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Monte carlo gives me 11.475%. Don't have an analytical expression though.

Lol is that sarcasm ? :-k

Trying to decipher how the computerized test is graded is an exercise in futility. You can probably make better use of your time by practising the questions. If you have any kind of quantitative education experience, it should be cake walk to get 780-800. 7% of all test takers getting 800 should...

What about Oksendal ? Like the first 5 chapters + some later material on diffusions ?

If you can solve with total confidence the problems on stochastic calculus in "Heard on the street" and Mark Joshi's interview book, you should be good to go. In interviews, the questions focus on basics. I think a lot of people struggle answering basic questions but have spent too much time on...

He was probably playing the Martingale. :-)

Yes hedge funds are more likely to have such positions, but Goldman Sachs has it too. Well I said CS background, because by nature algo-trading would involve more programming than traditional quant positions. As a CS grad, you probably have more background in data structures, algorithms...

There is a master reading list in the books forum you may want to have a look at. If you have a CS background, maybe gearing yourself towards algo-trading/stat-arb positions than derivative-pricing might be a good idea. But it depends on your priorities of course. I am preparing for...

To tackle these problems, the neoliberal model adopted by India will not work. Again, I am going off-topic with regard to the original post. Surely you don't think there is equitable growth in China ? And isn't China too a low cost producer vastly dependent on US/West. The difference being...

Wiki "monty hall problem"

They are not on the same level but I am sure US will like to see them at the same level sooner than later. More power to them. :) And what about the Chinese literate ? They are literate w.r.t to Germany ? And why do you believe all the numbers that come out of China anyways ? What is the level...

I don't think the universities in US will take your word on the conversion from your scale to GPA. You don't need to do anything if your university is known here.

I will repeat my opinion. Keep it simple AND keep it general at undergrad level. I would advise against doing a IE-OR or Finance undergrad (maybe you can get a minor..MAYBE). Learn lots of math, and also learn how to apply it (be it through physics or engineering classes). And get very good at...

Anything I say should be taken with grain of salt since I am an engineering PhD student. You need to show some interest in what people are doing in the department, but usually, it is not a wise idea to single out ONE professor in your SOP. Ofcourse, if you have already talked to him and his...

What do you mean PhD in quant ? You mean financial mathematics ? It is absolutely not necessary to have a topic to get admit into a PhD program, as far as engineering is concered. Don't know about math though.

@Goillini: I am not a MFE but a soon-to-be engineering PhD, but you have a PM.

I would take it any day and would rather prefer such a role, if it is paying ~120K or more (inc. bonuses).

And I want to earn my PhD. to give the models I design more credibility. Whats up with PhD bashing ? All PhDs are cowering timid individuals ? And whats wrong with wanting a steady job ? In my opinions, all MBAs are 24x7 BS machines...so what ?

And how ironic is it that Taleb is a PhD and MBA from Wharton ?

Fair enough. We will see how it goes. but when you say "They can't teach me"...I find that odd. They are not supposed to teach you..you have to use the opportunity to learn, especially at this level. I got undergrad at 21 and will be done with a PhD before I turn 26, and I would say I enjoyed...

Errm..was just talking about your extensive use of long-MBA-esque words. I am about to complete my Ph.D. and never had such discussion. Am I screwed. :-ss

Damn thats a lot of hard GRE words you used there, AJ.

There is a whole lot of progress that has been made because of the abstract math people have come up with over the years. There is simply no end to the kind of stuff that has been find useful which was supposedly useless at the time of its creation. Cryptography evolved from number theory...

I was looking at craigslist and some other places, and it seems like there are plenty of studio apartments available in Manhattan itself for like $1500-1800 range. http://newyork.craigslist.org/search/nfa/mnh?query=&catAbbreviation=nfa&minAsk=1400&maxAsk=1800&bedrooms=&neighborhood= If you are...

Well the only obvious application is in optimization but from a personal experience, a math course in calculus of variations was the most boring and dry course I took...I think you can pick up stuff if need be but I don't see this method mentioned among any of the hot skills required in quant...

I am pretty sure a lot of Math/Physics PhDs who are quants now are familiar with a lot of those areas. I worked in classical mechanics/geometric mechanics myself and also took a course in topology/smooth manifolds (pretty hard btw).

Oh sir I definitely agree. I would be the first to admit my math education hasn't been very well planned, but that is partly due to the fact that I jumped from engineering in undergrad to applied math type stuff in grad school (applied dynamical systems). I read up material on finite dimensional...

As an engineering student, when I took undergrad real analysis (baby Rudin) in my first year in grad school, it was pretty great experience, and my first time taking a 'REAL' math course (i.e. theorem-lemma-proof). After that I was hooked, and took another real analysis course and then took a 2...

You put it along the ways I was thinking. I am for not a single moment arguing whether we should be doing it or not, all I am saying is quant finance it is not science. There is a lot of "art" in it.

