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Chicago MSFM Seeking changes, Chicago MSFM fired founding director

Last updated (5/18/10): We received a statement from Dean Robert Fefferman through the university's spokesman on May 18, 2010 in response to this article. A copy of the statement is appended after the original article.

15 years ago, Niels Nygaard, a professor in the department of mathematics at the University of Chicago, together with many academics at the university and with advice from a diverse collection of Chicago finance professionals, designed the master's degree program in the mathematics of finance (MSFM). The program was devised over the course of a year and was introduced in the fall of 1996. Playing important parts in the creation of the program were Robert Zimmer and Robert Fefferman. Zimmer, now President of the University, and Fefferman, now Dean of the Physical Sciences Division, successively served as Chairman of the Mathematics Department in the 1990s.

Of the 18 graduates who received degrees in 1997, three went on to PhD programs in finance or economics, and the other 15 are working at international commercial banks, hedge funds, investment banks, and consulting companies.
"We think that the employment picture for the future looks very good," Nygaard says in March 1998, "and we foresee an increasing demand for people with the kind of strong mathematical background that our program provides." Approximately 25 students will graduate this year, he says, and the plan is to keep the number of graduates between 25 and 30 in the future.

Over the years, the MSFM program has grown in size and reach. The program now has one remote program oversea in Singapore and another in Stamford, CT. The program enjoys favorable opinion among prospective applicants due to the reputation of the University of Chicago's Math department. It was ranked among the top 5 program in the 2009 Quant Network Rankings of Financial Engineering/ Mathematical Finance programs.
According to Steve Koppes, a spokesman for University of Chicago, the program currently enrolls 172 students, including 22 students enrolled at the program site in Singapore and another 22 students in Stamford, CT.

Announced only in February 2008, the Singapore program enrolled its first group of students in September of the same year. Local students pay $61,750 SGD (an equivalence of $45,076 USD) for the privilege of learning the same material as their Chicago counterparts. According to its website, the Singapore program, which, established in cooperation with the Economic Development Board of Singapore, is taught through a combination of interactive video conferencing and live on-site lectures by University of Chicago faculty who will periodically travel to Singapore to teach.

In December 2008, the Connecticut Department of Higher Education approved the University of Chicago's deal with UBS to continue offering a master's program in financial mathematics at UBS AG's campus in Stamford. The Stamford program was suggested by a Chicago faculty member who previously worked at UBS. The program enrolls between 25 and 40 UBS employees annually. Three of the 16 instructors in the University of Chicago's financial mathematics program are current or former UBS employees, including David Lee, chief risk officer at UBS; Paul Staneski and Timothy Weithers, who formerly worked in financial markets education at the Stamford office of UBS.

When Chicago started the MSFM program in 1996, it was among the first programs in the US that produce "quant", short for "quantitative analyst" - a person who works in finance using numerical or quantitative techniques. While the profession has gained attention in mainstream media due to its perceived role in causing the financial crisis of 2008, the proliferation of specialized quant masters programs started years earlier. Specialty one-year master's in finance have sprouted up across North America and beyond, giving would-be quants the qualifications they need to enter the trading game. Many entering students possess a PhD in math or physics.

According to QuantNet's program selector, since 1996, there has been at least 35 new programs established in the US to provide master degrees in Financial Engineering and Mathematical Finance. NYU, Columbia, UC Berkeley, Carnegie Mellon, Princeton all have offered a competing program since then. In 2009 alone, five universities have jumped on the wagon, notable among them MIT Sloan, UCLA Anderson, University of Illinois at Urbana-Champaign.
In mid March, words leaked that Chicago University has fired Nygaard, the MSFM program's founding and only director since its inception. The news only became public on March 25, when Dean Fefferman sent current students of the MSFM program an email (a copy of which was obtained by Quant Network) announcing that Niels Nygaard will be stepping down as Director.
The email caught alumni and students off guard, many of whom were taking C# course with Nygaard at the time. Their reaction ranged from shock, outpouring of support to Nygaard, to relief that change was finally coming. The lack of information further confused the program's alumni as well as current and prospective students who expressed frustration on various online discussion boards and social networking sites.
Numerous emails by Quant Network to Nygaard, Dean Fefferman, the program's PR firm, program's faculty seeking comment have not been returned.

