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I am just wondering, what sort of models (generally speaking) do vanilla equity trading shops use? Obviously, valuation is not the issue, but i imagine one would want something that fits well to the steep short dated skews, has reasonably stable calibration, and produces accurate greeks (eg...

I always found the "top jobs" surveys a bit odd. And I suppose by philosopher, they mean TENURED professor of philosophy. Which is a pretty cushy gig if you can get one of the say, 50 openings in the country every year.

My 2 cents: For the vast majority of jobs, nobody asked me what my GPA was. I also know a number of people who found jobs and didn't include their GPAs on their resume. That having been said, listing a 4.0 on your resume can probably only help. I'd stick it right next to your degree title, so...

I suspect S&T will like the quantitive training + finance degree, even if you aren't going to be doing a quantitative job. There's also a good chance you'll find it an analyst position in S&T more interesting/rigorous than an analyst posiiton in IB.

Hard to say - which schools are safety schools depends on the candidate. Also, I'd note that QF is a relatively small field, and MFEs aren't cheap... going to a school outside the top dozen or so, it may be challenging to get job interviews.

NYU has a couple of courses you can take that relate to algo top by top names, I'd also say that NYU (at least superficially) has a bit more a buy-side emphasis than the other programs I looked at... as far as faculty, I've found them to be quite good, even though most of them have day jobs. As...

NYU has a couple of courses you can take that relate to algo top by top names, I'd also say that NYU (at least superficially) has a bit more a buy-side emphasis than the other programs I looked at... as far as faculty, I've found them to be quite good, even though most of them have day jobs. As...

Some assignments require you to use a particular language, while others leave it up to you what to use. I'd say its been about 1/3 C/C++, 1/3 MATLAB, 1/3 whatever you want (could be VBA). That last 1/3 depends on the assignment (ie, if there's a lot of linear algebra, makes sense to use...

Some assignments require you to use a particular language, while others leave it up to you what to use. I'd say its been about 1/3 C/C++, 1/3 MATLAB, 1/3 whatever you want (could be VBA). That last 1/3 depends on the assignment (ie, if there's a lot of linear algebra, makes sense to use...

Just a quick comment on NYU (as I am a student there) - I don't think the program is especially theoretical. With the exception of Stochastic Calculus, most of the courses have been pretty practical/applications focused. There is a decent amount of work that involves programming in C++, but they...

Just a quick comment on NYU (as I am a student there) - I don't think the program is especially theoretical. With the exception of Stochastic Calculus, most of the courses have been pretty practical/applications focused. There is a decent amount of work that involves programming in C++, but they...

Just to piggyback, Wilmott's book requires a solid understanding of calculus and linear algebra.

Volatility - Financial Conferences - Baruch College I'm sure some of you know about this - it looks pretty interesting, although the price tag is a bit steep for students. Any of you planning on attending?

The blurb on Amazon says its aimed at graduate students and professional mathematicians. Looking at the table of contents, it's definitely not aimed at people who don't know a lot of analysis.

Evans is hardcore analysis... definitely not what you're looking for

Partial Differential Equations for Scientists and Engineers by Stanley Farlow is a decent enough (and cheap enough) book as far as solving PDEs analytically. Doesn't have a lot of exercises, though, and doesn't address some of the more theoretical issues. Also, the Schaum's Outline of PDE...

There was this great bridge player who used to run one of the banks here...

Where in the world, then, is this going on? I've never heard anything about the subversive arts scene in, say, Dubai, or China, so I'd assume that if there is one, it's so far underground as to never see the light of day. I've spent some time in Europe, and as far as I could tell, the consumer...

I believe the preferred nomenclature is "gunslinger," not "washed up."

The advice I received last year (from a few few profs and PhD students doing financial maths, people in the industry may very well have a different opinion) when I was in a similar position was that you shouldn't do a PhD if you're looking to find a pot of gold at the end of the rainbow. It's a...

It seems like a pretty silly ranking, as they don't attempt to explain their methodology or provide any commentary on the programs. It's unfortunate, as it could be a useful resource, given the general paucity of information available to prospective students. In all likelihood, they slapped...

YTD, once you factor in park effects, Bay is only a very slight downgrade in terms of offensive performance... Also, he's much cheaper, which will afford the Sox some more flexibility this off-season (assuming they were to pick up Manny's option). EDIT: It seems the Red Sox are paying 7...

