U. Washington Computational Finance program

[HaiboJiang]

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.

Hi,Ian Kaplan,thanks for your reply about my confusions about UW CFRM program. As a candidate for this program, Software background will become my advantage in studying and seeking a job. I believe that a gap between finance and programming can filled by this program.

 

[HaiboJiang]

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.

Hi, Ben-Husky, your response totally covers what I need about this program. Thanks for your good suggestion.

 

[Maniere]

Can any of the students comment on the courses that were the most valuable in term of skills learned?

Thanks

 

[danielruc]

Thank you very for the information~~
I am very interested in applying the program, but I had a very little problem. When I was looking official websites, I find the following 2 webs:
http://depts.washington.edu/compfin/
and:
http://www.olin.wustl.edu/EN-US/academic-programs/MS-finance/Pages/default.aspx
I am quite confused which one is for this program?
Would please anyone help me?
Thanks a lot!

 

[Andy Nguyen]

The first one is University of Washington located in Seattle, the second one is Washington University, located in St. Louis. The program discussed here is at the first one.

 

[danielruc]

The first one is University of Washington located in Seattle, the second one is Washington University, located in St. Louis. The program discussed here is at the first one.

Andy, thank you so much~~ You have always been so helpful!
It's quite confusing that University of Washington is not Washington University~~

 

[Bill Anderson]

Daniel, I am just getting to this discussion thread as I was traveling yesterday. As Andy has communicated, the University of Washington (UW) is located in Seattle, Washington. The Computational Finance & Risk Management (CF&RM) program is an inter-disciplinary, graduate degree program in the UW Department of Applied Mathematics. The MS-CF&RM program originated at the UW as an inter-disciplinary PhD program a decade ago and was developed into a MS degree in 2011. We recently produced a summary overview of the CF&RM program which can be found at
http://depts.washington.edu/compfin...e & Risk Management_Brochure_Final_080613.pdf

If you have any questions feel free to send an e-mail to compfin@uw.edu or give me a call at 206 221 1378.

regards,
Bill

Bill Anderson
Program Manager, UW Computational Finance & Risk Management
Dept. of Applied Mathematics
University of Washington
Seattle, Wa.

 

[UMAMAHESWAR]

Does online course cost same as that of full time course?

 

[Ross Bennett]

Many of the posts have been about the Masters Computational Finance & Risk Management program (CFRM) so I thought I would add my experience coming from the online CFRM certificate program to the full-time MS-CFRM program. My background is engineering where I received a B.S. in Mechanical Engineering and have worked as an energy engineer for the past 5 years. I had always been interested in quantitative finance and decided to make the career move and attend the University of Washington to prepare me. I could not be happier with my decision.

My first interaction with staff and students of the program was at the R/Finance conference in 2012. They were a sponsor of the conference and several students were at the conference as well. The staff I spoke with were very helpful answering my questions and the students had nothing but good things to say about the program. The R/Finance is a great opportunity to speak with folks in the finance industry as well as meet students and professors from the program.

I started the certificate program in Fall 2012 and completed it in Spring 2013. I completed the certificate program online while I was working full time. As an online student, I never felt like I was on an island or disconnected from the rest of the class. The lectures were streamed live as well as recorded so that students could watch the lectures at a later date. I watched some lectures live and was able to ask questions via a chat window which was a very helpful feature. The professors and teaching assistants were very accommodating to the online students and would hold office hours on evenings and over the weekends so that it did not interfere with work schedules. The TAs and professors were very active and engaged in the online discussion forums with students, which led to some excellent discussions that expanded on the material we learned in class through lectures and how some were applying it in practice in the industry.

The certificate program challenged me to develop a stronger understanding of the theoretical concepts and then apply that theory using sophisticated concepts and techniques in R using packages that are developed and used by industry practitioners. The applications in R programming included everything from time series modeling to modern portfolio optimization. Through the certificate program, I had the opportunity to participate in the Google Summer of Code (GSoC) and contribute to an R package developed for portfolio optimization called PortfolioAnalytics. My experience in GSoC far exceeded my expectations, I learned a lot from the project mentors about portfolio optimization using standard linear and quadratic programming solvers as well as using differential evolution and random portfolios to solve complex portfolio optimization problems. The project was mentored by two UW CFRM professors and an industry practitioner.

The certificate program did an excellent job teaching R. I was familiar with R before I started the program, but learned a lot in terms of good program design and how to use R for applications in quantitative finance. With a good foundation of R, I was able to understand basic C++ fairly quickly and even contributed a few articles to the Rcpp gallery.

