U. Washington Computational Finance program

[brydavis.mpa]

Prospective student here with a couple questions:

1. How much calculus should incoming students know (or remember)?
2. What is the average GRE math score thus far for incoming students?
3. Is the application process very competitive yet?
4. How much time do you spend outside of class on classwork?
5. Is the workload mostly solo- or team-based?

Personally, I am very comfortable with several kinds of statistical analysis (e.g. types of univariate and multivariate analyses); am very proficient in Excel and Stata and a quick study in learning computer programs. I tested pretty well on the GRE math section, but unfortunately don't remember much from calculus courses I took almost a decade ago. If accepted into the program, would someone like myself survive in the program?

Thanks in advance for the input!

 

[Ian Kaplan]

Here's my take on the answers to your questions. I am taking options and derivatives this coming quarter and I'm not sure what I'll need for this class. I have collected some used edition of books on "financial calculus" and stochastic finance just in case.

Calculus (based on what I've actually used so far):
+ basic derivatives and chain rule
+ partial derivatives
+ Taylor series
+ Lagrange multipliers (not covered a lot in most calculus classes but used in portfolio theory).
+ basic integration and solutions to integration

Linear Algebra (very important):
+ dot products
+ matrix products
+ Linear algebra as algebra (e.g., solutions to linear algebra equations)
+ QR decomposition (only in the advanced statistics class)
+ back substitution (only in the advanced statistics class)

Programming: the program makes heavy use of R. One of the required courses is a class in financial engineering using R and Ruppert's book. A good, but very intense course.

I have no idea what the GRE scores are. I didn't have to submit GRE scores and last time I looked they were not required.

How selective: well, they let me in. What can I say? My fellow classmates are really smart. I basically see myself in the middle of the pack.

The work load depends on the person. I have a feeling that it takes me longer than some (most?) of my classmates. I work full time while taking classes, so I take one class a quarter. I pretty much work, do school work, eat and sleep. I'd say that I spend well over 20 hours a week on school work. Your mileage may vary.

Almost all of the classes are solo, although there is a discussion board where you can post questions. I believe that one of the risk classes has a project for a small team of students.

Having a good background in statistics is a real plus. I had only a basic statistics background when I started. A lot of finance involves statistics. Understanding multivariate distributions, covariance and distributions like the Chi-square is all very useful going in (p-values, the F test, etc are all good too).

If you are committed to succeed, put in the time and ask questions I think that you will succeed in the program.

 

[brydavis.mpa]

Thanks, Ian. I seriously don't remember calculus, in part because I never use it (at least knowingly).... Although I've always been able to do the math, I'm just concerned about picking all the concepts back up. I'm not too worried about the programming emphasis.

You're right about the absent GRE requirement; I just felt like asking to assess where my abilities may fall in the pack and whether I should apply.

I'm also trying to gauge whether the program objectives and my expectations align. Does everyone in the program expect to work exclusively in the finance industry? Other examples, e.g. government or nonprofit?

Anyone else wish to offer input, please do.

 

[Ian Kaplan]

I think that many people in the UW program are planning on working in finance (e.g., hedge funds, investment funds, banks). There are some very experienced people in the UW program who are in the program for career growth.

One of the people in the certificate program was working for a state retirement fund. He gave a very interesting guest lecture in our portfolio construction class.

I have seen quant jobs at the SEC and the Fed. I don't know about the Treasury, but I'd assume that there are quant jobs there too.

International companies have to hedge their currency exposure and are increasingly using sophisticated financial engineering, so there may be jobs there. Some universities have investment groups that rival hedge funds in their sophistication (and results).

 

[Erik Lehr]

I came to try and answer the question, but I see that Ian has pretty much covered everything. The only thing I would add is that there are no shortage of "quant" type jobs both in what I would consider the "finance" industry and outside of it. Along with what Ian mentioned, the skills taught in the program could prepare you for non-financial economic or statistical positions, or even programming jobs. All that being said, the focus of the program is quantitative finance, so that is the arena where graduates are most likely to end up (money managers, investment advisors, banks, etc.)

 

[Jose T]

I came to try and answer the question, but I see that Ian has pretty much covered everything. The only thing I would add is that there are no shortage of "quant" type jobs both in what I would consider the "finance" industry and outside of it. Along with what Ian mentioned, the skills taught in the program could prepare you for non-financial economic or statistical positions, or even programming jobs. All that being said, the focus of the program is quantitative finance, so that is the arena where graduates are most likely to end up (money managers, investment advisors, banks, etc.)

