DISCUSSION on second rated MFE programs

[bigbadwolf]

A student profile at UCB may read like this

Graduated from Ecole Paris with major in applied mathematics with a specialization in financial mathematics.
Received PhD in Applied Math from NYU
Worked 5 years on Goldman Sachs derivatives desk

Andy, you must be right in general terms, but someone like the above would be wasting his time getting an MFE: it would add nothing to his earning potential or indeed perhaps even to his expertise. I think a typical profile might be a Ph.D. in engineering or applied math or even finance, with a lot of programming expertise and experience. And 93% average on the GRE math is more than what some very good math grad students at very strong programs have achieved: just this is an impressive filter. You are right that these students hit the program running and hit the job market running. Hicksville U cannot compete in this. And given a choice, anyone would be stupid to choose Hicksville even if alternatives like UCB cost four times more.

 

[Yuriy]

Well, Andy if there are people with similar backgrounds at UCB, then the same question can be addressed to them
And as you said earlier, people with these backgrounds have almost no problem finding a job, unlike those with engineering degrees. I wonder if Baruch is the most successful school in placing students with less financial experience

 

[Andy Nguyen]

I wonder if Baruch is the most successful school in placing students with less financial experience

I would not say that
1) We know almost nothing about other schools, their student background, their job record
2) Every MFE grad got job in bull market, no matter the financial experience
3) Past performance is not indicative of future one

Baruch has done a great job so far but I'm not going to use "most successful, best among" or tout our own horns just yet. Baruch is on the right path but it's a long journey.
There are plenty of competition out there. It's a fierce business and they will have to improve every year to be competitive. It's a public college and there are things you can't do, for example, asking for $50K/year tuition. It doesn't have the kind of budgets many private universities can provide.

So let's keep all the opinion in this thread neutral, keep our heads level, provide unbiased, verifiable information and let's hope the prospective students can actually see through all the marketing pamphlets.

After all, it's the idea of this whole thread.

 

[Tigga]

For a comprehensive list of programs, IAFE website is a good source International Association of Financial Engineers - Academic Programs

Specially, they have a spreadsheet that compares these programs. They seem to be very up-to-date with the info. I saw UCLA is already listed there. There are a few surprises new comers for 2007 and 2008 (UCLA, University of Cambridge, University of Minnesota, NYU Dual degree program)
http://www.iafe.org/documents/AcademicProgramComparison.xls

The info in the spreadsheet is usually from the website or provided by the program. You can dig a few nuggets in there.

Polytech program: the program size is 254 students. What ??????
Tulan size is 80
UIUC is 118. All FT
Claremont size is 70 FT:10PT
GWU size is 130
Georgia Tech: 105FT:5PT

These numbers blow me away.

 

[Tigga]

This is an interesting piece found on UCLA MFE FAQ site

Can I defer my admissions?
We assume that applicants each year are serious about entering UCLA Anderson; therefore, Anderson does not grant admission deferrals. Instead, all admission offers must be either accepted or declined.

 

[bigbadwolf]

Polytech program: the program size is 254 students. What ??????
Tulan size is 80
UIUC is 118. All FT
Claremont size is 70 FT:10PT
GWU size is 130
Georgia Tech: 105FT:5PT

These numbers blow me away.

I want to reiterate a point I made a few weeks ago: there aren't enough quant jobs -- by an order of magnitude -- to absorb these kinds of numbers. The graduates of these programs are going to have look for jobs not properly in the quant area -- in areas where, for example, MBAs have been operating. In years to come the qualification itself will become debased currency. It's not a question of the standard of training: all these programs may be offering sterling programs (say): it's that there are simply too many people who'll be getting churned out.

 

[David]

At NYU we use C++, Java, Matlab, R, and Excel/VBA to do assignments (some assignments have to be completed with certain languages to make sure students learn that tool). Overall, Excel/VBA is used more often than any other languages.

 

[Andy Nguyen]

Thank you.
That's what I heard about the NYU program (lot of Matlab, VBA) but want to double check with someone who actually studied there.

