Real Analysis course.

Has anyone used/read Real Analysis by N.L. Carothers?

I was initially in a Commerce program, then transferred into Mathematics. When I made the switch, I was granted enough "transfer credits" so that my "electives" requirement (humanities, social sciences, etc) was waived. This is because I had already taken similar courses. So now I only have to...

Awesome interview.

Let's hope that's the case.

I doubt they put that in order of importance. From what I've seen, knowledge of Real Analysis would come in handy if you do Stochastic Calculus.

Nice! We get the same output, but yours is exponentially more efficient.

This is my attempt at the Fibonacci problem in C++. Keep in mind, I am a C++ noob. int Fibonacci(int n); int main( ) { int _sum = 0; int term; int bound = 4000000; int j = 1; do { term = Fibonacci(j); if (term % 2 == 0 && term <= bound) _sum += term...

Heh, I was born in Romania too. I came to Toronto when I was 5 though. Where did you go to school?

She's hot ......

This is what the PDE course (undergrad) at my school covers: Partial differential equations of mathematical physics (Heat Equation, Laplace Equation, Wave Equation) and their solutions in various coordinates, separation of variables in Cartesian coordinates, application of boundary conditions...

That's not true at all. Intro courses in analysis are offered at the undergrad level, and even more advanced courses that deal with measure theory & Lebesgue integration are offered for undergrads.

I think Ilya's never-ending quest for a quant job is worthy of its very own reality show.

I'm not sure what would be more beneficial in terms of MFE admission, but as far as learning the material, theoretical LA courses are very important. I'd go with the more theoretical LA course, and then opt for a numerical methods/computational linear algebra course instead of "Applications of...

Rotman MBA is well regarded - it always ranks near the top of every MBA ranking. They also have a "Risk Management & Financial Engineering" concentration in their MBA program. From their website: Topics Covered In this major you will learn about derivatives markets and how instruments such...

Calc I-III will take you 3 semesters, there's no way around that. However, you can, and probably should, take one of them in the summer to minimize the overall time it takes you to complete the Calculus stream. In addition, you'd have to take the courses that Ilya outlined (some of which you...

I think Canada would have experienced another "Great Depression" - though not in an economic sense. Hockey is like religion here. My Probability professor can't go one lecture without bringing it up in one way or another. To be honest, I haven't really followed hockey since the strike a few...

Heh! I'm actually going to a Leafs/Canadiens game on March the 20th I think it is. I'll be sitting in a VIP suite. :)

UofT MMF is a tough program to get in. Congrats! I'll be applying there after undergrad. Are you from Montreal originally?

If you had some programming experience (I don't think HTML counts) I'd say you should pick up a book like Absolute C++ and just start self-learning OOP in C++. That's what I did with minimal programming experience in VBA and Fortran, and the learning curve hasn't been as steep as I thought it...

But MFEs also accept students (albeit a very small percentage) with undergraduate degrees in business. As long as you have the necessary math/programming courses, your major doesn't matter. Those who want to apply to quantitative programs in finance and don't have the prereqs typically go back...

If you look at the websites of different MFE programs, you'll see several common prerequisites for just about all of them. Those being: linear algebra, calculus 1,2,3, probability theory (calculus based), differential equations, statistics, stochastic processes, and real analysis. I can't say...

I don't think he implied it was a bad thing. He seems pretty pumped - as he should be. Congrats, dude.

Excellent post. I agree 100%.

Can't this be said of most programs? Some people might choose academia over industry because they prefer a steady income and comparatively less stress. It might not have anything to do with whether or not they can actually be successful traders. It's a ridiculous standard to hold schools to.

There's a new program located in Hamilton, Ontario that's not on the list: McMaster University - Master's in Financial Mathematics

Then it just must not be that good.

Colts - but it will be close.

What math courses other then calculus have you taken?

Heh, I've actually started reading Absolute C++ too (and doing all of the exercises) - I'm on chapter 8. It's a pretty useful book.

I'm doing my undergrad at York (pure mathematics). Are you going to apply for the Graduate Diploma in FE if you get in/accept the York U offer?

Given that I am still doing my undergrad (mathematics) my knowledge of the field obviously isn't anywhere near what it is for most of the people on here. However, from what I've read and the topics I've been subject to, options pricing seems the most interesting to me. I've started coding (very)...

Would you recommend starting with a book that's more geared towards quantitative finance, or just general C++/OOP?