Have you been following the news? At least in the NYC market there have been massive layoffs by the major banks. More applicants for less positions is what I characterize as a 'shortage of jobs' in finance.

 

[Erik Lehr]

Have you been following the news? At least in the NYC market there have been massive layoffs by the major banks. More applicants for less positions is what I characterize as a 'shortage of jobs' in finance.

Sorry Jose, I wasn't exactly clear. What I was trying to say is that there are no shortage of types of quant jobs. I can't really speak to the quantity of job openings, though I get the impression that the job market off Wall Street is in fairly decent shape.

 

[Jose T]

Sorry Jose, I wasn't exactly clear. What I was trying to say is that there are no shortage of types of quant jobs. I can't really speak to the quantity of job openings, though I get the impression that the job market off Wall Street is in fairly decent shape.

No foul. Honestly, I can't say that I am an expert on the job market either.

My impression is that the job market is very uneven. What I have been seeing (no idea if this is representative):

-The job market for programmers is very good.
-The job market in the Finance industry in general is bad.
-A lot of industries have a regional focus.
-The demand for data analysts is more than it has been in the past but it's starting from a much smaller base than, say, programming.

 

[Ian Kaplan]

Wall Street is going through huge changes. Banks that are backed by the US Government can no longer do proprietary trading. Prop trading was responsible for something like 30% of Goldman Sachs' profits in past years. That's gone now. But money is still flowing into hedge funds.

Both here (on QuantNet) and in the Wilmott forums there's a fair amount of pessimism about the job prospects for MFEs. Some of this simply reflects the tough job market. People assume that tomorrow is always like today. Having invested (and continuing to invest) a lot in my UW degree, I have to be more optimistic. It remains to be seen whether my optimism will be reflected in how the future unfolds.

I have been talking to a few recruiters. From what I can tell, programming skills are really important. Or at least that's why they were talking to me. The better your background in software development and software engineering, the better your job prospects.

There are very few jobs out there for quants who just think up derivative models and don't program, from what I can see. And for those who have such jobs, they generally have PhDs, not Masters degrees. The consensus seems to be that if you work in quantitative finance, you will be writing software. After the debacle at Knight Capital and the software errors on the exchanges, there is (or should be) an increasing focus on software quality. This means that hiring folk may be looking more at software engineering skills (do you know about source control, bug tracking and automated testing, for example).

I think that a quant Masters degree is very useful. For one thing, you have an opportunity to survey to some depth a variety of topics (portfolio construction, fixed income, derivatives, time series, etc...) But I would get as much experience at software engineering as you can. R is great for exploration, but real implementations are going to be in Python, Java or C++.

I also think that it is very valuable to be able to write clearly and be able to give oral presentations.

One final thing: if you don't have a passion for finance, an MFE might be a bad choice. At least for right now, the days of huge salaries and bonuses for anyone who knew something about finance, math and programming are gone. So if you don't find the field fascinating, and you are just going into it for the money, it may not be a good career choice (not that money is not an issue, but it should not be the only issue).

 

[Jose T]

Hi Ian,

I agree with what you wrote and I generally have positive things to say about my degree as well. I don't think it's that people are trying to be downers, so much as they want to make sure the people visiting these sites are seeing something that at least tries to be realistic.

In terms of not having a passion for finance, I think it's ok if you are an MFE student realizing you don't have a passion for derivatives. At Rutgers, and, I assume at UW as well, the program is enough about applied mathematics, with plenty of software applications, that there will definitely be avenues open to you if you decide to change paths. A degree in mathematics or finance can be consider a plus in industries other than the investment finance industry.

 

[Bill Anderson]

I am not sure if there are any experts on the job market at this point! There was an insightful article "Meet them in St. Louis: Bankers Move" published in the 12/13/12 Wall Street Journal (see http://online.wsj.com/article/SB10001424127887324296604578177710219203782.html ) which I would encourage Quantnet board participants to read. New York remains a powerhouse in finance, but the finance job opportunities in 2013 will be much more geographically distributed. For instance, the article highlights that securities industry employment has surged in locations like St. Louis (19th largest metro) and is up 85% in the period between 1/2007 and 9/2012. New York jobs were down 9% in securities, commodities, asset-management, and fiduciary trust during that time period (granted, New York has a much larger absolute base).

