Financial/stochastic calculus

[Andy Nguyen]

Well, as of yesterday, my university (Lehigh) just decided to deny me entry into financial calculus, even though I have all of the requirements and the ability, simply because I'm not in the analytical finance program. Never mind all of my AP classes and the fact that undergrads can't earn a master's degree no matter how hard they try (can only pass up 12 of 30 credits as free electives from undergrad), but now I'm denied a course the professor knew I wanted in for more than a year.

Bastards. Anyhoo, I was wondering...is it even remotely possible for someone like me with a very applied engineering background to just learn the material well enough from buying some random book?

So far, I've taken all of the undergraduate probability at my university (theory of probability, random processes top them out) and have done well enough (C+ and B, the uglier grade occurring because it was literally my first time with proofs so I struggled very much early). Now I'm just wondering "now what"?

I feel that with this sort of financial engineering background, that that is the only way I can continue having fun solving analytical problems for a living...

 

[DominiConnor]

A decent % of working quants are at least partly self taught in stoch calc.

I'd like to question quite whether it is optimal for you to take it up at this point. You're set on being a quant one day, but that's not this year or next.

So why not get as good as you can on the taught subjects available ?

To be a quant, you need to be at least at MFE/CQF level so maybe leave learning SC until later ?

I'm intrigued by the notion that you had not done proofs before ?

As for the fun solving analytical problems there are any number of careers that do this.

 

[IlyaKEightSix]

I have done proofs before--just not until up I took a very challenging probability course in college--after that, some proofs came to me a little bit more easily...I still am not particularly in love with them since I see them as academic ego-stoking for the most part, while in contrast, computer science is very practical.

My school has a master's degree in analytical finance (aka MFE) but it costs $50,000 a year to attend there, and I'm an undergraduate student who doesn't feel like adding on to whatever undergraduate debt there will already be.

As for the subjects available, I'm devoting this coming year to learning undergraduate finance and to get a background in that, such that the only difference between me as an engineering major and finance majors is that I'll have a quantitative background while they'll have the law/management/marketing business background. Quantitatively, I feel like I'm better than most people at Lehigh overall.

The courses I am planning on taking are:

Information Systems Design capstone project (language is Python)
Game Theory
Corporate Finance
Investments

(My 12 credits this coming semester--was hoping for stochastic calculus but my college just gave me the boot on that one)

and my last semester will be

Stochastic Programming (already have random processes and applications)
Senior industrial engineering project
Global Finance
Derivatives
Financial Engineering Research (if my professor will have something for me to work on)
Numerical Methods (graduate level MFE course)

too bad I can't get stochastic calculus, and I'm not sure whether or not I'll be able to even take some of these other courses. At this point I'm debating whether or not to move my senior project up or not.

Edit: As for being a quant, I also want to solve analytical problems on wall street. I am no academic. I am attracted by the prospects of personal wealth, and trading a few years of my twenties doing excel work/programming on the order of 90 hours a week for a quick climb up an investment bank or hedge fund ladder, so I won't have to rent my time to anyone unless I feel like working.

Edit: And thank you for your reply, Mr. Connor.

 

[Prateek Bhatia]

Just out of curiosity, are people with just a bachelors degree hired for entry level quant positions?
. This is not to say that those with just a bachelors degree know less. But considering quant positions are filled by PhD'd and MFE's do organizations also have entry level positions in quant work for undergrads? ( like how undergrad analyst positions exist for non-quant jobs in IB,etc.)

 

[Andy Nguyen]

According to what I read, majority of entry level quantitative positions requires a minimum of Master. One can argue that with a bachelor, someone can get some position and try to move to a more quant jobs down the road but it's not the optimal path.

 

[doug reich]

Some places, notably DE Shaw and Citadel, hire the cream of the undergraduate crop. If you're in that boat, you probably know it already.

 

[dstefan]

Indeed, the very, very best undergraduates from the top schools get jobs - actually they are groomed for future careers with the top companies. This is a very restrictive criterion.