What are the differences between the FT and PT programs there? Do they study the exact same materials with the same professors? Also heard that PT students don't get career placement help.

Thanks for all the feedback. You are the first NYU students who posted here so we'll try to learn as much as we can from you

 

[David]

Your information is correct. at NYU FT and PT students attend the same lectures, do the same assignments, and take the same exams. When it comes to placement, PT students are largely on their own.

 

[Tigga]

Thanks for your info, excel vba (what a username )
Can you give us some idea on the size of NYU part-time class? Any idea on how selective is the PT admission compared to FT? Are they using the same standards?

 

[MikeK]

Thanks for your info, excel vba (what a username )
Can you give us some idea on the size of NYU part-time class? Any idea on how selective is the PT admission compared to FT? Are they using the same standards?

I had asked them this question last year. The FT admission is more selective, because there are more applicants. They would not give me exact percentages, however.

 

[GoIllini]

Thanks for your info, excel vba (what a username )
Can you give us some idea on the size of NYU part-time class? Any idea on how selective is the PT admission compared to FT? Are they using the same standards?

I am not sure about the exact number of PT students at NYU program -- some of the non-FT students are PhD students, MBA students or non-degree students. There seems to be more non-FT students than FT students in most lectures. The PT admission is much less selective comparing to FT, although I heard the number of candidates applying for PT admission have been increasing quickly.

It seems to me NYU chooses their FT students carefully, advices them during their study, and makes good efforts to place them for internship and jobs. PT students are supposed to already have jobs when they come in and are here to enhance their knowledge and skills. Therefore not much placement service is available to PT students.

 

[Andy Nguyen]

There is a better chance of being struck by lightning twice on the same day than getting any juicy data.

Sadly, it is very hard to get the data, and what we see is heavily spun.

I'm betting you guys are right but I will send out a survey nonetheless. I will contact about a dozen programs that are often discussed here and ask them how the credit crisis affects their graduates as well as their admission stats.
I will not contact Baruch, CMU, UCB since the stats are more or less on their websites.

I will let you guys now if they want to be on record or not. At least, I can say I've made an honest attempt to get the data out for the sake of our members.

 

[Andy Nguyen]

I sent out a short survey today. It was emailed to director(s) and general inquiry email address of NYU, both Columbia program, both Rutgers program, Cornell, Princeton, Fordham, New School, Poly. I exclude Baruch and CMU since their stats can be found online.

The address emails are posted on the website of each program and I expect news outlets as well as prospective students would use this to inquiry about a program.

I couldn't find any email on Stevens website. Maybe I went to the wrong one but that one gave me a lingering headache.

I didn't get any error with those emails so I expect them to be just fine. In most case, I sent to several emails in a program to eliminate the chance it will go to the wrong person.

We should expect to hear from them within a week. If not, it's safe to assume that they have no interest in responding to our survey.

Look out for my follow up report on this.

 

[dstefan]

Andy, email me for the info on Stevens, I have the contact email.

 

[Andy Nguyen]

Here is the first response to Quantnet survey from Wendell Collins (Director of Corporate Relations at Princeton University). We appreciate the prompt response to our survey.

1) Please provide us with your program's acceptance rate the last few years.
We had 650+ applicants this year and admitted 40 students, with a target enrollment of 20-25. Here is the information for last year's applications:

In 2006, we received 418 applications. We offered admission to 46 applicants (11%) and 27 enrolled (59%). In 2007, we received 459 applications and offered admission to 48 applicants (10%).

2) What is the job placement rate for your graduates in recent years?
Princeton University | Bendheim Center for Finance - Please see the FAQ for past years.

For 2008, we have placed 21 of 22 first year students in summer internships (the last student is still interviewing). For our 21 second year students, 19 have fulltime offers, and the remaining two are still interviewing.

3) How does the current market condition affect your program in term of internship and full time placement?