As the Program Manager for the University of Washington, MS-Computational Finance & Risk Management program in the Dept. of Applied Mathematics, I am currently spending approximately 50% of my time identifying opportunities for internships and employment in the financial sector and working with our students in placement. Well over 70% of the emerging opportunities are outside of New York. According to this same article, the average annual wage for securities industry positions in St. Louis is $102,000 compared to $343,000 in New York (obviously senior positions). That said, it doesn't require advanced math to figure that financial firms can save money and reduce costs by locating services in other locations other than New York. Manhatten remains attractive, but those looking for entry level roles in finance should not overlook metro areas in Nebraska, Iowa, Texas, North Carolina, Missouri, Georgia, Illinois, Utah, Washington, and other states in which finance jobs are either maintaining or growing. The fact that the New York Stock Exchange Euronext (NYX) is in talks to be acquired by 12 year old, Atlanta-based, Intercontinental Exchange should be a clue that the structure and geography of global finance remain transient at best. Stay nimble, be quick. The opportunities are out there.

 

[Ian Kaplan]

I think that quantitative finance can be much more than derivatives. My heroes are Ed Thorp and Renaissance Technology. My interest is in finding quantitative edges to make money. This may involve text data mining, learning algorithms or signal processing. There's a lot of nuts and bolts issues as well: back testing, statistical analysis, deployment testing...

I'm taking a derivatives course now (in fact, I should be doing problems, not writing this post). I find it very interesting, but I also run head long into my limited talents as a mathematician. I saw my professor give a virtuoso lecture on the derivation of Black-Scholes from binary pricing. It would take me weeks to gain that level of understanding. But there is more to finance than derivatives, fortunately (for me).

At Rutgers, and, I assume at UW as well, the program is enough about applied mathematics, with plenty of software applications

The UW program is heavy on the use of R, which is great. But currently there are not courses using other languages.

 

[Ian Kaplan]

"Meet them in St. Louis: Bankers Move" published in the 12/13/12 Wall Street Journal (see http://online.wsj.com/article/SB10001424127887324296604578177710219203782.html ) which I would encourage Quantnet board participants to read.

Unfortunately this article is behind the WSJ pay wall.

 

[adiaz_vca]

I understand the first class in this program just graduated at the end of 2012. Are there any placement stats available or some info that could be available to hint on how it went for graduates in the program. Thanks.

 

[ElephantParks]

Hi, could somebody tell me what's the student body like in the UW CF&RM program? also roughly how many students did the program admit in the previous cohorts?

any input would be greatly appreciated

 

[Bill Anderson]

The composition of the UW Computational Finance & Risk Management (CF&RM) cohort is approximately 50%/50% male/female. There are a mix of classroom and online, full-time and part-time students as we have good flexibility in our program. The majority of the classroom students are F-1 Visa students; and the online students in the cohort are primarily distributed, working professionals throughut the US. We are still in placement mode with some of the students in the first CF&RM cohort (started 2011) who completed in December, 2012. We have been pleased so far with the career offers that have been extended and accepted by the UW MS-CF&RM students.
http://computational-finance.uw.edu

Those who are interested in learning more about the UW CF&RM Program are encouraged to join us for an online Webinar on Thursday, Jan 31st, 5pm EST (2pm PST), please register at http://www.pce.uw.edu/events.aspx?id=12221

Bill Anderson
CF&RM Program Manager

 

[HaiboJiang]

Hello,

I'm one of the students in the UW CompFin program, along with Erik, Ian and Scott. I live in Seattle area and I'm also an international student, so I am an on-campus student. I definitely enjoy this program, and the professors and teaching assistants have been extremely helpful and they do not hesitate to help you with anything.

I was actually worried that it might be very hard for me to get a job here in the US, considering that I'm an international student and I do not have much experience. But, thanks to this program and the teaching staff, I was able to get a full time Asset Allocation Analyst position at Russell Investments this summer! Awesome, no?

In terms of the syllabus of the program, it's definitely very R-intensive. But, really, if you already survived through C++, I don't see how you guys won't be able to survive R because R is much easier (wayyyyy easierrrrrr). In fact, I'm so used to R that I find myself having troubles now in understanding some of the concepts of C++ (even after I learned JAVA before). The program also focuses on the statistical analysis of finance, along with quantitative modeling and forecasting. So, for the basics, we learn about equities, derivatives and how their pricing formulas can be derived. Then we move on to learning about the distribution of price returns time series, volatility modeling and forecasting, portfolio optimization, risk decomposition, and many more. If you are interested in this side of finance, this program is definitely for you.

