Computer Science VS Financial Engineering

[SekharNY]

Having read various thread on" quantnet.com", it is really interesting to read from Alumni and current students about the MFE as well as other related trends and news. Every questions seems to be answered within few hours or atleast within 24 hours , which is incredible. This shows how dedicated everybody are in here, despite their tight schedule.

My Question is as follows:

***Computer science involves lots of math course ,programming, databases, networking to assembly language classes. I think a headhunter, in this forum and Mr. SteveTownSend even pointed the importance of C++ programming. But MFE only involves one C++ course, with heavy emphasis on Maths, and I bet nobody can rely just on the school course on C++, but rather practice and further enhance their skills on their own. My main quesiton is, can somebody with a finance background(BBA) as well as Computer Information System(MS) degree with (C++ background) get hired as MFE graduates?( I do acknowldege that MFE graduates could work in the IT dept, as a Trader, quantitative Analyst and Risk Management ).

(MFE seems to overemphasize on math courses, whereas Computer Science or Informaiton Systems is into Programming, networking and databases.)

****I would like to know the limitations or potentials of the two majors, MFE VS CIS.


Your inputs or thoughts are highly appreciated.

Thank You,

SekharNY

 

[SteveTownsend]

Mr. SteveTownSend even pointed the importance of C++ programming

Bear in mind that my own background is in IT - even though it's pretty close to the Fixed Income Derivatives business, I am not programming models. The closest I get is as a user of Credit Suisse's internal quant models (from the GMAG team). So of course, C++ (and C#) is my bias.

People actually working as quants or quant devs will have far better info on how much C++ is actually used in those areas.

Although there are only two "pure" C++ courses in the MFE curriculum (MTH9815, MTH 9871), my impression is that programming features heavily in some if not all of the other courses. This is not a theoretically-oriented program. otoh if you want a job at Google, do the CIS.

If you do CIS instead of MFE as a Masters, you will be competing against people who have done very 12-18 months of specialized programming, targeting the area you want to get into. How do you think your chances are compared to theirs?

 

[Andy Nguyen]

It's much harder for people to do MFE without prior background in programming/math/engineering. Finance background will help but at the end of the day, you will have to sit in front of a computer and start coding. There isn't anyway around it.

You see that there is one course dedicated to C++ (9815) but keep in mind that there are 4,5 other courses where you do substantial amount of work in C++.
Example: in 9821 (Numerical linear algebra) alone, each students wrote anywhere from 5000-10,000 lines of code that covers everything from matrix class, options pricing class.

Also, keep in mind that at other MFE programs, you may not do any C++ at all. You will do Matlab/Excel instead.

As for your main question, prior to this whole MFE thing getting popular, people with various background, degrees have been working as quant for years so it shouldn't stop you from getting a job similar like ones MFE graduates get.

During my visit with UBS last week, it was confirmed that they will hire more MFE and less MBA. Or at least, that's the intention and plan they try to implement. This came directly from their managing directors and head of MBA recruiting people during that meeting.

 

[Yuriy]

It all depends on a person. One of my friends knows almost nothing about Math, but has been working as a Java programmer for the past N years. Currently he is at JPMorgan and before that he was working for a company dealing with finance as well. And he only has BS in CS

 

[SekharNY]

It's much harder for people to do MFE without prior background in programming/math/engineering. Finance background will help but at the end of the day, you will have to sit in front of a computer and start coding. There isn't anyway around it.

You see that there is one course dedicated to C++ (9815) but keep in mind that there are 4,5 other courses where you do substantial amount of work in C++.
Example: in 9821 (Numerical linear algebra) alone, each students wrote anywhere from 5000-10,000 lines of code that covers everything from matrix class, options pricing class.

Also, keep in mind that at other MFE programs, you may not do any C++ at all. You will do Matlab/Excel instead.

As for your main question, prior to this whole MFE thing getting popular, people with various background, degrees have been working as quant for years so it shouldn't stop you from getting a job similar like ones MFE graduates get.

During my visit with UBS last week, it was confirmed that they will hire more MFE and less MBA. Or at least, that's the intention and plan they try to implement. This came directly from their managing directors and head of MBA recruiting people during that meeting.

Thank you for clarifications Andy.

 

[SekharNY]

Thank You

Bear in mind that my own background is in IT - even though it's pretty close to the Fixed Income Derivatives business, I am not programming models. The closest I get is as a user of Credit Suisse's internal quant models (from the GMAG team). So of course, C++ (and C#) is my bias.

People actually working as quants or quant devs will have far better info on how much C++ is actually used in those areas.

Although there are only two "pure" C++ courses in the MFE curriculum (MTH9815, MTH 9871), my impression is that programming features heavily in some if not all of the other courses. This is not a theoretically-oriented program. otoh if you want a job at Google, do the CIS.

If you do CIS instead of MFE as a Masters, you will be competing against people who have done very 12-18 months of specialized programming, targeting the area you want to get into. How do you think your chances are compared to theirs?

Thanks a lot Mr Townsend for the details..........

 

[Yuriy]

By the way, the Interest Rates course also has C++ component (at least, it had when I took it). We were studying interest rates models and their implementation.

 

[Yuriy]

Also, keep in mind that at other MFE programs, you may not do any C++ at all. You will do Matlab/Excel instead.

I think I know one such program (at my undergrad school). They don't teach C++ at all and none of their courses involve C++ They will probably introduce C++ in the future.

 

[Andy Nguyen]

By the way, the Interest Rates course also has C++ component (at least, it had when I took it). We were studying interest rates models and their implementation.

Yuriy,
I'm taking that class this semester so can you describe the type of work/project you did in that class ? is it anything close to what we did in structured finance course

 

[Yuriy]

Yuriy,
I'm taking that class this semester so can you describe the type of work/project you did in that class ? is it anything close to what we did in structured finance course

Andy, no it was different there was no "legal component" in the course, we were studying various interest rate models. Check the Hull's book (chapters on interest rates), parts of what we did are there. I am almost sure that you will be doing something different and more involving. I remember writing C++ code to price some interest rate derivatives (don't remember which ones). I was actually taking a similar course at CMU so it is hard to tell what and where I learned that semester

 

[Andy Nguyen]

Saw this article on NYT which has reported on the increase on number of students enrolling in CS after years of decline due to other attractive fields such as financial engineering and investment banking.
http://www.nytimes.com/2009/03/17/science/17comp.html

The latest report uncovered a series of bright spots for an academic discipline that underwent a midlife crisis after the dot-com collapse beginning in 2000. After a wave of students came to the discipline during the Internet boom, there was an equivalent decline during the past eight years as the nation’s college students decided en masse that the future lay in fields like investment banking and financial engineering.

 

[Stefan Zota]

Saw this article on NYT which has reported on the increase on number of students enrolling in CS after years of decline due to other attractive fields such as financial engineering and investment banking.
http://www.nytimes.com/2009/03/17/science/17comp.html

It would an interesting reverse trend.
However from the article, the reasons for choosing CS are a bit weird. Attraction for dotcom, millionaire recipe will leave many people very dissapointed.

In 6-7 years, the industry has matured a lot, some of the large corporations (e.g. Google, IBM) are very nimble to move into new areas. Innovation is driven from Microsoft Labs or Research Triangle Park rather than "genius garage programmer".

Personally, I think several areas in Computer Science are underrated as recognition, publicity etc. For example: scheduling, network traffic, Grid and parallel systems. So let the children come to computers