We have had perfect placement in the past, so we have seen the current market condition present more of a challenge than in past years. There are fewer positions available in traditional areas of popularity such as sales and trading. We have also seen firms' schedules for hiring interns pushed back later into the year than in past years, and some firms are just now posting for fulltime positions.

Therefore, we have expanded into new areas for our students -- students are branching out into risk management, asset management, commodities, foreign exchange, hedge funds, smaller quant funds, etc., plus we pursued more placements than in past years in Europe and Asia for our students.

Wendell Collins
609-258-9865 FAX 0354
wendellc@princeton.edu

 

[Pravit]

Great idea, Andy! Some other schools you might want to survey are University of Toronto and Stanford.

 

[Andy Nguyen]

Our survey only covers programs listed in our Wiki. That eliminates UCB, Standford, Toronto, Chicago and the like.
Given that Quantnet is NYC focused, we want to give our readers some color of what's going on in the job market for many local programs.

Another update: Prof. Mikhail Smirnov, Director of the Columbia Mathematical Finance has contacted us to learn more about Quantnet. We hope to hear from him shortly.

 

[Tigga]

Know what I came across today?
Trampoline Enron Explorer »

This is a public record of the Enron's email made public after it went belly up. Plenty of emails among traders, executive that is much better any any inside trading movie you ever watched.

And guess what? Among those emails are correspondents between Rick Bryant, Steven Shreve and CMU people with a contact at Enron on how to shaped up the CMU MSCF program. Remember this is in 2001, 2002 but it's interesting to see what's going on in early CMU when they debated whether to make it more MBA like or more quantitative.

Trampoline Enron Explorer » rlbryant@andrew.cmu.edu

-----Original Message-----
From: Steven Shreve @ENRON
Sent: Tuesday, December 18, 2001 6:50 PM
To: Kaminski, Vince J
Cc: shreve@cmu.edu; rlbryant+@andrew.cmu.edu
Subject: MSCF Advisory Board

Dear Dr. Kaminski:

Following this e-mail is a summary of the recent meeting of the Advisory
Board of the Carnegie Mellon Master's program in Computational Finance.
We would appreciate hearing your views on the subjects discussed.

Best wishes,
Steve

--
Steven E. Shreve
Department of Mathematical Sciences
Carnegie Mellon University
Pittsburgh, PA 15213-3890

shreve@cmu.edu
301 Moved Permanently
Direct Telephone: 412-268-8484
Department Telephone: 412-268-2545
Fax: 412-268-6380
--------------------------------------------------------------------
Summary of MSCF Advisory Board Meeting
December 12, 2001

Advisory Board Members in attendance:

Ashvin Chhabra
First Vice President
Director of Financial Strategies and Analytics
Merrill Lynch

Joseph Langsam
Managing Director
Morgan Stanley

Art Mbanefo
Managing Director
Equity Derivatives and Convertible Trading
Credit Suisse First Boston

James Vinci
Partner
Paloma Partners Management

David Waldman
Senior Portfolio Manager and Director
Fixed Income Quantitative Research Group
Putnam Investments

Carnegie Mellon Faculty in attendance:

Richard Bryant
Director
M.S. program in Computational Finance

David Heath
Hoch Professor of Mathematical Sciences

John Lehoczky
Lord Professor of Statistics
Dean, College of Humanities and Social Sciences

Steve Shreve
Professor of Mathematical Sciences

The three new members of the board, Ashvin Chhabra,
Art Mbanefo and David Waldman, were asked to present their perspective on future human resource needs of the industry.

David reported that Putnam relies on both fundamental and quantitative analysis. In fixed income markets, he noted the shift from treasuries to mortgages and corporate bonds, and pointed out the accompanying rise in the importance of credit risk analysis. Although Putnam has been a major employer of MSCF students, he noted that increased emphasis in our program on the asset management industry would be welcomed. He pointed out the need
for our students to understand how to translate theory into practice and to communicate to audiences of various backgrounds. For David, applicants should be able to pass the "airport test:" if you are stuck with this guy for half a day in the airport, will it be a reasonably interesting experience.

