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programmer seeking mfe or fin math

Herof

Joined
5/13/08
Messages
3
Points
11
Hello everyone-

I am a first time poster and am seeking some advice regarding grad school. I am a programmer at heart and am working currently as an independent programmer(not in the financial industry) while finishing a BS in Comp Sci. I would really like to get into either algo trading system dev. or any other quant dev. My question lies with the type of grad program that would be best for me. I would say I am pretty fluent in C# and C++, so I would like to direct my grad school studies more towards math. Does anyone have any advice as to where I should focus my studies (MFE or Financial Math) if I want to end up being a developer? Or will I end up doing development stuff anyway if I grab either of these degrees?
 
First of all, the name is not a good indicator of the nature of the program. Some has "quantitative" in it but does not teach programming. Some has "math" in the name but is more a finance program.
Secondly, you should start by looking at course contents of several programs. A good place to start out is our wiki at quantnet.com/wiki
It is NYC centric so if you have a different geographical preferrence, you should look on iafe.org for a full list.
In NYC, you should look at Baruch, NYU, CMU, Columbia.
In addition, your logic says that since you are a good programmer, you want to fill in the math and finance. While it makes sense for someone with your background, it's not that simple.
You want to go a program that all three facets are tightly integrated. You can learn all tha math and finance but it would be a waste if you don't learn how to use all that knowledge into a pricing engine, structured finance deal, etc.
If you are as good a programmer as you say, you can pick up books, study for few months and get a job. There are always need for good developers.
Pick up Hull, Shreve, Joshi, Stefanica books for some intro reading. The full list is in my signature.
In short, my advice would be to go to a program that is strong in computing. It may sound counterintuitive at first. Most math intensive programs require students with strong math background. That kind of program is not an ideal place for some working programmer who is struggling with stochastic or high level math.
It means you need to learn more of what you are good at. No program will make you a mathematician or finance guru. You want to come out of a program with super dev skill and good math, finance training. This is specially crucial since you want to become a quant dev. You want to become a specialist, not a generalist.
 
another question

Andy-

Thanks for your reply. After searching the site and reading your post on automated trading stuff, it seems like this is your specialty. I have further questions that pertain to choosing the correct school. From your own experience, did you walk into grad school knowing the C++ and did they simply make you into automated trading developer? Or did it take schooling, as well as experience in the workforce, and working on it on your own. The reason I ask is this: One can know quite a bit about developing in C++ or C# but only in relation to building a site like myspace or facebook(like myself). I want to be able to jump into the financial market as a developer but know some chump just with generic C++ or C# does take the cake. This is obviously where school comes in, and where my previous came from. I know I don't want to go and grab an MS in Comp Sci because it is also too generic. Anyways, after this long intro, how did you personally get into the quant developer market? or if anyone out there wants to chime in about how their Masters program gave them a bridge into a quant developer role.
 
First off, I'm not working in automated trading so I don't know much about it. There are few members here who work in that space you can direct any specific question to them.
As for your other questions, I need to declare that I'm studying in the Baruch MFE program so my experience and opinion only pertain to this program.
I know C++ coming in the program and I would rate my programming skill as above average, not professional level. I think the program equips me with a different mindset when it comes to programming. I gotta learn to think in financial terms where as a MS in CS is just too generic. I happen to have a MS in CS for what it worth.
Also, keep in mind that not everyone wants to or ends up being a quant developer. The program certainly prepares you for various roles.
I think the important things I learn in the MFE program differently from the MS in CS is that the former trains you to think on your feet. The mentality between IT shops and software development in finance is that in finance, you don't have time to for a normal development cycle as in IT. Time is money and the delivery is now. So people tend to do a lot of quick development. If it's not perfect but still makes money, so be it. This is specially true if you work in a front office. Traders are not gonna waste time for that number to come out. They don't care how beautiful your code is.
In any case, you certainly can find people here with more development skills than I do. In my experience, the Baruch program is pretty programming intensive (C++ exclusively) and I think it helps me big time in what I end up doing. If you have to pick a program, I would say go to one that does serious C++, not Matlab, VBA, C#, etc.
 
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