I want to pursue an MFE myself, so I've looked over numerous student profiles from top schools. Most have quantitative backgrounds, but there are some that don't. This is simply my opinion, but I'd say that it can be done - you just have to show strength in other areas. I'm not in an MFE...

Someone can correct me if I am wrong, but weren't complex derivatives created in large part due to companies wanting to avoid or get around certain regulations (IE capital requirements?) If so, then wouldn't there be as much, if not more, demand for financial engineers who can aid financial...

Yeah, York doesn't offer an MFE. They offer a Graduate diploma in Financial Engineering that can be taken concurrently with either an MBA, or a master's in Math.

I'm not exactly sure. My knowledge is limited. Maybe someone with experience can elaborate.

Isn't it mostly asset allocation/portfolio optimization?

Yes, it's always better to switch.

Though I have a feeling their programming skills are much more advanced than yours. Correct me if I'm wrong.

McMaster has a graduate math finance program? ---------- Post added at 02:40 PM ---------- Previous post was at 02:34 PM ---------- You're right! I haven't heard of it until now - it's fairly new. Of the nine students in the first graduating M-Phimac class of 2007-08, 8 students gained...

You mean math finance degrees from Canadian Universities, or just MFE in general? As far as math finance in Canada, UofT has a very good reputation, and from what I hear, a very good placement rate. It's a very reputable program, and respected by employers. I have not heard much about...

There really aren't that many opportunities for graduate studies in Quant Finance in Canada. UofT and U of W are the most notable. York University has a graduate diploma in FE that can be taken concurrently with an MBA or a Master's in Math. That's about it. I'm in Toronto, so I've done a lot...

Cool - thanks. Looks like the composition of the participants is mostly made up of MBAs.

Thanks! I live about 40 minutes from Rotman. I heard about RITC a while ago and was interested in participating, but was under the impression it was for graduate students. I'm assuming some of you have participated in past years?? What was your experience like?

Just wondering - who can participate? Is it solely for MFE or MBA? Can undergrads participate?

I'm still in undergrad, but I plan on applying to U of T's MMF (I'm in Toronto). That's probably the only Canadian program worth applying to - haven't heard much about Waterloo's MQF.

Even from a utilitarian standpoint, it doesn't make sense. I read somewhere that tax revenue declines as the capital gains tax increases. I'll try to find it.

Pelosi's 5.4% income surtax would hit capital gains and dividends. Our job is to read bad legislation so you don't have to, and on that score we may demand combat pay for plowing our way through the House health-care bill that passed on Saturday. This thing has economic booby traps everywhere...

I agree with the previous two posters. I don't see how anyone can legitimately and seriously discredit the usefulness of pure mathematics, when a large part of the mathematics that is applicable to the real world is derived from it.

I haven't either. What have you covered in your LA course?

Heh - that was funny. Anyways, he makes some good points in his Calculus vs Linear Algebra discussion. My first LA course was very abstract and proof-heavy - I found it pretty interesting actually. More challenging, but also more enjoyable than Calc I-II.

Interesting video. I actually enjoyed the part about the random triangle.

I wish I could have added more choices - I would have added more pure math courses as options. However, with the max 10 restriction, I decided to go more with applied math courses, given that this is a FE forum. Although there is an 'other' option.

Which course did you find most interesting/intellectually stimulating/fun/whatever criteria you use to determine your favorite undergraduate math course?

If you like math, then go for it - it can't hurt to bring something to the table that most of the people you will be competing with won't have. And like you said, it would potentially provide you with an opportunity to move into quantitative finance down the road. But again, the majority of...

I assume typical investment banking roles (mergers & acquisitions, underwriting, etc) don't require you to know anything beyond addition/subtraction/division/multiplication. Same with Equity Research roles that use fundamental analysis. Just based on the requirements for these positions (and...

Given that I'm an undergrad myself, I can't give you too much advice, but I'm just wondering what you mean by "want to develop a more mathematical approach to finance"? For what purpose? Do you want to go into quantitative finance? There are plenty of other areas in finance for which your...

The Probability course I will be taking will actualy be using Pitman's book. That's why I asked. But thanks - I'll check out what you recommended.

Has anyone read Jim Pitman's book? Any thoughts?

A new study looks at the average LSAT scores of students with different undergraduate majors, sometimes grouping related fields together to gather a statistically significant sample. And the best scores were attained by students studying: Physics/Math (160.0) Economics (157.4)...

In terms of MFE preparation: A course in Operations Research, or Numerical Methods?

We can start our own HFT firm. If you can't beat them - hire them.

