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Math requirement for MFE programs

Krishnan Ramaseshan

Joined
1/8/13
Messages
2
Points
11
Hello,

Apologies for a long post.

I am seeking some advice regarding my decision to do a financial Mathematics course.

My background:
I'm an engineering graduate working as a Senior C++ programmer for the last 10 years. I have been working in the finance industry (FX, Futures etc) for the last 5 years. Most of my programming has been spent on building tools that process the trades, price feeds etc. Now, I would like to be involved in designing the models and coding them. I wish to upgrade my skills and I wish to become a quant developer. Hence my interest in doing a MSc in Financial Mathematics.

My current situation:
Due to my background, I am adept at C++ programming and hence I'm confident about the programming knowledge required to be a quant developer. I want to do the course to improve my skills in the mathematics and finance components. It has been more than 10 years since I did Mathematics. But I'm fairly strong in my mathematics concepts (and scored well in my undergraduate Math course) and I'm very confident in picking them up again. I recently did a self-test from a sample test available at Warwicks which allows us to gauge where we stand with our Math knowledge. It did not go well as I have forgotten most of it.

So to summarise -
Math - Rusty but confident of picking it up given some time.
Finance - basics, good knowledge of FX, No knowledge of derivative pricing etc.
C++ - Very good

My question is -
a. I was planning to apply for the RMFE course at Imperial, MFM at Warwicks this year. Should I take some time, get upto speed with the Math required and then maybe apply in 2014? How much of an expert do you have to be to do well in the course?
b. Does age matter here? I'm 33 and I see many of the students taking this course to be recent graduates (presumably in their early twenties).

Looking at my background and my interest to be a quant developer, if there is anything you want to comment, please feel free. I'm all ears for any kind of advice.
 
What maths topics did you do during your engineering degree?
 
Hi Krishnan,
Well i'm in same boat as you are. 9 years exp as C++ Software Engineer and looking for Quant career. Before joining some MFE program, i wanted to enhance my forgotten Math skills that's why taking Pre-MFE course at Baruch. As fas as i know,
(1) Basic Math skills should be Probability Theory, Advanced calculus and Linear Algebra. It's better to revise your Old Math skills rather than joining any RMFE course upfront.
(2) Somehow age matters but i weigh Skills more than age. One of my friend got a Quant position at 34.
 
David: I have done Advanced Calculus and Linear Algebra but it was more from a pure Math perspective. I don't remember most of it and would definitely require some refresher before I commit to a course.

Andy: Thanks. I have gone through the book and my goal is to be comfortable with the problems in this book before I can consider looking at MFE programs. But I see this taking time considering my work commitments. You have a valid point about doing it part-time and the only option I see in UK is to take up Paul Wilmott's CQF course. Do you have any opinions about this course? Job Opportunities later?

Gaurav: Did your friend in Quant do a course at Baruch? What is your game plan?
 
Krishnan Ramaseshan said:
But I see this taking time considering my work commitments. You have a valid point about doing it part-time and the only option I see in UK is to take up Paul Wilmott's CQF course. Do you have any opinions about this course? Job Opportunities later?
Click to expand...
Anything you do will take time from your work commitments but you already know this.
https://www.quantnet.com/threads/review-of-certificate-in-quantitative-finance-cqf-program.9947/
https://www.quantnet.com/threads/cqf-as-a-prep-mfe.6466/
 
Well, my friend didn't do MFE. He was a PhD holder in theoretical computer science and was working in IT company since last 8 years and then switched to Quant.My only point to mention my friend was that age doesn't matter:)

May be we can get some guy on this forum who is having 8-9+ years of experience in IT and then switched to Quant career. They can share their experiences after MFE.

Right now i'm concentrating only on Math refresher courses and then 'll apply for MFE.
 
Hi Guys,

I am on similar situation. I have been in IT for 11 years and nearly 8 years with IBanks, working in Equities( trading), FX and Swaps. I did my Comp Science engineering and have similar Math skills as Krishnan mentioned earlier.