I'm surprised no one has mentioned Cialdini's book, Influence. It's a good read, and is focused more on marketing/sales techniques.

I do work at a municipal broker dealer, so I do have some experience with finance, albeit a bit out of the mainstream. Having read my previous opinion, yes the opinion comes off as a bit "stronger" than i intended: I merely meant to say that every book on quantitative finance I've read (and...

Perhaps a name change is in order?:D

maybe University of Minnesota's financial math program? http://www.math.umn.edu/finmath/

Learning Calculus/Probability should probably be your # 1 priority, if you want to get onto the quant side of things. While programming on the whole is probably more important on the job, you'll need to have a solid understanding of the the underlying maths before you can even start to read...

Slight threadjack here: PE shops have quant teams? I had no idea. I thought they were entirely fundamentals-driven.

I did this with C-style pointers, which is (IMHO) pretty straightforward. I came up with the following for a functor solution. I would think it would maybe involve have a base function class, and inherited classes that return a value, ie something like: Class Function { public: Function(){}...

You can find copies of Shreve's book online for fairly cheap, 50 bucks or less, but if you're wedded to stuff that's free and online, I've got a few links. Here a few course notes that basically make up a course in stochastic calc...

I find it a bit odd that the CUNY schools aren't offering it... are you sure you're looking in the right place? In any event, I know for a fact that NYU and Columbia offer it in the fall. Needless to say, it's more expensive.

Sort of. I read somewhere (Wilmott, probably) that there were government quant jobs. The entire discussion was framed in the context of the state's inability to attract good quants, namely because they were low-paid. Hence, my inference.

To be fair, we don't what the job was... maybe it was a bonus/equity heavy job at a start-up. Or maybe they're the high-minded sort and took a government job.

Ilya, Are you going into your senior year? Are you aware that some firms recruit for quants at the undergraduate level, ie they specifically recruit for analyst-level jobs? If you're coming out of Lehigh, have a degree in the maths/sciences, can program, and have taken MFE-courses, you should...

Eugene actually has a good idea. An entry level actuary position pays a pretty decent wage, with reasonable hours, so it would be feasible to study part-time, or full-time if you're particularly intense. I also know that many insurance companies give you time to study for the actuarial exams...

Hey everyone - I'm looking for a good text on numerical analysis, particularly the linear algebra side. Any recommendations?

Both of Rudin's books are very good - particularly Principles of Mathematical Analysis, although be prepared to spend some time on it. You might want to look into "Real Mathematical Analysis" by Charles Pugh, it's at the same level as Rudin in terms of rigour, covers the same material, but...

The property taxes can be quite high... but that varies from town to town, and also varies depending on how large the property you own is. Car insurance can also be brutal, particularly if you have a teenaged son. As far as the tax bracket goes, you can probably find that info on this website...

Tax-wise, there's a small benefit to living in New Jersey. You have to pay NY&NJ taxes, although you can credit your (non-resident) NY taxes against your NJ taxes, which are slightly lower. Generally speaking, housing prices in NJ are quite high, although nowhere near what it costs to buy an...

Hey guys, just to let you know, I'll be sitting in on the Market and Credit Risk Management Class on Monday night... if any of you are in the class, or are otherwise around, and want to, say, grab a drink afterwards, let me know.

In general, what would you guys say is the amount of C++ one should know coming into the program? I mean, obviously, the more, the better, but what would you say is the minimal level one would need to be comfortable in the first semester classes here?

Satnam - a few of my friends have recommended that book to me. I'll be sure to check it out. Thanks. Andy - Thanks as well. Liar's Poker is one of my favorites. One of my friends, who works in finance, recently had to work on a deal with the Human Piranha. Apparently he doesn't drop f-bombs all...

Hi everyone! My name is Chris, I'm an applicant for Fall 2008. I just graduated from NYU (technically, the date my diploma is posted is 1/25, but I digress). While there, I majored in Math. I took a lot of grad-level courses there, mostly in pure math. To be more precise, I took two semesters...

When should the first round of applicants expect to hear back from the department?

I am wondering if anyone can tell me about the obvious differences between Columbia's two programs: MS in Financial Engineering in the IEOR dept, and the MA in Financial Math in the Math Dept. In terms of coursework, how do they differ? Relative strengths/weaknesses? Which one would you say...