Through a university spokesman, Dr. Peter Constantin - the Mathematics Dept Chair, released a statement to Quant Network that reads "Niels Nygaard has made significant contributions as director of the Master of Science Program in Financial Mathematics since its founding in 1996. Although he is no longer serving as director, he remains a valued and important member of the mathematics faculty."

Henri Berestycki, a visiting faculty, will be Interim Director while the search for a new Director is ongoing, Chair Constantin announced in an email to the program faculty on April 20.

Interviews with several students and alumni of the program indicated a pattern of growing discontent among students that went unaddressed for years before accumulating in the latest event. A source familiar with the firing told us that in addition to complaints about the program failing to meet students' career needs, Nygaard's long running tension with the university administration may have finally pushed the department to make drastic change.
Well-liked by many students, Nygaard is the longest tenured director among mathematical finance programs in the US. In some sense, his dismissal is a concession by University of Chicago to current students who, according to several sources, met privately with Dean Robert Fefferman to voice their frustration. Shortly after this meeting, several changes were made.

It will not be the only high level personnel change this year at the university. University of Chicago's Booth School of Business is expected to announce a new dean in the coming months, too; its dean, Edward Snyder, is taking a year off before stepping in as dean at Yale. He managed to score the largest gift ever given to a business school— $300 million donation to the University of Chicago in 2008. The Booth business school was named after the donor's, investment manager David Booth.

While the MBA students at Booth enjoy a dedicated career service afforded by the top ranked business school, many students in the MSFM program express resentment that their department has been slow to meet their career needs.

Despite its rapid growth, the Chicago MSFM is facing stiff competition from departments and business schools across the country whose competing financial engineering, mathematical finance programs aggressively advertise stellar placement numbers as main selling points. Tuition at these programs which traditionally last from one to two years can cost upward to $100K. While only a handful of programs publish detailed placement numbers of their graduates on their website (Chicago MSFM does not), the expectation among prospective students is high. These students normally come from China, India and other Asian countries where MFE education often involves a huge family saving or a loan where only a potential six figures salary job afterward can justify. For many of them, a dedicated placement service with a proven track record is among the most important factors when deciding a program to study.

While only few MFE programs post detailed job placement numbers on their website, the available public numbers keep such degrees in hot demand. Baruch MFE program reports an average base salary of $90,000 (low $75,000 and high $110,000) for its students who graduated in Dec '09 and May '10. For its class of 2009 MSCF Full-time graduates, CMU reports an average base salary of $87,397 (low $65,000 and high $120,000).
As the number of schools offering degrees in financial engineering (also known as quantitative finance, mathematical finance, financial mathematics) mushrooms the past decade, it's increasingly difficult for programs to stand out to attract prospective students and potential employers. Programs hosted in business schools such as Carnegie Mellon's MSCF (Tepper), UC Berkeley MFE (Haas), and MIT's Finance (Sloan) have learned to use their business school's network and career expertise to market themselves as placement-oriented.

Earlier this year, the Master in Finance program at MIT announced that it has received over 900 applications for 60 seat in its only second year. Established in 2009 out of MIT's Sloan Business School, the $72,000 one-year long program received only 175 applicants and admitted 27 students for its first class ever. Explaining its exponential growth and how it plans to use the resources at Sloan, Julie Strong, admission office of MIT Sloan said in an email to Quant Network that "M.Fin. students benefit from the integrated career planning and recruiting services of both MIT and MIT Sloan's Career Development offices, including skills assessment, job search, networking, resume building, and interview preparation workshops tailored to M. Fin. students, and individualized career planning advice".

While the Chicago MSFM program does not implicitly advertise its relationship with the university's business school, many students interviewed for this article cited the school's well-known Math Dept and Booth Business School among their main reasons for joining the program. Privately, they had hoped that the career service at the highly ranked Math department would be at least adequate and they would benefit from the business school's resources. When neither turns out to be true and their complaints yielded little result, some students have come to view themselves as cash cows for the department. The chief complaint among students is that the department has failed over the years to recognize that as a professional program, placement service is of utmost importance and concern to many.
In response, the program has hired Tim Weithers a few years ago as Associate Director to address the problem. Nygaard also hired John Zerolis as an adjunct lecturer in the program and to help with placement. According to several students we talked to, the effect of their hiring on job placement has been minimal.