Art also emphasized the key role of communication skills. He wants people who are very focussed and who can find practical solutions. He welcomes applicants who have prior accomplishments which show they can be trained and have discipline. He cited music and athletics as areas in which
these traits can be demonstrated.

Ashvin proposed that students should prepare for the "elevator test:" if you happen to ride the elevator with a managing director, between the sixth floor and the lobby can you explain something to him in a way that he appreciates. Ashvin believes that MSCF students, and quants in general, must
either be able to work on the trading desk or have management skills if they are to survive in the long term. He expects there to be growth in demand for people who understand technology and business. He thinks personal finance services will also be an area of growth.

Echoing one of Ashvin's points, Joe would be interested in people with the skills to manage IT projects. Two subjects raised by Rick are whether the MSCF program should specialize, say into energy or asset management, and whether there should be additional courses in subjects such as accounting and corporate finance. The consensus was that the MSCF program should stay general, within the quantitative finance niche, and should remain highly quantitative rather than tipping toward an MBA.

There was discussion of the desirability of internships. Joe pointed out that 80% of the Morgan Stanley hiring is from internships. An internship doesn't have to be for a summer; eight weeks is possible. Steve observed that we have not in the past had difficulty placing students even though our program does not include an internship and that an internship would lengthen the program beyond 12 months. Joe said that a longer MSCF program with internships would permit different student cohorts to overlap so new students could learn from those who had interned. Faculty would also be enriched by students who had interned.

 

[DominiConnor]

It's good stuff, and I would counsel that one must listen to customers, just not too much

Many quants lack communication skills to a degree that measurably impacts their ability to get the sort of job they want. You are supposed to be an expert, which includes the ability to explain what you are doing.

Many here have ambitions to be a trader, and a critical skill is the ability to be "credible". Cred is a tricky term to define, and I shall bound it by outcomes:

A trade goes wrong, but you explain it was a good trade, and that your underlying stategy is sound.

A trade goes well, and you show how this was your judgement, not luck.

You persuade a bank to trust you to trade more money in the next year than the USA will spend on the Iraq war, even though they cannot understand what exactly what you will do.

You are a desk developer/desk quant and you want to make the transition to doing it yourself.

Note that I have not mentioned "customers" here at all, so although this has commonality with sales, it is not selling. It is projecting your competence.

For a quant there are extra outcomes:

You succeed in disagreeing with your colleagues in a way that does not imply that not only are they stupid but their parents should be ashamed for giving them life.

You ask questions without looking stupid, and thus ask more questions and learn more.

For a senior quant, people come to you with problems so that terrible mistakes are caught early before they do much harm.

There's loads of this stuff.

In the past I managed quants, IT people, etc and a depressing % of the arguments I had to referee were over miscommunication of ideas, over definitions, and on a number of occasions where the factions actually agreed but didn't realise it.
Anyone who has managed in this environment will recognise this, and therefore will value the ability to articulate their position.

I would also add that I have found that I dumb down my English significantly when talking/writing to quants, initially that was unconscious, but now I catch myself when using non trivial words. I suppose I should respect other cultures, but in the 21st century I don't accept any excuse for not speaking English, regardless of your origin. I deal with people not only from every country on Earth, but a few places that aren't even recognised as states. If someone from a village in China so out of it that they only have one telephone can use the word "obsequious" in the right context, but also explain the problems of orbits in monte carlo, then pretty much no one has an excuse.

There is clear value to be added here.

But MFEs exist in an awkward political economy.
First you have finite time, and to add more soft skills, you must take time away from something else.
Next there is the issue about dividing up the luscious cash flow from these courses. One reason for the shit level of programming on most MFEs is not a rational trade off between time for maths and C++, but not wanting to pay the CS department.

Also of course there is the awful problem of finding someone to do it. The CQF has a bit of this, and indeed there are useful asides on the politics of quant s/w development in my part of it. But not enough to claim completeness, which requires a lot more touchy feely.

Lastly, one is going to need to risk grave political incorrectness, since some of the issues are down to race, gender, culture, etc.