Mathematical finance vs computer science

[Erik Grabljevec]

Hello.

I'm currently applying to MS on Oxford and Imperial.
Given my profile and goals, I need help deciding between masters in mathematical finance and computer science.

PROFILE:
Undergraduate financial maths student (gpa 9.9 out of 10, ranked first in class).
Classes taken: probability, statistics, stohastic processes, linear algebra, analysis 1-3, numerical methods 1-2 etc.
Second place at national programming competition and upper half placement at international programming competition.
3 months experience working as software developer.

GOALS:
I will get job right after MS.
Would like to work as quant with very big programming component (quantitative developer maybe?).
I want job where "you can make it big".
I enjoy developing and implementing algorithms.
I would like to work ~60 hours a week.

Thank you very much for your help!

 

[Erik Grabljevec]

Thank you for relpy.
Masters in Fin Math will be similar to my current program but on more advanced level.
Can you clarify what it means to select computer science track at that program?
Thank you.

 

[Dataminer]

I got a question, you mentioned that you've done very well at programming competition, so you must be good at programming, so what are you hoping to get out of MS in CS? Machine learning? algorithms? more technical understanding of operating system or language? I think the same can be asked about MS in Fin engineering given that you are doing undergraduate study in financial mathematics.

 

[GoIllini]

If your goal is simply to get a nice, white-collar job paying 40K GBP/year in the UK or $70K/year in the US, I'd think long and hard about an MS in CS and pegging yourself as a developer.

I think applied math + CS gives you more options than applied math + applied math. But that's just me. (I'm the other way around- I'm CS + MFE).

I think that if you truly enjoy the quant stuff, you should do an MFE. It is extremely difficult to get hired as a quant straight out of undergrad. (Although you should be able to land somewhere in research or trading if you're decent at interviewing.)

If you're a more pragmatic person who just wants to keep his options open, an MS in CS will close none of the doors that are currently open to you, and will open a number in tech- if you can handle algorithms.

 

[drahmah]

Personally i think that you can "make it big" anywhere as long as you are really good at what you do. In terms of finance though, I think whether you go for an MSFM or MSCS depends largely on what you really want to do...I'm just a newbie but based on what I've experienced/heard so far:
- With an MSFM from Oxford you are within target of BB banks for S&T roles (Citi, UBS, JPM...etc). I heard that S&T does not require advanced coding at all. Mostly you will be using Matlab and Excel VBA to implement the strategies developed by quants. What's important is that you know your finance. Greeks, portfolio replication, market correlations, hedging...etc, and this is what an MSFM degree focuses on.

- With an MSCS degree, if you want to go work for a BB bank, I guess most people go to the IT side. But from what I observe, me being close to the options futures exchanges in Chicago, there is much higher demand for MSCS people in prop trading firms and you may also find careers at such firms to be more fulfilling. The career fair on my campus close to Chicago is literally filled with prop trading firms looking for CS people, and I was surprised to see even "elite" prop shops like PDT Partners hiring very aggressively. The role of CS people in prop-shops like you said, has a very important programming component and mostly you help program the algorithms and strategies that the quant researchers (with PhDs in physics) develop. A difference of a couple microseconds in how fast your code runs can be the difference between losing and making a million dollars, and so programmers at prop-shops put in insane amounts of effort fine-tuning their code. Nowadays, there are even things called "momentum-ignition strategies" where you design code that tricks other firm's algorithms to buy-high and sell-low so that you can make money off of their mistakes. If this is the type of stuff that turns you on, then you will need an MSCS degree and not an MSFM degree.

- I believe that the main value in an Oxford degree is the pedigree though. Many people get an MSFM degree and they won't even be considered for positions at bulge-bracket banks because they do not have this. Good for you, you are entitled to the safe and secure way to success if that is what you desire - just get the MSFM degree. But if you want something more risky and thrilling, you really feel confident in your ability to code, then its not unheard of for people becoming millionaires after their first 5 years in prop trading.

 

[Erik Grabljevec]

Thank you very much for your replies