Level of math in a quant job

[Daniel Castanon]

Hello everyone,

I am studying PhD in Applied Math, and recently I have discovered the world of Financial Calculus. Studying FC has been a real exciting journey. So, I have been researching what a quant does in a real job. My question is how much math is really employed in a quant job nowadays. Specifically, are there still quant-jobs left which are more math oriented? Like derivatives pricing and modelling. Or there are just quant-developer (100% programming) and statistic arbitrage jobs left these days?

 

[Andy Nguyen]

You can count on one hand the kind of jobs that you will do math all day in the bank. And very unlikely if it's going to be your first job. Even Derman had to code back in the day.
Programming is going to be your ticket in, not how to solve math. What abstract math problems are still out there being actively solved by people in bank with pencils?

 

[Daniel Castanon]

Yes, my point is that i'd would like to do some math, not just 100 programming all my quant career ( if i decide to do that track of course) My question was if those jobs still exists, because sometimes I read that those jobs rarely exist anymore ( like Kuznetzov's book , "The Complete Guide to Capital Markets...." page 57)

 

[Keith Tan]

everything's computerised now, maybe you could be our next black/scholes/merton or come out with the next derivative pricing formula while being a star portfolio manager. that said, you still need programming to traverse binary trees ( as many as infinite) to prove your theory is right.

 

[Andy Nguyen]

My question was if those jobs still exists, because sometimes I read that those jobs rarely exist anymore ( like Kuznetzov's book , "The Complete Guide to Capital Markets...." page 57)

I suspect you already got your answer but it's still hard to believe for you
Among the hundreds of MFE graduates I come in contact with every year, I don't know a single person who does math as major path of their daily job. You will be cleaning up on data rather than your PDE everyday.
"Quants" of the ole days may do math but today "quants" is synonymous with programming/coding/data. All the gritty details.
https://www.quantnet.com/threads/so-you-want-to-be-a-financial-engineer.11338/

Surely you don't want to become a math professor and can sit around and do math all day?

 

[Daniel Duffy]

Surely you don't want to become a math professor and can sit around and do math all day?
Some profs would love to do that but they get stuck in meetings, admin and politics.

 

[bigbadwolf]

Some profs would love to do that but they get stuck in meetings, admin and politics.

For most profs the tedium of meetings and admin work is a welcome relief from the pretence of trying to do math. What appetite they might have had for research math fizzles out by the time they get their tenure.

 

[MiloRambaldi]

For most profs the tedium of meetings and admin work is a welcome relief from the pretence of trying to do math. What appetite they might have had for research math fizzles out by the time they get their tenure.

I'm not sure about "most" but it is the case for very many.

However, I observed that for most math profs. politics was by far the most important game, with math taking a distant second fiddle.

 

[pruse]

Yes, my point is that i'd would like to do some math, not just 100 programming all my quant career ( if i decide to do that track of course) My question was if those jobs still exists, because sometimes I read that those jobs rarely exist anymore ( like Kuznetzov's book , "The Complete Guide to Capital Markets...." page 57)

Hmm, don't listen to the above posts. Just because you'll be coding most of the time, does not mean that quant work isn't math. If you don't understand the mathematics of the thing you're coding, or if you don't know combinatorics, optimization, etc., you can't expect to be a good coder. A person who's good mathematically (and by this I mean well-rounded in all types of logical reasoning) will be a good coder, and a good coder will naturally have to also be good mathematically. So don't worry, the two are married, and you will be doing plenty of math, even if it's not always with pencil & paper.

 

[bigbadwolf]

A person who's good mathematically (and by this I mean well-rounded in all types of logical reasoning) will be a good coder, and a good coder will naturally have to also be good mathematically. So don't worry, the two are married ...

Is this correct?

 

[pruse]

Is this correct?

With anything quant, yes of course.

 

[Daniel Duffy]

Is this correct?

Not necessarily; just because someone is good at maths does not necessarily mean you will become a good programmer. These are many good progammers who are lousy at maths.

 

[Daniel Duffy]

With anything quant, yes of course.

Can to quantify 'quant'? It is used so often that I don't know what it means anymore.

 

[pruse]

Not necessarily; just because someone is good at maths does not necessarily mean you will become a good programmer. These are many good progammers who are lousy at maths.

Read my above post and read the part in parentheses about what being good at 'maths' means.

I've never met a really good programmer who didn't also have good quantitative reasoning skills (which is what I mean by being good at 'math'). Also, every exceptional math person I've ever met has also been an exceptional programmer. If you only care to be mediocre, that's something else.

 

[pruse]

Can to quantify 'quant'? It is used so often that I don't know what it means anymore.

DrD asked about quant roles, not developer roles. If you're just a developer, then you probably provide some kind of support to the quants, and don't always know all the mathematical details (but have some general idea of the structure). Quants though, do a bit of both. They do mathematical/statistical research which in most cases involves a lot of data analysis using some high level language like Matlab.

