OR PhD and master's for FE

[asimova]

How well does an Operations research master's or phd compare to a physics or math phd or MFE in the quant job market. I've heard a lot on physics/math phds and mfes but not much about OR

Are OR phds guys as competitive as physics phds?

 

[alain]

I've heard a lot on physics/math phds and mfes but not much about OR

There is a probably a reason for it.

 

[asimova]

what is your benchmark for defining competitiveness in quant jobs?

given all other things being equal(as the dismal scientists like to say) who will be preferred: a physics phd or a OR phd

let's say neither has done any direct finance stuff before but both are 'equally' smart as can be... i mean which one do employers see as more valuable or suited for a quant position

 

[asimova]

There is a probably a reason for it.

like...? will be glad to know what you think

 

[Yuriy]

First of all, those who do Ph.D. intend to work in the area of their concentration. That is, Physics Ph.D.s plan on doing something related to Physics after they graduate, and OR Ph.D.s plan on doing something reated to OR.

The difference is that Physics Ph.D.s sometimes work as post-docs or doing something that is not well-paid. I have seen job ads promising something like 40-50K to Physics or Chemistry post-docs. Given that there are well-paid jobs on Wall Street, some of Physics Ph.D.s want to switch. OR Ph.D.s have chances of finding much better jobs related to their Ph.D. Examples include heads, managers, senior staff of major industrial corporations. So there is no reason for them to switch and learn finance.

Another reason is that Physics is more applicable to finance than OR. Most Physics Ph.D.s are friendly with concepts of PDE, Brownian Motion, etc, but many OR majors specialize in logistics, supply chain management, graph and network theory and algorithms, factory/industrial operations, computational geometry - areas not related to finance.

 

[perrewperrew]

doesnt cornell has one call ORIE in financial engr?
is there such a big diff bet OR and FE?

 

[Yuriy]

Do you mean the difference between OR and IE? It is hard to say Some people might say that OR is a subfield of IE.

 

[IEOR]

I don't major in physics so I have no idea how competitive they may be w/ respect to FE. From what I am doing I can say that operations research has many applications to FE. Linear, integer, dynamic, and stochastic programmings are among many great things you may wish to have in your toolbox when it comes to FE.

 

[finmathguytr]

cornell's ORIE program seems interesting, do you think it is a good one? some say that studying a hard science topic would helps you increase your research ability but it might also be helpful for a quant career to get a more specific but more detailed perspective on the topic that one is going to focus, in this case FE or ORFIE PhDs.

 

[Yuriy]

Linear, integer, dynamic, and stochastic programmings are among many great things you may wish to have in your toolbox when it comes to FE.

Well, I'm not going to argue against usefulness of the above since I'm a STAT/OR major myself. What I would like to point out is the amount of "need" of these areas in FE. Yes, there are things that can be done using dynamic programming, but they don't even come close to the amout of PDEs used in Finance

In my days at CMU there used to be a course in Financial Optimization teaching how to use OR in FE. The course was an overview of linear, quadratic, dynamic, stochastic programming and their uses. As of now that course does not exist (I don't see it on the website). The first thing that comes to mind as a reason for dropping it is that CMU don't think it is as useful for future quants as other courses. On the other hand, the course on Numerical Methods is there.

 

[sheindele]

why do nonOR people always say much against OR?

Just a bit of trivia... I assume the audience here is famillar with HJM model... Well, HJM stands for Heath Jarrow Morton. Heath was a professor at Cornell ORIE (he went to CMU in 1997), Jarrow is still a finance professor at Cornell B-school, and Andy Morton was a PhD student at the time (in fact, HJM was his thesis, published 1992) at Cornell ORIE. If you do a search on Morton on the web, you will know that he is now the Global Head of Fixed Income at Lehman. I mean GLOBAL FI - this means trading, sales, securitizations, structuring, research, everything. Now, I'd say it is quite an achievement for a quant, in my opinion a bigger one than starting yet another $100Mil hedge fund. Those, familiar with Wall Street (outside the classroom practitioner presentations) will appreciate this.


Would love to hear a physics PhD who has reached the same level of seniority and recognition.

 

[Sanket Patel]

Ronald N. Kahn
Global Head of Advanced Equity Strategies
Barclays Global Investors

Greg E. Berman
Strategic Business Development
RiskMetrics Group

Peter Jaeckel
Global Head of Credit, Hybrid and Commodity Derivatives at ABN Amro

Emmanuel Derman
Head of Risk Management at Prisma Capital Partner

Jim Gatheral
Managing Director, Merril Lynch
Intructor, Courant Institute of Mathematical Sciences

Vladimir Finkelstein
Chief Science Officer of Horton Point LLC
Professor, Courant Institute of Mathematical Sciences

Caludio Albanese
Currently, Independent Consultant
Formerly, Vice President of Derivative Products Group, Fixed Income Division, Morgan Stanley

Alan Lewis
Independent Consultant
Chairman for Envision Financial Systems

to name a few...

