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UCB MFE How much C++ does UCB use in their program?

twaters

Joined
6/13/08
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11
I know that the people on this board value C++ as a very important part of a MFE program, but after having gone through the course lists/descriptions of the UCB website, I cannot seem to figure out exactly where it is used. So my question is if it doesn't use C++, how is it such a good program? Are they going into jobs that aren't as heavily focused on programming? Thank you.
 
As a headhunter, I will tell you that a lack of C++ skills will stop you getting some very good jobs. But QF is a diverse career, some people spend their lives fighting VBA or Slang, and a common case is where you have to learn on the job. Hard to look your best here.
 
Thank you for your insight, but I'm still a little confused. If I'm interested in getting into the programming heavy side of quantitative finance, is Berkeley a good choice or not? I know it's very well respected, but I couldn't tell how much it focuses on programming. Can anyone help me out here?
 
I've followed many of the well known MFE programs since 2006 and UCB has never been regarded as a programming heavy program. As recently as 2006, people usually mention CMU as one of the most computational programs. And as of late, Baruch has been regarded as one of the few MFE programs that is very C++ intensive.
In general, you can assume that many top programs have some kind of programming components in their training. The difference between say Baruch and NYU,UCB is how much C++ is used in their program. In these programs, you can do your project in VBA, Matlab, R, C++, C# and the language of choice depends on the course, the teacher, etc.
Baruch is the only program I know of that uses C++ heavily throughout their program. Except the theoretical stochastic and probability courses, the rest of the program is done in C++ starting from their refresher courses.
People go to UCB for their strengths as a business school-based program. You will do some programming there but if you are concerned about getting heavy programming training, you should look elsewhere.
 
There is a hole in the market for a quant/developer masters.
The syllabus for such a thing almost writes itself, and there is clear demand, yet no one does it.
 
The requirements ?
First up you don't let anyone in without a suitable maths and programming filter.

The maths would be quite similar to a generic quant, but with less time spent on proofs, more on visualising and comprehension.

For the CQF, I worked out a core of C++, which included patterns, optimisation, threads, Excel addins, Boost, STL, memory management and perhaps most importantly debugging.

Numerical methods: MC, MCMC, FDM, FEM, etc.
Optimisation methods for portfolios, risk/return Kelly criteria et al.

But a QD also needs a basic hit of Java, VBA and Matlab. Elementary SQL,XML and Perl.

Sucking data out of Bloomberg and Reuters, sockets and FIX.

The way I'd like to do it is a boot camp to get people to a common level of maths and finance, and fill in some holes in programming.

The right way of doing it, represent I think one of the reasons no university does it.

You should emulate the normal cycle of QD work in a bank.
Work through the business rationale and maths of a model then implement it.
Then do it again with a trickier model.
Repeat until you can price a variety of options, and hedge positions in them.
 
Hi,

You should check out that french program directed by Stephane Crepey. It is taught at university of Evry which is at 30min from Paris. I think it is one of the closest program to Quant/Dev demand. You have the necessary programming with C++, Java and VBA Excel, plus the math.

Let me know what you think? I am actually applying to that program.
 
Two English classes on such a short program?.. I don't know if it's a good idea, but I would rather take some financial classes instead.
 
Remember that most french students don't speak english and in the quant world it is impossible to get through without english.

Also don't get twisted by the Syllabus, the course is not that short. You already have a pretty heavy load of Math and Finance as well. I have talked to people who went through the program and they all agreed on the fact that the math was way much heavier than that they were expecting.
 
Thanks for the link, I hadn't known about this course.

I must say that I rarely find problems speaking with French quants. OK, I speak French a little but so badly that the Academie Francaise has banned me from using it within metropolitan France :(

I don't think it's a bad thing to have it on the course for those who need it. But I agree it ought to be an option, not mandatory. One thing I 'd seriously consider is teaching the lectures in English, with the option to polish up your English before you start, in the same way MFE/CQF have maths primers. Though I accept that could be tough on some people, but since all French kids get good education in English, I don't see it hurting many.


They teach C++, actually that's not true, according to the link they teach C+++ :)


Aside from the info given, I don't know anything about the course, never having any interaction with people coming out of it, nor being able to find any finer detail.
 
If I ever get accepted I'll definitely keep you guys posted. The most famous programs in France are Nicole El Karoui DEA and Laure Elie DEA. But one should keep in mind that those programs are heavy pure quant programs so not really fitted to the quant dev world.