In Fall 2013, I left my full-time engineering job and moved to Seattle for the on campus MS-CFRM program. It has been a great move so far and I am enjoying the classes. The professors, teaching assistants, and students are very friendly and welcoming. I had some reservations about leaving my job to go back to school, but it is one of the best decisions I have made. The CFRM Certificate Program was an excellent stepping stone to prepare me for the full time MS-CFRM.

I'd be happy to answer any questions others may have.

 

[systemtrader]

Hi, Erik

Do you know if the admission requirements for online program applicants are the same as for on campus students? Also, is there also limited space for online programs or is everyone that meets the requirements admitted?

Thanks.
S.H. Kim

 

[Bill Anderson]

Hi S.H. Kim, the admission requirements are the same for both the online and the campus students.
With online cohorts as well as with campus students it is important to assure a exemplary learning experience with quality faculty & TA resources addressing the requirements of the cohorts. The rigor of the admissions requirements has enabled UW CF&RM to continue to provide a quality online learning experience which is not compromised by overwhelming numbers.


Bill Anderson
Program Manager, CF&RM
Dept. of Applied Mathematics,
University of Washington, Seattle

 

[HunterL]

It appears I may be a little late to the party here, but I thought I would pose the question anyways.

What sort of benefit/relevance does the CFA Program have to this program? I am curious if anyone on this forum has earned the CFA designation and then went on to this program? It seems like many quant students come from an engineering or math background and move to the finance side of the business. I would be coming from the finance and trading side with a degree in business and CFA Charter. Any insight is appreciated.

Thank you.

 

[Ian Kaplan]

The UW CF&RM program has students with a variety of backgrounds. Some people have extensive experience in finance and want to improve their quantitative and math skills. A friend and classmate (who I don't think reads this board) has a CFA. I do not have a CFA so I can't answer this question fully. Looking at the "Candidate Body of Knowledge" (http://www.cfainstitute.org/programs/cfaprogram/courseofstudy/Pages/cbok.aspx) it appears that there is a lot of overlap (statistics, time series analysis, portfolio construction, options and derivatives). However, looking at the exam weights (http://www.cfainstitute.org/programs/cfaprogram/exams/Pages/exam_topic_area_weights.aspx) it appears that the exams are weighted more toward more MBA/Balance corporate balance sheet and financial reporting. Building Monte Carlo models doesn't appear to be part of the CFA study and exam, but Monte Carlo models are a part of the CF&RM program. In a similar vein, you probably don't have to understand the derivation of Black-Scholes for the CFA, but you do for the CF&RM derivatives classes.

So I think that the CFA background will be useful, but you will find that the CF&RM requires a lot more math and programming (mainly in R).

Best,
Ian

 

[FromNepal]

Hi

I am writing to you as a prospective student for the MS course in Computational Finance and Risk Management. I am very much interested in this course and considering to apply for the class of 2014. However I have few queries which I would like to get clarified before I apply.

Is GMAT score considered for admission? If so, is there any minimum score to be eligible for admission? What is the statistics of the average GMAT score for the current set of student?

I am currently working in a Financial Data analysis company and by June 2014 I will have 3 Years of Full Time job experience in this company. I would like to know if this experience would help me in the admission process or not. Also can somebody tell me what is the average work experience of the student who are currently pursuing the course?

I am an Engineering Graduate from a reputed college in India. During my engineering the official medium of instruction was English. In that case am I required to give Toefl or Ielts to be eligible for the admission?

Regards

 

[New Trader]

Regarding GMAT/GRE:
http://depts.washington.edu/compfin/node/52

"
Graduate Record Examination (GRE)

Applicants with little or no professional experience are required to take the GRE exam. It is strongly recommended that interested applicants take the GRE Exam at least 30 days prior to the application deadline to assure their score is reported on a timely basis. More information on the GRE can be found here. When taking the test, use 4854 (University of Washington) under Score Report Recipients. The Department code is not necessary.

While the GRE is preferred, applicants who wish to substitute a (GMAT) may do so. Use GMAT code 459-75-53.

Individuals who have been out of school for some time may petition for a waiver of the GRE requirement by indicating so in the application where prompted. If you have questions, please contact us. Applicants who have been granted a waiver of the GRE should consider taking one or more refresher courses that are offered prior to the start of autumn quarter.