 

[echostate]

Just a bit of trivia... I assume the audience here is famillar with HJM model... Well, HJM stands for Heath Jarrow Morton. Heath was a professor at Cornell ORIE (he went to CMU in 1997), Jarrow is still a finance professor at Cornell B-school, and Andy Morton was a PhD student at the time (in fact, HJM was his thesis, published 1992) at Cornell ORIE. If you do a search on Morton on the web, you will know that he is now the Global Head of Fixed Income at Lehman. I mean GLOBAL FI - this means trading, sales, securitizations, structuring, research, everything. Now, I'd say it is quite an achievement for a quant, in my opinion a bigger one than starting yet another $100Mil hedge fund. Those, familiar with Wall Street (outside the classroom practitioner presentations) will appreciate this.


Would love to hear a physics PhD who has reached the same level of seniority and recognition.

Don't waste your time to argue this.

OR students will emphasize the importance of OR, while Phy. students will argue for Phy. For this sort of question, it is just the group you are staying determines your perspective.

 

[sheindele]

Derman's boss is Cornell ORIE grad

Actually, I do not argue that OR is better than Physics. Frankly, someone who is looking for a PhD thesis in Math finance or finance engineering should be looking at research topics and faculty at various places and find the best fit for his/her interests. there is a huge difference between PhD and Master degrees. OR and Physics will have different prereqs for qualifying exams and to be succesful one has to be at least marginally interested in the topics. Finance stuff is the easiest part.

However, in response to Sankel Patel (I am sorry I just can not resist)
First, thank you for mentioning Prisma Capital. Girish Reddy who started the fund, and hired Derman is Cornell ORIE grad.
Second, none of the people you mention oversee such massive trading function as Morton at Lehman. People you mention are VERY succesful, deserve our respect and more. They are bonafide quants, ie modelers. Common, you should know the difference.

 

[alain]

Second, none of the people you mention oversee such massive trading function as Morton at Lehman.

I don't think Lehman is the poster child of success nowadays.

 

[echostate]

Actually, I do not argue that OR is better than Physics. Frankly, someone who is looking for a PhD thesis in Math finance or finance engineering should be looking at research topics and faculty at various places and find the best fit for his/her interests. there is a huge difference between PhD and Master degrees. OR and Physics will have different prereqs for qualifying exams and to be succesful one has to be at least marginally interested in the topics. Finance stuff is the easiest part.

However, in response to Sankel Patel (I am sorry I just can not resist)
First, thank you for mentioning Prisma Capital. Girish Reddy who started the fund, and hired Derman is Cornell ORIE grad.
Second, none of the people you mention oversee such massive trading function as Morton at Lehman. People you mention are VERY succesful, deserve our respect and more. They are bonafide quants, ie modelers. Common, you should know the difference.

On the one hand, as an old saying goes, where you sit determines what you see (and think). In other word, people always tend pay more attention on what we want to see, and tend to believe what they want to believe --- I call it people's nature of "selective observation" --- this is also why you are so aware of the success of former Cornell ORIE graduates. But actually, people from almost any major and any school can be highly successful.

On the other hand, even the guy you mentioned is really more successful than most other people, such a comparison still make no sense. Because ... it cannot generalize to you and me. The success of certain individual is due to his or her personal strength, rather than where he/she graduate from. The point you finally make has nothing to do with "whether or not the *majority* of ORIE graduates will be the most successful group in wall street". To say something about the majority, we need some statistics, rather than individual example of success.

The conclusion ... stop arguing on who is the most successful, what is his/her major, and where he/she graduate. Let us do something to actually improve ourselves rather than to "borrow" light from certain successful individual from our department.

 

[Sanket Patel]

Actually, I do not argue that OR is better than Physics. Frankly, someone who is looking for a PhD thesis in Math finance or finance engineering should be looking at research topics and faculty at various places and find the best fit for his/her interests. there is a huge difference between PhD and Master degrees. OR and Physics will have different prereqs for qualifying exams and to be succesful one has to be at least marginally interested in the topics. Finance stuff is the easiest part.

However, in response to Sankel Patel (I am sorry I just can not resist)
First, thank you for mentioning Prisma Capital. Girish Reddy who started the fund, and hired Derman is Cornell ORIE grad.
Second, none of the people you mention oversee such massive trading function as Morton at Lehman. People you mention are VERY succesful, deserve our respect and more. They are bonafide quants, ie modelers. Common, you should know the difference.

I'm not claiming that Physics is better the OR or vice versa, I was just naming a few Physics PhDs who have achieved a fair amount of seniority and recognition.

 

[Yuriy]

By the way, many students from the IE department at UF concentrate in FE, feel very comfortable about it and don't really care about Physics. Their major area of research is CVaR.