All I am saying is that what people learn in MFE and do in a quant job is not science...

I think you need to go through this process through a lawyer. Talk to your univ's international student affairs office, they can direct you to one. Immigration lawyers handle these cases on a daily basis with 100% success rate. I am an international(indian) student and I intend to go that...

Nooooooooooooooooooooooooooooooooooooooooo! Call MFE a goldmine if you wish, but don't call it a science program :P

I am differentiating between traders and FO quants who sit next to traders on the floor. For a trader, PhD is not a big advantage (and folks at Wilmott say it is discouraged). Traders need a skill set different from quants. For any quant roles, and of course hedge fund positions, PhD is...

From what I have understood so far, to become a trader, PhD is not at all required (and kinda discouraged). But if you want to modelling and become a proper quant, PhD is a big help. In the whole world, the only job you absolutely NEED a PhD is in academia.

Renaissance technologies could be 2 feet away from Stony Brook but it cannot match MIT. Anyways, on topic: you seem to be a really self driven guy. If I were in your position, and could get a PhD. admit to a top univ, I would take it. And it would be far more easy to motivate your self if you...

What degree are you applying for ? PhD interviews are mostly fit (and also rare) but MFE interviews from what I have heard from my friends are a mix of soft skill questions as well as very basic math/stat questions.

No, I am not on any CFA forums or anything. I am on Wilmott with same id but thats it. I am all for not buying into all the hype and understanding my competencies and limitations. I am engineering PhD. student with a research involving analysis, numerical algos, probability and differential...

You have to shine somehow or the other...you can bedazzle the banks and get a traditional quant job doing stochastic calculus and other quanty stuff. Or you can become a master C++ programmer and work for these hedge funds.

I know atleast 20 people who came to US around 2005 (for MS and PhD) and have really nice jobs already in all kinds of industries, not just finance. Plus have you looked at recent international IIM placements ? They are already back on track. I know, but it is only because of the financial...

Disagree. I graduated from IIT in 2005 and about 25% of my class is in US, and most of them were in top 20% of the graduating class. And another 10% will be here once they get out of IIMs and get plum US postings. Starting salary of $25K in India is good, but opportunities in India are still...

Enlighten me please.....

What is that supposed to mean " Never need to rely on H1-B". H1-B is a way to get people into the country. If there are NO H1-Bs, those companies will get the best available talent in US. If H1-B are available, those companies will get the best available talent in the world (which will include...

You have plenty of time to pick and choose courses later on. Right now, your focus should be on doing well in your chosen courses rather than any kind of self study. If your university is any good, you should be having hard time absorbing all the courses you are taking already (and having any...

Yep, Math and Physics situation is worse than engineering.

Definitely!! I don't know how much research Finance professors get to do, but I would kill to have a tenure track faculty position (like 100000 others). I am finishing engineering PhD next year, but my adviser has made it clear that there is no way in hell I would get a tenure track position at...

Hahaha, he is the madoff of job applications.

I think you are mistaken.

I think there is an error in the calculation. The answer I get is 275/1296

Is it typo that you have taken P(tells truth)=1/4 rather than 3/4 .... if the decision to lie is independent of the roll, then Numerator= P(rolls 6 And report 6)=P(rolls 6)P(reports 6)=(1/6)(3/4)=1/8 Denominator=P(reports 6)=1/6 so P(rolls 6 | reports 6)= (1/8)/(1/6)=3/4 ???? So in your...

Well, the time when there will be no ants between -(n+1) and (n+1) is simply 2n+2 . Lets say you don't need to keep track of where each ant is...then you can assume when the ants collide, they just go through each other without changing direction...this doesn't change the basic problem ..so now...

After one iteration is it (1.414)^(1.414) which is approximately 1.635.

I agree. I just thought we were talking more in context of finance / math finance.

False. Real analysis is essential to get any kind of deep understanding of ODEs, PDEs, Stochastic processes (and SDEs, since measure theory is basically taught graduate level real analysis).

The first problem can be solved by simply drawing the graph of altitude Vs time of the day, for both the days (on the same plot). The two curves have to meet somewhere. Q.E.D

Starting salary may be 60-120K, but it is the bonus which is the game changer and the main difference between an IT position and a quant position in terms of salary. Experienced quants get anywhere from 50-100%(or more) of base salary as bonus.

Hinduism is more a culture and a way of life too. It is a very inclusive religion.

What is the motivation for you to get into this field except for the $$ ? Have you read any math related to MFE ? Does it look interesting ? You don't have to so negative about your abilities and prospects. It is not too hard to do a semester long research project during your senior year on...

I think it is pretty much futile to find a logical reasoning to a religion. Science and religion don't mix. If you want to find a logical reasoning to life, pick up a science book instead of Bible/Quran/Gita. For me, there is something of value to be read each holy book, and I see it more of a...