I have been reading through lot of forums but not yet clear on how to switch career into Quant algo/HFT developer roles. No bank or hedge fund give a break without relevant experience or degree.

Can someone please suggest what course shall I try to get in? I have looked at Cass Business school of London and few other options.

Gaurav/Krishnan - I live in London. Do you guys mind having a small study group or getting in touch to see if we can help or share info with each other?

Cheers
 
Krishnan Ramaseshan said:
[...]
So to summarise -
Math - Rusty but confident of picking it up given some time.
Finance - basics, good knowledge of FX, No knowledge of derivative pricing etc.
C++ - Very good

My question is -
a. I was planning to apply for the RMFE course at Imperial, MFM at Warwicks this year. Should I take some time, get upto speed with the Math required and then maybe apply in 2014? How much of an expert do you have to be to do well in the course?
b. Does age matter here? I'm 33 and I see many of the students taking this course to be recent graduates (presumably in their early twenties).

Looking at my background and my interest to be a quant developer, if there is anything you want to comment, please feel free. I'm all ears for any kind of advice.
Click to expand...

There aren't really that many people that are truly good at math. I'm not talking about advanced knowledge but about being adept at handling technicalities and having solid intuition about the basics. This statement goes for people in financial engineering programs too (I'm at Rutgers, but I also know people that are familiar with Baruch and Chicago).
If you were a top student in your math classes in a strong undergrad program, I don't see any need for concern. I do think one thing that is overlooked often when people ask questions like this is mathematical maturity. It's likely, given what you said about your background and work experience, that you have it. You say you're "rusty" but you will probably find some things are a lot easier than you remember. That's because our ability to handle abstractions (and meta-abstractions and meta-meta...) gets better over time. I once taught a student in a linear algebra course who was able to coherently discuss with me Hilbert spaces, even though we had just covered the definition of a vector space (which he had not previously known). Most students don't have that maturity at that stage, but they develop it later. I've also had older students who didn't do well in math courses long ago, but then they say it's so much easier now to understand calculus (or whatever).

Intellectual maturity is also key. In a financial engineering program, you'll get a lot of things thrown at you. It may not be taught systematically and thoroughly as you are accustomed to. You'll be expected to pick things up on your own, do your own search for materials, and so on. You may also have to consult heavily with other students to learn things, which is a foreign experience for students that were stars at their undergrad but are just average in a good MFE program. Again, from your work experience, I would assume this is all par for the course for you. It does help to be older and more experienced.

Oh, and I've definitely seen older guys get quant jobs. As an older guy myself, that encourages me :)
 
C S how mature do you mean? I'm in my mid-30s finishing my Masters in Science and applying for quant positions next year (I have worked for many year and got a finance degree with honours etc). Is that considered old do you think? Anyway I've won quite a few awards/scholarships/had my thesis published in one of the top journals so hopefully it won't matter for me!
 
As for the guys above you should really think about how much time you're willing to commit and the income lost etc i.e. whether you can afford it (not to mention tuition fees). Forget about study groups you'll need to do it on your own, it's maths not computing. Do you really think that with any added study you'd get employed as a quant? You need to be very real about your capabilities and commitment to learning as it's s huge risk, especially with no finance/relevant maths background at all (what you have done is not even equivalent to 1st and 2nd year maths).

I was in finance for many years and decided to switch to the purely quant stuff. My maths was like yours it took me about 3 YEARS to get good enough to become the top student, and I'm talking about full-time study. Even if you got into a 1 or 2 year MFE would you have enough time to get up to speed on your maths AND be the top student (because with your backgrounds you'd need to be or else you don't stand a chance of ever getting employed).

I already have job offers now but I can definitely say it was without doubt the hardest thing I've ever done in my life and so much harder than I ever thought it would be, as well as the hours it took etc. Are you wiling to go through that yourself?
 
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