Stochastic pde or monte carlo?

[Jian Wang]

hi

i am now the phd in financial math, Before I came here I have some actuarial working experience in china, conducting some investment products. and now I am the ASA

my question is that wihch subject is more useful? stochastic pde or monte carlo from the boss view in the quant industry.

I know that the numerical pde and stochastic pde is helpful to get the numerical solution of the financial product and monte carlo is helpful to some path dependent product which can not be written as a numerical form.

I just want to know which part is more useful in the quant industry.

Thanks a lot and welcome every comments

 

[Jian Wang]

no reply?????????????????

 

[TraderJoe]

If your goal is to work in Fundamental Research Group or Quant Trading Strategy Group, then Stochastic PDE is more useful. But you MUST get the PhD degree. The job description will require the PhD degree.

 

[Jian Wang]

Thanks a lot !!!!!!!!!!

 

[Daniel Duffy]

Do you mean SPDE? These exist but do you not mean PDE (in the mathematical physics sense, e.g. Kolmogorov PDE, Black Scholes).??

 

[Jian Wang]

hi

I did not have the spde course yet only have the pde course.

I do not know why you ask this question

you mean the sde ( BS method is widely used?)

I think for quant know the method of pde and sde and give the numerical solution is the key?

my opinion since I do not have the industry experience

Do you mean SPDE? These exist but do you not mean PDE (in the mathematical physics sense, e.g. Kolmogorov PDE, Black Scholes).??

 

[Daniel Duffy]

my 2 cents is that I hardly ever see discussions/get questions on SPDE. The 'other' PDE is a different story.