I agree with GoIllini's thoughts.

Because in India, students prepare for entrance into IITs and the coursework in Math required for IIT entrace examination (JEE) is quite different from what is on International Math Olympiads. For example, there is no calculus in Olympiads, but it forms a big chunk of Math exam for IIT-JEE...

From top of my head, I would say look into numerical analysis type course. They usually have a nice mix of math and implementation. One great thing to do is to build up your set of tools(and hence a library) in either C++ or C# when you take such courses.

Purely as undergraduate engineering institutions they are world class, and at par with ANY engineering school in the world (MIT/Berkeley/Technion/Sharif). But there is not enough research activity (no money) and the graduate students in IITs are not of good quality (less than 1% of IIT...

Entirely possible but one reason I can see is that during 80s and 90s, the almost all top achievers in IIT used to come to US. These days due to more opportunities in India, a lot of them stay in India, and a major % of ones that do come here may not be the very best among IITians.

http://www.cbsnews.com/stories/2003/06/19/60minutes/main559476.shtml Imported from India: CBS article What is America's most valuable import from India? It may very well be brainpower. Hundreds of thousands of well-educated Indians have come to the U.S. in recent decades - many to work in...

Seriously, even trying to compare UPenn to Berkeley in Engineering/CS is big joke. UPenn is not even in the same league (that league being MIT/Stanford/Princeton/Berkeley). If you break up the top 25 engineering schools into 3 tiers, UPenn will be in the 3rd tier, while UIUC,Gatech,UT-Austin...

Illinois, Berkeley, and Georgia Tech engineering and CS kicks UPenn's arse any time. Look at the rankings of engineering schools. UPenn, for all its Ivy-League awesomness doesn't hold a candle to the above 3. UPenn has very small engineering departments (I know ME has like 20 faculty...

Why would you go into a physics PhD. knowing you want a quant job ? Anyways, you turned down Stanford ? thats something!!! I have hard time believing Waterloo theoretical physics is better than Stanford.

Yes, I think they are still interviewing. I already informed the quant guy I met that I had no experience in finance. So I am thinking I still have a shot if he is willing to interview me. Puzzles ? Were they the "heard on street" variety ? Were there probability questions ? Thanks for the help.

Yes, thats how it happened. I got hired on campus and called to visit the company. I met a guy in the quant group on the visit and asked him about quant positions. So he looked at my resume and told me to contact him. I don't have any experience, I am trying to finish up my PhD in dynamical...

Hey Alok, Thanks for the tips. I had initially applied through the on-campus recruiting, and I was selected for the financial software developer position after a couple of face to face on campus interviews, which mostly consisted of puzzles/coding questions. Then I met some people at...

I have a phone interview for a quant position at Bloomberg. It might happen in the next 2 days. Any last minute tips ? Thanks!! I have not claimed any finance knowledge in my resume, just lots of math and programming. I have cleared an intial basic interview where they asked me some puzzles and...

Agree. Analysis class in grad school was the first time I realized that all the Math I learned in college during my engineering degree was very superficial. So I promptly went ahead and took 3 more analysis courses.

I was wondering if any of you have worked at Bloomberg or happen to know the kind of quant work that Bloomberg does. Any info would be great.

Draw pictures of the math you do and plenty of them.

What do you not understand in the derivation ? All you have to do is compare coefficients of powers of z on both sides of equations 73. The derivation is given right below the formula in the pdf you posted.

I think C++ is NOT the place to learn pointers. You should already be somewhat confident about them (i.e. when you learn C). There is way too many new concepts to learn at C++ level to be worried about basics of pointers. If you can allocate/de-allocate memory , can pass by reference , handle...

I never prepared for GRE quant (nobody in my school did but we all got 800 but most of us spent 2+ months on verbal) but I taught a GRE prep class over the summer and they used the book "GRE Victory" by Cambridge Educational services. It is a big book but it has all kinds of solved and unsolved...

IS Goto available ? I am guessing not.

To OP: Do not think too much about MFE while you still haven't started your bachelor's degree yet. Seriously, it is way too far in the future and you have too much to learn before you even realize what you want to do. I advice is to follow your heart right now, and get a traditional degree...

I was searching for "Quant jobs for PhD." and found it on google.

Elementary real analysis by Rudin (or Baby Rudin) is still the Gold Standard. It will go well with your required textbook.

@Andy: Thanks for your reply. I have been looking at various previous threads on the forum, and have also had a look at the list of books in that thread. I have read the first of those guides but not on structuring. I will do that next. I have started working on the "Heard on the street" book...

Engineering (highly mathematical) PhD.: Resume Help Hi, I am 5th year PhD. student , and I am planning to graduate in May-10. I have a mechanical engineering degree from IIT (India) and my PhD. is in applied dynamical systems in an engineering department (Ranked in top-15). I have also...