Isn't it true though, that an MFE won't get you a pure quant job (or at least not as readily as a PhD in math/physics/engineering)? At least that's what I've heard/read. Correct me if I'm wrong.

I wouldn't trust anything Global Derivatives says. They claim York University (in Toronto) has a MSc in Financial Engineering, when in reality it's a graduate diploma in Financial Engineering that can be taken concurrently with a Master's in Math, or an MBA. And it was ranked 14th in 2004.

lol @ being charged with prostitution. I agree that she was embarrassingly desparate, but that's just ridiculous.

Peter Carr has a PhD in Finance, a BCom in Accounting/Econ, and an MBA. So it isn't completely undoable to gain entry into quantitative finance - though I'm sure he's an exception, rather than the rule.

Financial Accounting is easy, but boring - excruciatingly so. I had trouble staying awake for the lectures, but got an A in the course. Not sure if you're going to take courses in the summer and if so how many - but if you only take 1 or 2, I would wait and take the 2nd analysis course then...

Are you taking only 1 class in the spring?

That's why you take analysis during the summer by itself. ;)

Unless that firm is run by Myron Scholes and Robert Merton.

He doesn't teach in the program. He teaches a derivatives course to business students.

Why not apply to Waterloo's Master of Quantitative Finance program if you want to be a quant?

Good response. Thanks!

So what's the difference between the programming a quantitative analyst does, as opposed to a quant developer?

This may seem like a naive question - but why don't financial institutions have quants simply focus on developing the algorithms (for pricing derivatives for example) and have programmers implement them in C++ or whatever.

We have a stochastic calculus for finance course (graduate) here that we can take in undergrad, too. It's pretty sweet.

I'm actually going to be taking a course that's very similar to the first one you posted.

This is true, and I agree 100%. I'm in Canada (and my preference would be to attend UofT's MMF program) yet I feel like I've learned a lot from everyone here about financial engineering.

LOL @ Michael Moore. That is all.

I've used VBA for modeling (I have Sengupta's and Benninga's books on Financial modeling in Excel/VBA and I've done most of the exercises in them). Other then that, I've used Fortran, Maple, and Matlab for some of my math courses. I shouldn't say I took an "intro C++ course" - it was mostly...

Given that I need to significantly enhance my C++ skills between now and when I apply for MFE (I've only taken an intro course) I decided to take another C++ course next semester. Just wondering what some of you think of this, in terms of how well it would prepare me for MFE: OBJECT ORIENTED...

I was wondering how beneficial an Applied Mathematics MSc would be for pursuing a career in QF. It's a 2 year, thesis-based/research-oriented program, where you have to complete 5 courses and participate regularly in graduate seminars. The courses I would be taking: Analysis and...

So I have a "project course" coming up in 4th year, geared towards researching and applying mathematical/statistical knowledge to problems of current interest. Any suggestions on what topic I should focus on, given that my goal is to apply to MFE? What would look good on an MFE application?

If you like econ, why not just stick with it? Do what you're interested in, and if it coincides with the requirements for MFE, then great. If not, then at least you'll have a degree under your belt with which you can find a career you'll enjoy. You'll probably be more successful doing...

It seems like an interesting course. Does it seem like good preparation for MFE? I'm probably going to take it anyhow, I was just curious what some of you think. Computational Mathematics Modelling (discrete and continuous, deterministic and stochastic) and practical solutions to general...

You could pursue a career in Operations Research - which would be pretty cool.

I'm in Canada. York University.

I know, I'll be taking the other two courses I posted.

I would take 4200 and 4280.

My school also offers a similar course that gives an intro to both ordinary & partial differential equations: Differential Equations for Scientists and Engineers Introduction to ordinary and partial differential equations, including their classification, boundary conditions, and methods of...

That's weird. My school offers ODE and PDE separately. I'm actually really looking forward to PDE.

I'm only an undergrad (pure mathematics) so I'm sure some of the other posters who are currently in MFE/have graduated, can provide you with better, more indepth advice - but I have selected my courses based on the advice of professors and members of this forum who are more familiar with what it...

The real smart people are those who majored in History, English, Art, and other nonquant majors, who were able to not only get accepted into MFE but to graduate without years of math experience. I don't know about you, but I have a great deal of respect for those people. ^ And this is coming...

It's interesting to see that a lot of undergraduate stochastic processes courses don't cover Brownian Motion. At my school, BM is the final topic covered in "Stochastic Processes" (we also cover martingales in "Probability Models"). To those of you who are in MFE or have graduated from MFE and...

Math > finance