Math PhD-in-training needs advice

[Ben Dussault]

Hello all, my name is Ben and I'm currently a 1st year "pure" math graduate student at the University of Maryland looking to get a PhD. For various reasons I've decided not to become an academic and instead go into the private sector. I chose mathematical finance over signal processing because the mathematics seems more interesting. Since I'm "selling out" (in the words of my office-mates) I might as well sell out big and throw myself into the profession. I have a lot of questions, many of which I have partial or full answers to, but I'd like to get as many opinions as possible. I spent a couple hours last night searching around the forum.

Currently I'm taking ODEs and Probability/measure theory. I was advised by a Professor in Mathematical Finance that I should take PDEs as well. I took CS101 (Java) in college and C++ in high school. They came easily to me, but I imagine it will not be sufficient for quant work. So:

1 - What other introductory math classes are recommended for quant work?
2 - Are there standard business school classes that would be highly beneficial?
3 - What is the best way to continue in C++? C++ is the preferred language correct?
4 - Are there any standard text to the introduction of math finance? I have a couple but want to know if I'm missing anything.

I also have a couple questions about the lifestyle of a quant:

5 - What major US cities have a decent number of quant positions? I am married and want to know what all my options are.
6 - What is the average salary? I know this has been asked many times, but I want to make sure I've got the right idea. From what I gather starting pay is ~$100k and goes up somewhat linearly to ~$400 over the course of 5-6 years. Bonuses obviously vary, but can range from 50-100%. Do I have the right idea? If not, what is a conservative estimate?
7 - How many hours/day or hours/week do quants put in? I know the finance world requires a huge number of hours, but what about quants? I'm not adverse to working long hours, just want to know what I'm getting into.
8 - I understand the "lifespan" of a quant is generally not very long, under 10 years. What do ex-quants do?

Finally, is there any advice as to what I should be doing to make myself an attractive candidate other than the obvious quality of my work? Internships and the like? Any general advice?

Thanks in advance everyone!

 

[bigbadwolf]

Hello all, my name is Ben and I'm currently a 1st year "pure" math graduate student at the University of Maryland looking to get a PhD.

Have you got through the prelims (Ph.D. qualifying exams)? That's your first priority. Then you can start thinking about numerical methods for PDEs, stochastic calculus, etc.

 

[Andy Nguyen]

Hi Ben,
Quite a long list of questions so I give you a few quick pointers and revisit when I have more time.

3 - What is the best way to continue in C++? C++ is the preferred language correct?

Yes. VBA/Excel is for the front office, trader language so you want to be sharp on it.

4 - Are there any standard text to the introduction of math finance? I have a couple but want to know if I'm missing anything.

You want to get important books from Master list of useful Quantitative Finance books - QuantNetwork - Financial Engineering Forum

5 - What major US cities have a decent number of quant positions? I am married and want to know what all my options are.

NYC and Chicago to a lesser degree.

6 - What is the average salary? I know this has been asked many times, but I want to make sure I've got the right idea. From what I gather starting pay is ~$100k and goes up somewhat linearly to ~$400 over the course of 5-6 years. Bonuses obviously vary, but can range from 50-100%. Do I have the right idea? If not, what is a conservative estimate?

In a good market, roughly yes. In this market, depends on who you talk to, bonus can be 0-15% and in stock shares instead of cold cash. I know lot of people who were hugely disgusted with the bonus this year. Just hope for the best.

7 - How many hours/day or hours/week do quants put in? I know the finance world requires a huge number of hours, but what about quants? I'm not adverse to working long hours, just want to know what I'm getting into.

You don't know until you get there. I can only say from my own experience.
I usually work from when I get in to 8PM except days I have to run to Baruch for classes. That's a good 10-11 hours a day. I can get in at 2PM or 8AM and nobody gives a hoot. I can leave early and nobody cares. It's up to me how much I want to get things done. Even the people on my team have different hours than mine.
I'm sitting on a prop desk, not a flow desk and the guys on the next desk work different hours from ours. They are typically 9-5 guys. The guys on the flow desks more or less come and leave 1 hour before market open/close.

8 - I understand the "lifespan" of a quant is generally not very long, under 10 years. What do ex-quants do?

I'm not sure about that "10 year lifespan" notion but here are few things you can do:
Move around (different firms, desk). Move up (trader/manager). Move out (teaching/consulting). Retire (Take fly fishing classes).

 

[QuantNet]

Have you got through the prelims (Ph.D. qualifying exams)? That's your first priority. Then you can start thinking about numerical methods for PDEs, stochastic calculus, etc.

No, I haven't. Don't worry though, I'm suitably worried about them