Well, since I'm working full-time, I may not be able to keep track of this thread, but I'll come here once in a while to help provide more feedbacks and answer more questions any of you may have, along with Erik, Ian and Scott. For Alain, I'm not sure where you can exactly download the R-NuOpt package, I got to download this from a link that our professor sent us when we started one of his courses. It requires activation codes too which I didn't have the chance to save, so, I'll try asking and see if I can get you anything.

Cheers!

I have been admitted to 2013 Fall UW CF&RM program. There are three program options:1. General program that is similar to the previous MS CF&RM program. 2. Computing pathway 3. Risk management pathway. From your perspective, Which one is more competitive in finding a job in US after graduation from CF&RM program. My undergraduate major is Software Engineering, in which I have learned programming language, such as C, C++,Java but not R, Python,VBA. So, which pathway you recommend me choosing? Thank you!

 

[Ian Kaplan]

Hi Haibo Jiang,

Like you, I have a background in software engineering (I have a lot of experience in C++ and Java, along with databases, text processing and compiler design).

There is so much to learn in fiance that I do not want to waste a single chance to learn more.

When I have chosen elective courses my choice has been to choose courses with as much finance content as possible. For example, this last quarter I had a choice between an optimization course and an advanced statistics course. I picked the advanced statistics course because there were applications in finance and my perception was that the optimization course focused more on generic optimization.

I am going to start the risk sequence next quarter. I could take computing courses, but I would not learn as much about finance doing this. And, as I noted, I already have a background in software.

As to getting a job: I think that you will find that your software background is a big advantage. Most people who work in quantitative finance need to do a lot of programming and, from what I have seen, employers are really looking for these skills.

In the past employers might ask candidates to derive the Black-Scholes equation. Now they may ask a candidate to sketch out the code for a lattice algorithm for option pricing.

 

[mhy]

My undergraduate major is Software Engineering, in which I have learned programming language, such as C, C++,Java but not R, Python,VBA. So, which pathway you recommend me choosing? Thank you!

BTW, if you know C, C++ and Java, picking up R, Python and VBA should be very easy for you.

 

[Ben-Husky]

I have been admitted to 2013 Fall UW CF&RM program. There are three program options:1. General program that is similar to the previous MS CF&RM program. 2. Computing pathway 3. Risk management pathway. From your perspective, Which one is more competitive in finding a job in US after graduation from CF&RM program. My undergraduate major is Software Engineering, in which I have learned programming language, such as C, C++,Java but not R, Python,VBA. So, which pathway you recommend me choosing? Thank you!

Hi Haibo,

Yes, you guys would be the first students to choose from the three options. And what's more, you gonna have the option to do a long-term internship the second year in the program. We are currently expect students to have a 100% internship on summer and probably 50% will continue intern for 6-9 months. I think both Computing pathway and Risk Management pathway are highly competitive in the job market. It just depends on what's your personal interest. As you are a software engineering student I would probably suggest you to choose the computing pathway. In that case you would learn a lot of scientific computing skills and numerical methods which could be applied into derivatives pricing or hedgeing etc. At the same time, you can definitely learn some risk management courses to see if they interest you (I believe you have the chance to change your pathway when you are here in Seattle and find what's really interest you). Maybe Mr. Anderson can correct me if I am wrong. From this year's internship seeking experience, I believe all the courses you learn here will bring you some opportunity especially when you are not a finance major undergraduate student. If you are more computing skilled, you would probably find yourself more attractive to some hedge funds, fund of hedge funds, or tail hedging positions in asset management companies. Also there are lots of opportunities from some pension fund, fixed income shop, and family offices; they might like more risk management skills. It really depends on what you like and what you think would be the best fit for your future career path. I believe the UW CFRM program will offer you guys a lot of opportunities, and what you need to do is study hard, network hard and try to seize them.

BTW, Mr. Anderson here is really helpful. He spends a lot of time helping us students to build some connections with working professionals and reaching out for more contacts to place our interns. Mr. Anderson is also very professional in offering career advice and interview suggestions. I benefited a lot from his support.

Hope all you guys have a good time in future Quantitative Finance studies.