Recent College Grad looking at career opportunities

Hi everyone! I would like to say that this is a great resource on financial engineering and is helpful in discovering some of the key concepts to learn in order to become a 'quant'.

I just recently graduated from the University of Central Florida with a 3.4 in Actuarial Science and a minor in mathematics. So I took courses like finance, calculus, accounting, statistics, linear algebra, C programming, numerical calculus, time series, regression and time value of money. I did well in one of my professor's courses so he allowed me to take the graduate course on derivatives which covered the entire McDonald book. Basically Black-Scholes, brownian motion, Ito's Lemma, mean reversion, arithmetic, geometric, BDT, the greeks, binomial trees, interest rate caplets / caps, sharpe ratios, etc etc. I also did some projects on Principle Component Analysis, ruin theory and logistic regression. Basically a solid base to start with.

I am finding actuarial work to be boring and slow (I am at an internship for the summer). I really want to get a jump into an asset liability manager / portfolio manager role and see no quick way of getting there. I have already passed the first two SOA exams and possibly the models financial engineering one as well. First exam = probability w/ calculus, set theory, permuations, combinations, multivariate and univariate probability distributions. Second exam = time value of money, basic hedging, arbitrage, puts, calls, futures, swaps, futures, forwards.

Glancing over the list of this year's Baruch program members. It seems that I am slightly outclassed by everyone there... Several PhDs, multiple masters on masters and all crazy high GPAs. I think my problem is that throughout my schooling I have never really been challenged. I could attend class, not do the homework, study a little bit before test day (usually on test day) and pass the tests. I didn't care too much if I got the B or an A.

I am just trying to find the quickest way into a more financial position that deals with financial derivatives and based on what I have seen from these programs is that I am about 2-4 years out from being able to be accepted. In the meantime I am either getting the Hull book or Fabozzi's and going to work on MBS.

p.s. How much different is C++ from C?
 
In the meantime I am either getting the Hull book or Fabozzi's and going to work on MBS

If you've already worked through McDonald, don't waste your time (and money) on Hull. There is a very significant overlap (I can't think offhand of anything in Hull that's not in McDonald). Try something like Vol.2 of Shreve (continuous-time finance) instead, or learn something about PDEs and associated numerical methods.
 
If you've already worked through McDonald, don't waste your time (and money) on Hull. There is a very significant overlap (I can't think offhand of anything in Hull that's not in McDonald). Try something like Vol.2 of Shreve (continuous-time finance) instead, or learn something about PDEs and associated numerical methods.

I was thinking more along the lines of their Fixed Income books for the hull/fabozzi , which is what my prof suggested I go through.

In Andy's book list I cant find anything on PDEs, but materials on finite difference methods should be good? I'll also take a look at Shreve 2.

Thanks a bunch!
 
Hull's and Fabozzi's books for MBS are like dictionaries - when you finish reading them you will be able to understand meaning of the words but won't be able to construct a simple sentence. There are not many (if any) good books on ABS/MBS topic. This one is good:
Amazon.com: The Analysis of Structured Securities: Precise Risk Measurement and Capital Allocation: Sylvain Raynes, Ann Rutledge: Books However, it might be tough to learn from it on your own.

Shreve volume II is overkill. Too theoretical and uses very high end math. I wouldn't recommend it for self study.

C and C++ are two different worlds. However, you can run a C program using C++ compiler. Therefore, some people get an idea that two languages are almost the same.

For PDEs/numerical methods this book will be a good starting point:
Amazon.com: A Primer for the Mathematics of Financial Engineering: Dan Stefanica: Books
 
Am I correct in thinking that I would need to get a masters in something or a few years of working experience before I would even be considered for some of these top notch MFE programs? If so, that is a bit disappointing.

Thanks for the quick responses!
 
Hey there Swindler...I have a question, although a bit offtopic...

Did you happen to ever hear of a Professor Joseph Hartman from the Industrial and Systems Engineering department at your college? He used to be the chair of my ISE department at Lehigh University but left us :(
 
Am I correct in thinking that I would need to get a masters in something or a few years of working experience before I would even be considered for some of these top notch MFE programs? If so, that is a bit disappointing.

Top programs are looking to admit students who can become successful practitioners after graduation. If you think you are, make sure to explain this point on your essay and apply to a few schools.

Unfortunately, there is no other way to find out if you would be considered for a particular school or not but applying and waiting for result.

Good Luck!
 
Thanks Maxrun.

Hey there Swindler...I have a question, although a bit offtopic...

Did you happen to ever hear of a Professor Joseph Hartman from the Industrial and Systems Engineering department at your college? He used to be the chair of my ISE department at Lehigh University but left us :(


Sorry, I haven't heard of a Prof. Hartman.
 
Top