 

[MiloRambaldi]

A person who's good mathematically (and by this I mean well-rounded in all types of logical reasoning) will be a good coder, and a good coder will naturally have to also be good mathematically. So don't worry, the two are married ...

That reminds me of my last boss. I tried to explain to him that he was violating the most basic principles of software design (among other things, he used to like copying the same block of code multiple times making minor modifications to each copy -- I'm not sure what this common anti-pattern is called), and he retorted "Ehh, I am mathematician!" with smug superiority: He claimed to have been a math professor in the old country.

But you have a point. His logical reasoning was constantly faulty, which led me to believe he was lying about his credentials. Perhaps he was a math teacher or lecturer. It's probably near impossible to verify credentials from the former Soviet Union ...

 

[bigbadwolf]

His logical reasoning was constantly faulty, which led me to believe he was lying about his credentials.

It's easy to be poor at logic and be an excellent mathematician but this is a whole other issue (the logic part comes in only when trying to present a body of results in an organised, coherent, and succinct fashion). I do know excellent coders who either don't know math or have no aptitude for it and conversely, I know excellent mathematicians who are either no-good coders or have no interest in it. Hence my question.

It reminds me of how, in the popular mind, aptitude for chess and aptitude for math are equated, with the connecting thread supposedly being "logical thinking." But in chess what's occurring is pattern recognition with a chessplayer subconsciously going through thousands of patterns (tactical, strategic, pawn structure, endgame, opening trap, etc.) and in math there's something else happening as well -- pattern recognition at some deep level, with the mathematician stumbling over and then recognising a new pattern. But they are very different sets of patterns. "Logical thinking" is either meaningless, used to express superficial tautologies, or used merely to tidy up an ill-organised body of results. It's not the animating force, not the creative elan vital.

 

[Keith Tan]

it's not very respectful to generalize mathematicians as bad coders.

Everyone can write code. But writing good code is an art, not science, maths, or physics.

Many bugs in software still exists today because even the most experienced programmers have difficulty writing good, robust codes.

If a mathematician can spend time writing code in OOP and review/refactor/criticize his own codes, even for the matter non OOP, then he/she is much better than even the most experienced programmers who fail to even adhere to basic programming practices.

 

[MiloRambaldi]

It's easy to be poor at logic and be an excellent mathematician but this is a whole other issue (the logic part comes in only when trying to present a body of results in an organised, coherent, and succinct fashion). I do know excellent coders who either don't know math or have no aptitude for it and conversely, I know excellent mathematicians who are either no-good coders or have no interest in it. Hence my question.

It reminds me of how, in the popular mind, aptitude for chess and aptitude for math are equated, with the connecting thread supposedly being "logical thinking." But in chess what's occurring is pattern recognition with a chessplayer subconsciously going through thousands of patterns (tactical, strategic, pawn structure, endgame, opening trap, etc.) and in math there's something else happening as well -- pattern recognition at some deep level, with the mathematician stumbling over and then recognising a new pattern. But they are very different sets of patterns. "Logical thinking" is either meaningless, used to express superficial tautologies, or used merely to tidy up an ill-organised body of results. It's not the animating force, not the creative elan vital.

Your points, unlike mine, are well-expressed. And of course we all know about people like John Nash. Nevertheless, I've spent many years around "real" mathematics (some very good, most not), and even when they are completely irrational their reasoning is not so blatantly faulty as the person I was just talking about.

But I think you downplaying "logical thinking" too far. Deep logical deductions play an important role in pure mathematics, while computing tactics several moves ahead in chess (and not merely recognizing learned tactical patterns) should also be considered "logical thinking"...

 

[pruse]

It's easy to be poor at logic and be an excellent mathematician but this is a whole other issue (the logic part comes in only when trying to present a body of results in an organised, coherent, and succinct fashion). I do know excellent coders who either don't know math or have no aptitude for it and conversely, I know excellent mathematicians who are either no-good coders or have no interest in it. Hence my question.

It reminds me of how, in the popular mind, aptitude for chess and aptitude for math are equated, with the connecting thread supposedly being "logical thinking." But in chess what's occurring is pattern recognition with a chessplayer subconsciously going through thousands of patterns (tactical, strategic, pawn structure, endgame, opening trap, etc.) and in math there's something else happening as well -- pattern recognition at some deep level, with the mathematician stumbling over and then recognising a new pattern. But they are very different sets of patterns. "Logical thinking" is either meaningless, used to express superficial tautologies, or used merely to tidy up an ill-organised body of results. It's not the animating force, not the creative elan vital.

The Chess vs. Math analogy doesn't quite apply to Programming vs. Math for the obvious reason that chess is a game. It requires foresight, putting yourself in the mind of another person, good memorization, etc. No wonder a lot of mathematicians are not good at chess -- for one, many have poor memories, and two, their opponents are math problems, not other human minds. Sound familiar? Programmers sit in rooms in highly focused trances for hours on end too.

How many comp sci courses are really discrete math courses at heart? Combinatorics is at the heart of computing. Besides, if you want to optimize your code, call it what you will, but that's math.