You might have ran into Stephane Crepey a couple of time, he is responsible for the Evry MFE and teaches at ENSAE as well I think. He was present at the Derivatives convention held in Paris not so long ago.

C+++ seems one "+" time more powerfull than C++, it is the next thing :D

Concerning English, we do get trainned till the end of high school. After that it all depend on the path you take. If you go to university, then you won't get anymore english training except if you choose it as an option. If you go to a "Grande Ecole" (X, Centrale, Les Mines...), english is mandatory which means that it does not matter if you get such a class if you enroll in a DEA (university course).

At the end you will have people who have been to grandes ecoles (probably 90% of french quants went through that path) and they won't have much problem to speak english. Whereas the few ones with a 100% university profile might have more difficulties.

So you are probably right when you say that english should be an option at MFE courses.
 
Perhaps there should be some sort of book on the subset of English used in banking ?
Arbitrage and illiquid may be English words, but the average English person would not recogiuse them.

Some suggestions for useful phrases:
"Of course the client money is safe"

"I only meant to buy $100,000 of IBM stock, not 100, 000 shares."

"The market is wrong, the real value of these options is much higher".

"Why would anyone ever default on a mortgage ? It would mean losing their home."

"My profits/losses this year were entirely due to skill/screwups in settlements"

"I work for a big bank, I can remain solvent longer than the market can remain irrational".

"Just because you can't understand my model, does not mean it is wrong"

...and as George Bush says, there is no French word for "entrepreneur" :)
 
Hi guys

I have actually started that program. Concerning financial classes, just for that semester we have 3 finance classes, one that covers financial products, one that covers credit risk and a third that covers macro/micro economics aspects of finance. On top of that you add c++ and stochastic calculus. The second semester is a bit lighter, we cover numerical methods for finance, 2 finance classes and a bit more stochastic calculus. All finance classes are taught by professionals, part of the c++ class is taught also by a professional. Stochastic calculus is taught by Monique Jeanblanc, she is known for her work on credit.

I think it could be a great idea if we could establish some sort of communication between Baruch MFE Students and Evry MFE students. Both programs are very similar I believe

Take care.
 
twaters: this probably isn't the best forum to ask about west coast programs but short of having an actual Haas alumni/student commenting on here (not likely although I hope some will join), I'll put my two cents in as someone who's lived in the bay area for a number of years and sat in on a few lectures there. But honestly, you'd be better off attending one of the "how i became a quant" information forums. failing that you can dail in to one of their chat sessions regardless of your location. check the MFE website for schedules.

based on information presented at the information sessions conducted by Haas MFE's placement coordinator, the "How I became a quant" event where the course instructors and course alumni hold a panel like forum, C++ forms a central theme in the program. There's only one explicit C++ course but they use it extensively in the other courses. So it's more applications directed. Depending on your needs, CMU might be what you want. they've got 3 CS-like courses, but bear in mind that the program is 3 semesters long, vs 2 semesters at Haas.

As an aside, my general impression of the UCB program is that it's success is attributed very much to the quality of the entering class and the placement coordinator's (Christina Henry) extensive industrial contact. Most students there are already very accomplished individuals in whatever (non-finance) fields they were in before coming to Cal. So, yes, it's an excellent program but I think it's designed to take very A-type already-98%-there people and give them the last 2% to launch them in to top jobs both in the US and internationally.
 
Here is my feeling of NYU courses regarding programming (I might have some incorrect thoughts before):

Different courses even different professors require different languages. Before I started I barely know any programs as my background is not CS or EE. But after three semesters, I feel pretty well about all of them, C++, Matlab, VB.

No class taught any detail about programs, you are assumed to learn by yourself to solve the assignments or projects. The workload usually are very heavy. I learned from beginning Matlab by doing around 50 assignment problems plus project in one course. The past semester I did one computation finance course requiring only C++/Java. Self-study plus programming took me about 20 hours per week. My team members include CS Phd and Programmers, but seems it is not easy for them either. I basically studied C++ by myself from this course by looking for reference and ask classmates.

By the setup of curriculum regarding C++, CMU and Baruch are better as they offer more courses and trainings. But I wouldn't say NYU program lacks emphsis on programming. If you really went thru these courses by yourself, it will be very rewarding in terms of programming skills.
 
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