 

[IlyaKEightSix]

That makes me sad...because a girl I knew from high school has a financial engineering major in Columbia with a higher GPA than mine (at least so I heard from another one of my high school friends) and I'm at Lehigh University with a 3.23 in Information Systems Engineering with a bunch of irrelevant courses like electrical and mechanical engineering thrown in there that brought down my grade, with the programming track for us taught very poorly (the initial course was garbage and since then I was behind the eight ball in compiling type languages).

The worst part about it is that I've taken MFE courses and I know I can hack those (I'm at the same level as some masters students since I was in the very same courses as them and got just as good of grades if not better) but the university A) won't let me pass more than 12 credits (and they must be free electives) up to the master's level, and B) won't even let me into stochastic calculus!

I say it's all bullshit. That said, I'm there another year since I have one course each semester that's a must take for my undergraduate, but I know I can do the master's work. I just wish I knew how to prove it in an interview, since aside from being a C++ master, I believe I have as much potential as anybody to be an excellent quant, despite being an undergraduate--albeit one that came in nearly a year ahead creditswise (but most of those were free electives )

I just wonder if anyone on these boards would be willing to network with me and help me find my way without having to tack on another $50,000 worth of student loans and an extra year in school that I could spend making money...or are MFE courses no subsitute for a hard MFE diploma?

 

[bigbadwolf]

I say it's all bullshit. That said, I'm there another year since I have one course each semester that's a must take for my undergraduate, but I know I can do the master's work. I just wish I knew how to prove it in an interview, since aside from being a C++ master, I believe I have as much potential as anybody to be an excellent quant, despite being an undergraduate--albeit one that came in nearly a year ahead creditswise (but most of those were free electives )

I just wonder if anyone on these boards would be willing to network with me and help me find my way without having to tack on another $50,000 worth of student loans and an extra year in school that I could spend making money...or are MFE courses no subsitute for a hard MFE diploma?

I agree. But you're bashing your head against an unyielding wall. I don't dispute your ability or potential -- but this isn't what the game is about in the US. Academia and the world of work are both intensely bureaucratised in the US. And usually to no purpose, perhaps because people are too stupid or lazy to look at people off the beaten track. Or because universities have a vested financial interest in making you follow set programs, with meaningless courses thrown in. With regard to employers, the initial scanning is often done by machine -- which will discard your application immediately. Or a low-level HR human functionary will glance perfunctorily at your application and chuck it out because 1) you only have a bachelor's, 2) your school isn't top-ranked, and 3) your GPA is less than stellar.

Someone like you may be better off on his own. American employers -- despite their rhetoric -- don't really want people with independent minds and spirits. They want docile functionaries. That's why so little truly original creative work is done here, and those who do it are often dropouts.

 

[doug reich]

You might find a more receptive ear at a smaller place. I know when we were interviewing for a position here (our firm is only 4 people), people who had the credentials (a glance over the resume) or a cover letter that explained their faults and why they weren't faults moved on in the process. (Not that I'm adding anything here you wouldn't hear from people offering career advice.)

Of course, right now the job market is tough, so that's just going to add to the difficulty in breaking in. But if you work on your interviewing skills (and your technical skills are up to snuff), you may have a shot.

 

[IlyaKEightSix]

I agree. But you're bashing your head against an unyielding wall. I don't dispute your ability or potential -- but this isn't what the game is about in the US. Academia and the world of work are both intensely bureaucratised in the US. And usually to no purpose, perhaps because people are too stupid or lazy to look at people off the beaten track. Or because universities have a vested financial interest in making you follow set programs, with meaningless courses thrown in. With regard to employers, the initial scanning is often done by machine -- which will discard your application immediately. Or a low-level HR human functionary will glance perfunctorily at your application and chuck it out because 1) you only have a bachelor's, 2) your school isn't top-ranked, and 3) your GPA is less than stellar.

Someone like you may be better off on his own. American employers -- despite their rhetoric -- don't really want people with independent minds and spirits. They want docile functionaries. That's why so little truly original creative work is done here, and those who do it are often dropouts.