In January, the university created a new staff position in the Math department reporting to the Dept Chairman and Program Director called "Executive Director" who <em>will guide the strategic direction of the program, assess and develop curriculum, and will participate in admissions and program marketing, student career development, and fundraising</em>. The student review submitted on quantnet.com and discussion on Wilmott forum, the stochastic course and its instructor generate the most remarks. While various instructors have taught the course over the years, Prof. Per Mykland is often mentioned unfavorably in most discussion.
Many graduates of the program we contacted have expressed optimism that the new director will be able to restore trust and bring much needed changes and leadership to the program. "I would like to thank Niels for his many years of service to the program and I'm excited to see what directions a new director will take the program in" - wrote Neal Groothuis, a 2008 graduate of the program.

After 15 years, the Chicago Financial Mathematics program finally realized it needs a new direction as it heads into the new decade. The competition for students and jobs is getting much more competitive. A few universities have already scheduled to offer a competing master degree in financial math in 2011-2012.

APENDIX I: A copy of the statement by Dean Robert Fefferman to Quant Network
When Quant first contacted our office for information, we considered the questions posed and elected to have the chair of our Mathematics Department, Peter Constantin, respond on behalf of the department and the Physical Sciences Division, of which I am dean.
I regret many impressions left by the resulting story, “Windy City of Change.” First, Niels Nygaard steps down from the director position on good terms with me and with the Financial Mathematics program. After 14 years of dedicated service as director of this program, he continues an active role as part of its leadership team and as a valued and highly effective instructor.

The writer failed to include the portion of Peter Constantin’s response that discussed the appointment of Henri Berestycki as interim director. Henri is a widely respected mathematician. He has been a visiting faculty member at the University of Chicago since 2005, and is professor and director of the Centre d’analyse et de mathematique sociales (CAMS) at the Ecole des Hautes Etudes en Sciences Sociales (EHESS) in Paris. We anticipate that Henri will continue to direct the program for the next two to three years while he remains in the United States.
We also have recognized that in order to be maximally effective, the director needs a stronger support structure. Accordingly, we created the position of executive director and have just appointed Bill DeRonne. Bill will contribute to our program his 30 years of experience as an investment professional and instructor, most recently as president and CEO of FOX River Education Technology LLC, an algorithmic execution broker/dealer.
Henri, together with Niels and Bill, will provide a strong leadership structure for a program that has been growing steadily in size and impact since its founding in 1996. Other steps we have taken to support the Financial Mathematics program include the hiring of both tenured and junior faculty whose academic interests are relevant to the program, an active program of distinguished visiting scholars, and sustained relationships with a set of industry experts. We are proud of our Financial Mathematics program and committed to remain a leader in this field.
Robert Fefferman
Dean, Physical Sciences Division
The University of Chicago

Editor's note: in response to Dean Fefferman's note that we failed to include the portion about the appointment of Henri Berestycki as interim director, we went back to check and in fact, we DID mention it. You can find this paragraph about a third way into the article.
Henri Berestycki, a visiting faculty, will be Interim Director while the search for a new Director is ongoing, Chair Constantin announced in an email to the program faculty on April 20.

Furthermore, we received Chair Peter Constantin's announcement about Berestycki's appointment of interim director from a student the same day it was emailed. This announcement was appended to Chair Constantin's statement to Quant Network on 4/26. We contacted Henri Berestycki (to both his chicago.edu and ehess.fr email acount) on 4/22/2010 but received no comment. This is to say we were aware about the interim director appointment and fully indicated that our original article.

