I have worked at a derivatives pricing quant in NYC and London. AMA!

[RowYourBoat]

I have had a varied experience working in sell-side derivatives pricing quant teams in NYC and London. Post your questions below and I'll do my best to answer them!

 

[Tigga]

Hi @RowYourBoat
Can you please share your educational background and how you got your first job and this current position? Would be very interesting for many members here to learn your path.

 

[RowYourBoat]

Hi @RowYourBoat
Can you please share your educational background and how you got your first job and this current position? Would be very interesting for many members here to learn your path.

I've got an undergrad degree in math and an MFE. MFEs are just the absolute best path to take in my opinion if you want to be a quant. They are a fast track (1-2 years) to a quant job and almost everyone gets hired within a year after graduating.

I got my foot in the door just by learning a lot of C++. The courses (especially the advanced course) on QuantNet are great. Nowadays programming and (some) software design skills are some of the most in demand skills for quant jobs (more so than the math/quant part I would say) and not enough people focus on that. This is especially true for derivatives pricing quants.

There are 3 main ways that people are able to move to a different country for work:

1. Student visas get converted to work visas
2. Internal transfer to a different country within the same company
3. Having some special status in the destination country which makes the move easy

I am in category 3. Most people are in category 1. Option 2 can work well if the other two don't apply. Internal transfer can be a long process with your company, and in the US, L1 internal transfer visas are very employer friendly (if you quit you need to go back home) so you need to change your L1 to an H1B. I have never heard of someone getting sponsored for an H1B direcrly out of their home countey to move to the US but I think it does happen

 

[CarterZ]

hi, what products do you cover? do you price both linear and non-linear products at your desk or is it separate?

 

[MikeLawrence]

How have you seen employers view applicants from non-top 10 undergrad schools?
Have you seen a true competency gap between graduates of any schools?

I have heard several sides to this question. I know a top degree makes it easier, but I've also heard that if you are competent and they believe you can help solve problems then no one cares where you came from.

It ranges from "you only get a job (or top MFE admission) from top schools, or if your father personally knows a recruiter from kindergarten."
all the way too "Finance is a meritocracy, no one cares where you came from when it is 1AM and your system is still returning an error message."
The problem with the second idea is that in this scenario you already got the job.

Personally... I assume the belief is exaggerated. It's a concentrated benefits thing, only those who come from lower schools and didn't get their dream job have any incentive to spread the opinion. Those from top schools who didn't get the dream job wouldn't advance this idea, it begs the question of why THEY didn't get the spot with the top degree. Those who get the dream job from either camp don't have any reason to say this either.

 

[MikeLawrence]

Also, what are your top five book recommendations?

Doesn't have to be Quant related.

 

[phoenix_mfe]

For someone coming from an engineering background and searching for jobs after finishing an MFE program, what topics in Math would you recommend focusing on, in order to get into a quant pricing role?
It would also be helpful if you could highlight some topics in C++ programing to focus on.
And any comments on how one should go about preparing for interviews for such roles?

 

[RowYourBoat]

hi, what products do you cover? do you price both linear and non-linear products at your desk or is it separate?

In the interest of anonymity I will say just that I cover one asset class out of the 5 large ones: FX, Equities, Fixed Income, Commodities, Credit.

Some places have teams that are cross-asset. Some have teams that are multi-asset (for example fixed income and credit only) and some have quants that specialize in hybrids (for example equity linked notes with a credit component).

And then some teams will be split even more like you say into linear/non-linear or flow/exotics but usually smaller teams will not have this separation

 

[RowYourBoat]

How have you seen employers view applicants from non-top 10 undergrad schools?
Have you seen a true competency gap between graduates of any schools?

I have heard several sides to this question. I know a top degree makes it easier, but I've also heard that if you are competent and they believe you can help solve problems then no one cares where you came from.

It ranges from "you only get a job (or top MFE admission) from top schools, or if your father personally knows a recruiter from kindergarten."
all the way too "Finance is a meritocracy, no one cares where you came from when it is 1AM and your system is still returning an error message."
The problem with the second idea is that in this scenario you already got the job.

Personally... I assume the belief is exaggerated. It's a concentrated benefits thing, only those who come from lower schools and didn't get their dream job have any incentive to spread the opinion. Those from top schools who didn't get the dream job wouldn't advance this idea, it begs the question of why THEY didn't get the spot with the top degree. Those who get the dream job from either camp don't have any reason to say this either.

I think quant finance hiring is for the most part meritocratic. It is fair I think.

That being said, the hard part is just getting your resume into the hands of the hiring manager. It is just a question of credibility. There is a much higher chance that a candidate with an ivy league school on their resume will be more hirable than a candidate from a community college. And hiring managers only have a finite amount of time to hire. But once all selected candidates are interviewed, the one who performed the best is always selected

Some places have joint programs with other schools where they will agree to at least check resumes of all students in the MFE program of that school though

 

[RowYourBoat]

Also, what are your top five book recommendations?

Doesn't have to be Quant related.

Expected Returns by Antti Ilmanen

Shreve's continuous time finance book

How to Win Friends and Influence People by Dale Carnegie

Hull's Options, Futures and Other Derivatives

Implementing quantlib by Ballabio

 

[RowYourBoat]

For someone coming from an engineering background and searching for jobs after finishing an MFE program, what topics in Math would you recommend focusing on, in order to get into a quant pricing role?
It would also be helpful if you could highlight some topics in C++ programing to focus on.
And any comments on how one should go about preparing for interviews for such roles?

The C++ questions are usually basic. Haven't gotten anything harder than a leetcode easy. They are looking more for a deep understanding of topics like memory management (smart pointers), multithreading (sometimes), lambdas, value vs reference vs pointer, templates, variadics, etc. Also interest in new features of C++20 and beyond are appreciated

Math topics: stochastic calculus and general pricing theory are the most important. After that, Monte Carlo, PDEs, finite differences. Sometimes ML/RL is appreciated too

 

[Daniel Duffy]

The C++ questions are usually basic. Haven't gotten anything harder than a leetcode easy. They are looking more for a deep understanding of topics like memory management (smart pointers), multithreading (sometimes), lambdas, value vs reference vs pointer, templates, variadics, etc. Also interest in new features of C++20 and beyond are appreciated

Math topics: stochastic calculus and general pricing theory are the most important. After that, Monte Carlo, PDEs, finite differences. Sometimes ML/RL is appreciated too

I might apply for that job

 

[Tigga]

Can you share any technical skills, software or knowledge you are using daily? How much from the MFE curriculum is useful in your daily work?
What would you like to see taught in MFE programs?