Sorry for the delay. For some reason I did not get any notification emails about the new posts.Hello Weiyi, Yun, Sam and Scott,
Many thanks at the outset for helping us.. I see that all of you have done internships at reputed firms, I will be grateful if you throw some light on
a) How a typical day look like and what are the areas ( projects in brief) you have worked on?
b) what major concepts of programming and mathematics were used and what programming languages were used?
c) I am 2013 passed out CS graduate with GPA (9.1/10). I am currently working in SAP ( not in coding space). Its been three years I left Math and coding. I consider myself average in both math and programming. May I know what you felt you should have already known before entering the program and should I defer to next year if I get an admit to get some finance experience ( I dont have finance exp now) and give myself more time to be well versed with Advanced Math and Competitive coding.
P.S: I have been trading equities/derivatives from two years and want to work in Hedge fund/Prop trading firms. So, I am considering MFE.
Thanks Again & Happy Weekend,
a) A typical day consists of working on homework and my capstone project for several hours and then attending a class 6-9pm.
Each class has unique projects/homeworks to work on. As an example, in our FX class we had one homework problem that required us to calibrate the local volatilities of a mixed local vol/stochastic vol model to some benchmark volatilities and then price a knockout option using the calibrated volatility surface.
b) Prerequisite info is here: Application Process - Baruch MFE Program
In particular, C++ knowledge is quite important. Throughout the program, we used C++, Python, R, and Matlab (plus a little VBA and Q). You don't need to know all those languages coming into the program, but you definitely need to be quite comfortable with programming so that you have an easy time picking up new languages. Knowledge of object oriented programming is also very important.
In regards to math skills...
You definitely need a solid background in calculus, linear algebra, probability, and some statistics.
c) If you have the programming and math skills above, then you should be fine. You should also be coming in with some basic knowledge of wall street.
In regards to whether you should defer an admit...
If the program accepts you, it means that they feel you are well prepared for the program and will be a very strong potential employee coming out of the program. So if you are accepted, I don't think you should defer to gain more experience. This is just my opinion though, so you may want a second opinion.