APENDIX II: A copy of the email we received that includes the announcement about interim director appointment
You may have already heard this, but we just got an e-mail from the program that Henri Berestycki will serve as Interim Director of the finmath program. I pasted the e-mail we received below.
Date: Tue, 20 Apr 2010 15:35:12 -0500
From: Bulent Yagcier ****@uchicago.edu
Subject: Interim Director FM
Cc: Peter Constantin <*****@cs.uchicago.edu>
---------- Forwarded message ----------
Date: Tue, 20 Apr 2010 12:13:41 -0500 (CDT)
From: Peter Constantin <*****@cs.uchicago.edu>
To: ***@math.uchicago.edu
Subject: Interim Director FM
I am pleased to announce that Henri Berestycki has agreed to serve as Interim Director of the Master of Science Program in Financial Mathematics.
Henri, who has been a regular visiting faculty member here since 2005, is Professor and Director of the Centre d'analyse et de mathematique sociales
(CAMS) at the Ecole des Hautes Etudes en Sciences Sociales (EHESS) in Paris.
His interests include partial differential equations, variational calculus, mathematical models of the financial markets, mathematical models in biology and ecology, modeling in social sciences. Among his many recognitions, this year he was awarded the French Legion of Honor.
Henri succeeds Professor Niels Nygaard, who has directed the program since its founding in 1996. Niels has been an energetic and devoted founding director and the program has thrived remarkably under his leadership.
Please join me in congratulating Henri on his appointment, and thanking Niels for his many contributions.
Peter Constantin
Louis Block Distinguished Service Professor Chair Department of Mathematics The University of Chicago Ry362A
5734 S. University Ave
Chicago, Il 60637
(773) 702-7399
re: Niels Nygaard, founding director of Chicago MSFM since 1996, has been replaced as the program tries to respond to students complaints and growing discontent

Comment by Alexander Adamchuk, UChicago MSFM'98 alumnus:
"This statement simply is not true.
Most if not all UChicago FinMath students love and admire Professor Niels Nygaard. Ask the alumni of FinMath Program. I'm one of them. The FinMath program at the University of Chicago is a great success mostly due to extremely hard work and devotion of its 1st Director and The Founder Prof. Niels Nygaard. Some students (2-5 out of 200) complained about the program that is too short , too intensive and too demanding and about the courses that are too advanced. It is not easy Program. Everybody is concerned about placement now. Even last year at the difficult job market conditions Niels was able to help many of his students to find a job. Last year almost 100% of all graduating students had the job offers before the graduation date. The class size is too large now but it is not Prof. Nygaard's fault. It was a decision of the UChicago administration to admit 50 students more last year due to high demand. This year there are more than 1000 applications for the Program because of its reputation and a track record of its alumni success. After all, Niels has agreed to stay with the Program as a Founding Director and to teach his classes and to oversee the development of a Singapore program which he has created a couple years ago. A new interim director is a long-time friend and colleague of Prof. Niels Nygaard. They are closely collaborating now on the development of the Program. The program is in transition. A search for newly created position of an executive director is not finished yet. There are some good candidates."
As to what happened with Prof. Nygaard, I still don't know and have not received a satisfactory answer from anyone in the program. But the notion that the students only type in a few lines of code can only come from someone who is clearly not familiar with any class taught by Mykland, Paulsen, Hanson or any of the courses in the Finance track. Indeed even in the one class where starter code is given, you have to add a minimum of 10 lines rather than a maximum (actually likely more). What is good teaching is subjective and opinions differ between people. Mr. Skilton and I likely agree, while a number of people don't. Having talked to some of the unhappy students, I second Mr. Skilton's notion that they were almost universally expecting something like business school. They were not interested in a degree that is more like a math grad degree and do not like the teaching methods and expectations of those kinds of programs. The reason that some are not finding jobs is not because they have not been taught well. If that were true placement statistics for Chicago would be bad in both good and bad years. That is simply not the case. The fault, dear Brutus, is not in the stars, but in ourselves, that we are underlings.
"Pages of abstract proofs hundreds of lines of code ha ha ha all the m files are supplied to you and you have to fill in maximum 10 lines of code. My friends in the program are quite demoralized because they are not getting hired because they have not been taught well."

Evidently, your friends have not been doing their homework, which would explain why they are having problems. If they had done their work, they would know that the m-files are only provided for you in one class (Roger Lee's Numerical Methods class), and only for the first few assignments. In all the other classes you have to build your own from scratch.

Second, no one wants career-changers anymore. With the flood of unemployed quants with experience on the street, no one wants people fresh out of a finmath program who have no experience in the industry. This will probably change as the industry recovers, but it is a problem now.

"So if the U of Chicago is letting in too many unqualified (weak math skill) students that are just set up to get overwhelmed by the math/course work, then who's to blame?"

The program is marketed as a highly mathematical program. I think a lot of students simply didn't do the homework. On the website it says that you are recommended to have experience through Calc II and SDEs, statistics, probability/measure theory, and matrix algebra. In addition, there is a 9 month math prep course taught by Dr. Nygaard that one can take before entering the program. A number of students simply did not do their due diligence, and thought this was like a masters in financial analysis or an MFE.