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How to get a non-quant up to speed?

Ken Abbott

Managing Director
Ok, forum. This time I need your advice.

A colleague of mine is on the management fast track. She's smart, personable, and talented. Her challenge is that she has no formal quant training at all. She is destined to be part of senior management. A minimal amount of schooling would help her career tremendously.

My problem here is that I don't have a good window into "basic training" any more. In my day (the 80's and 90's) you took calc 1, calc 2, inference, probability, stochastic processes, bond pricing. The game, however, has clearly changed. Between TED talks, Kahn Academy, and the whole MOOC thing, there are myriad ways for someone to get the basics without enrolling in a formal classroom program.

What would you recommend?
 
Ok, forum. This time I need your advice.

A colleague of mine is on the management fast track. She's smart, personable, and talented. Her challenge is that she has no formal quant training at all. She is destined to be part of senior management. A minimal amount of schooling would help her career tremendously.

How minimal? Specify.

My problem here is that I don't have a good window into "basic training" any more. In my day (the 80's and 90's) you took calc 1, calc 2, inference, probability, stochastic processes, bond pricing. The game, however, has clearly changed. Between TED talks, Kahn Academy, and the whole MOOC thing, there are myriad ways for someone to get the basics without enrolling in a formal classroom program.

What would you recommend?

A personal mentor with genuine insight. And some insightful books. No matter how you specify "minimal," it's going to take time, effort, good books, and at least one good teacher. Kahn, MOOCs, TED won't do the trick -- unless you already know what you're looking for. Even then, the lack of that alchemical ingredient, human contact, bothers me.
 
How much maths has she done?

If she hasn't done even basic calculus or algebra then I fail to see how she can understand anything in a time-frame of less than 5 years.
 

Daniel Duffy

C++ author, trainer
Most of the quants I know spend little time programming. Those are the ones in the support functions- risk management, model review, price verification, audit.

Sounds like you have low software maintenance costs. What happens if you need a new model?
 

Daniel Duffy

C++ author, trainer
We get a model developer to develop one. I wouldn't let most quants anywhere near production code, unless I only needed the price once. If I need that price 10,000 times x 1,000,000 positions, I would give it to a programmer who could price efficiently.

My remark is a bit OT, but a good developer who understands the math+finance as well is a great skill to have.
 
I have exploited alot of the online free education stuff with great success. I use MOOC etc when I want to learn more than what my own University provides, when I have had to review some material or when some material is better explained at courses on the web than in a book or by some of my professors.
Depending on her current level here is my recommendation. All courses listed are completely free.

For basic algebra, calculus, linear algebra, probability and statistics:
For basic programming (basic programming is recommended/needed for doing exercises in basic quant finance courses):
For more advanced calculus and basic differential equations:
For basic numerical methods
Linear programming and Optimization
For fundamental stochastics (I haven't found any good online source for this)
  • Study "Measure, Integral and Probability" by Capinski and Kopp
  • Then study "Basic Stochastic Processes" by Brzezniak and Zastawniak
For basic quant finance:
More quant finance
  • Study "Stochastic Calculus for Finance II: Continuous-Time Models" by Shreve
  • Do the "Asset Pricing" course from University of Chicago at coursera https://www.coursera.org/course/assetpricing (this is an advanced course!)
Getting a good grasp of everything above would take at least 2 years of full-time study if you are smart, I think (given that some of it will be a review).
 
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Ken Abbott

Managing Director
I have exploited alot of the online free education stuff with great success. I use MOOC etc when I want to learn more than what my own University provides, when I have had to review some material or when some material is better explained at courses on the web than in a book or by some of my professors.
Depending on her current level here is my recommendation. All courses listed are completely free.

For basic algebra, calculus, linear algebra, differential equations, probability and statistics:
For basic programming:
For more advanced calculus etc:
For numerical methods
Linear programming and Optimization
For fundamental stochastics (I haven't found any good online source for this)
  • Study "Measure, Integral and Probability" by Capinski and Kopp
  • Study Shreve's "Stochastic Calculus for Finance I: The Binomial Asset Pricing Model"
  • Then study "Basic Stochastic Processes" by Brzezniak and Zastawniak
For basic quant finance:
More quant finance
Getting a good grasp of everything above would take about 2 years of full-time study if you are smart i think (given that some of it will be a review).
Thank you. This is perfect.
 

Daniel Duffy

C++ author, trainer
Quote: For fundamental stochastics (I haven't found any good online source for this)
Stochastics in still in its infancy, especially when it gets to computation (the numerical methods are not robust, e.g. Euler, Milstein).

IMO a good aproach will be finance+maths+numerics+applications+programming so that understand A-Z.

Stochastics presupposes some mathematical sophistication in measure theory, Lebesgue theory, probability spaces and some Functional Analysis (e.g. normed linear spaces and inequalities). Without this basis it just looks like a bunch of symbols that you have to get used to.

And I reckon RNG, numerical solution of ODEs as well.

This could be the reason for this phenomenon.

When you can do/understand the maths _and_ can program it the you understand it.

http://www.sitmo.com/article/popular-stochastic-processes-in-finance/
 
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Quote: For fundamental stochastics (I haven't found any good online source for this)
Stochastics in still in its infancy, especially when it gets to computation (the numerical methods are not robust, e.g. Euler, Milstein).


When you can do/understand the maths _and_ can program it the you understand it.

http://www.sitmo.com/article/popular-stochastic-processes-in-finance/
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