That's often the way I felt since I didn't even get a single interview from my university's career system until I got an interview for an internship from GroupOne, which was like a "miniquant" internship, but I didn't realize what went into it, and on the day of the interview, my nightmare simulation project from hell got extended indefinitely, so I didn't get the rest in the weekend prior that I thought I would have when I scheduled my interview. I came out absolutely terrible through the phone, hewing and hawing rather than confident, and didn't get in (though I at that time thought that I could get by in a career without programming--which I seem to believe now is untrue)

And by better off on my own, what do you mean? I don't have a British citizenship, so it'd be far harder for me to work in London than in NY (even though I live near Philadelphia right now)...though I have to admit, when I'm not being creative, I feel like my brain is going to rot. I love designing algorithms, though I'm terrible with coding/debugging since I can't translate my human intuition/thoughts into code very well (at least as of now).

Also about set programs since a university is financially interested--my friend told me this when we were at the Registrar's office:

"Ilya, a university is a business. So it's interested in making as much money as possible."

That makes me want to vomit--wouldn't it be in a university's best financial interests to try and push every undergraduate to a master's or a dual BS if at all possible so that they can land a better job, and thereby have a higher probability of becoming successful in their careers to the point that they can donate millions as alums?

That's something that's always gotten my goat--it'd be extremely cheap for a university to print out another diploma (it's just another signed piece of paper), but the results would be so much better...I don't understand all of this nonsense bureaucracy. That said, I'd love to work in a place less run by bureaucracy and more run by the back and forth applied needs of beating the S&P 500.

 

[IlyaKEightSix]

You might find a more receptive ear at a smaller place. I know when we were interviewing for a position here (our firm is only 4 people), people who had the credentials (a glance over the resume) or a cover letter that explained their faults and why they weren't faults moved on in the process.

Of course, right now the job market is tough, so that's just going to add to the difficulty in breaking in. But if you work on your interviewing skills (and your technical skills are up to snuff), you may have a shot.

The problem is that I don't have the full extent of technical skills needed to work in a small firm--my programming skills are not up to snuff, even if my applied math (read: not delta epsilon formal proofs of abstract concepts, but more optimization such as newsvendor problem and TSP) and finance can give the best a run for their money.

Up until recently, I've always thought that I could work alongside a hardcore programmer and design the algorithm with them, but they'd be able to translate our human back and forth discussion into computer code...though I realize that it'd probably be more efficient to hire someone with the whole package than two people without.

 

[bigbadwolf]

"Ilya, a university is a business. So it's interested in making as much money as possible."

That makes me want to vomit--wouldn't it be in a university's best financial interests to try and push every undergraduate to a master's or a dual BS if at all possible so that they can land a better job, and thereby have a higher probability of becoming successful in their careers to the point that they can donate millions as alums?

In the US, universities are run like businesses, even if they aren't technically so. And this business orientation has, if anything, increased over the years. In particular, MBA and MFE programs are considered cash cows. In my neck of the woods, there's a Catholic university that has been literally driving instructors around in vans to employer's sites, setting up folding chairs there, and delivering "courses" to company employees in this manner. They charge top whack and have been earning a pretty penny doing this (standards be damned). In terms of the number of MBAs it churns out, this "university" is #3 in the country. Universities see the same scope for MFE programs. Remember: this is the USA -- everything is about looking out for #1.

That said, I'd love to work in a place less run by bureaucracy and more run by the back and forth applied needs of beating the S&P 500.

Then you have to be more creative. Either be able to bypass HR in large organisations or apply to small ones and in either case be able to convince those who do the actual hiring that you're eminently suitable for the job. Maybe even offer to work a month or two free of charge. Though I should add that even if you're successful in this, your lack of grad credentials will come back to haunt you in terms of promotion prospects and in terms of applying elsewhere.

 

[toddacuresk]

this info is really great guys, follow up question though on courses that are relevant to a career in FE. What is emphasized more, calculus background or a stats background?