Test of English as a Foreign Language (TOEFL)

Applicants with English as a Second Language (ESL) should refer to the UW Graduate School Memorandum #8 for requirements."

 

[Haiping HUI]

Hi
ALL your information helped me a lot.

I am an undergraduate student in THU China and I double-major in Industrial Engineering and Economics. I LOVE quantitative analysis and I am making the preparation for your 2014 fall fulltime program. I have some questions about this program.

1. Would it be easy for an international student to find a job as a risk manager in US?
My career goal is to be a risk manager. Erik mentioned that UW's CFRM program heavliy focuses on Risk Management, so I think it would be helpful if I took this program. But as an international student, I want to know the employment opportunity around Seattle.

2. What is your admitted rate and international student rate in 2013 Fall?

3. Do you provide any financial support such as TA/RA position or tuition waive?

Thank you very much.
I am really looking forward to join your program.

 

[Seattlite]

Hi

I am writing to you as a prospective student for the MS course in Computational Finance and Risk Management. I am very much interested in this course and considering to apply for the class of 2014. However I have few queries which I would like to get clarified before I apply.

Is GMAT score considered for admission? If so, is there any minimum score to be eligible for admission? What is the statistics of the average GMAT score for the current set of student?

I am currently working in a Financial Data analysis company and by June 2014 I will have 3 Years of Full Time job experience in this company. I would like to know if this experience would help me in the admission process or not. Also can somebody tell me what is the average work experience of the student who are currently pursuing the course?

I am an Engineering Graduate from a reputed college in India. During my engineering the official medium of instruction was English. In that case am I required to give Toefl or Ielts to be eligible for the admission?

Regards

Hi
ALL your information helped me a lot.

I am an undergraduate student in THU China and I double-major in Industrial Engineering and Economics. I LOVE quantitative analysis and I am making the preparation for your 2014 fall fulltime program. I have some questions about this program.

1. Would it be easy for an international student to find a job as a risk manager in US?
My career goal is to be a risk manager. Erik mentioned that UW's CFRM program heavliy focuses on Risk Management, so I think it would be helpful if I took this program. But as an international student, I want to know the employment opportunity around Seattle.

2. What is your admitted rate and international student rate in 2013 Fall?

3. Do you provide any financial support such as TA/RA position or tuition waive?

Thank you very much.
I am really looking forward to join your program.

Hello,
My name is Laurie and I'm the graduate program advisor for the CFRM program. If you'd like, please email the program at compfin [at] uw [.] edu with your questions.
Thanks,
Laurie

 

[Erik Lehr]

The UW CF&RM program has students with a variety of backgrounds. Some people have extensive experience in finance and want to improve their quantitative and math skills. A friend and classmate (who I don't think reads this board) has a CFA. I do not have a CFA so I can't answer this question fully. Looking at the "Candidate Body of Knowledge" (http://www.cfainstitute.org/programs/cfaprogram/courseofstudy/Pages/cbok.aspx) it appears that there is a lot of overlap (statistics, time series analysis, portfolio construction, options and derivatives). However, looking at the exam weights (http://www.cfainstitute.org/programs/cfaprogram/exams/Pages/exam_topic_area_weights.aspx) it appears that the exams are weighted more toward more MBA/Balance corporate balance sheet and financial reporting. Building Monte Carlo models doesn't appear to be part of the CFA study and exam, but Monte Carlo models are a part of the CF&RM program. In a similar vein, you probably don't have to understand the derivation of Black-Scholes for the CFA, but you do for the CF&RM derivatives classes.

So I think that the CFA background will be useful, but you will find that the CF&RM requires a lot more math and programming (mainly in R).

Best,
Ian

I will echo what Ian said here. There is some overlap between the CFA curriculum and the CFRM program, but only in a few areas (e.g. quantitative methods, derivatives, portfolio management), and the areas that are the main focus of the CFA like financial reporting and valuation do not really factor in. As a CFRM graduate and CFA candidate, I view them more as complementary. A CFA charter along with a CFRM MS would cover the majority of areas in investment management in my opinion.

Other certifications like those in risk management (FRM/PRM) have more in common with the CFRM Masters. Also, I took the Level 1 and 2 CAIA exams after finishing the program, and found that I was very well prepared for both tests with the Comp. Finance background.

 

[Erik Lehr]

Can any of the students comment on the courses that were the most valuable in term of skills learned?

Thanks

I'm not sure if I can't point to any course in particular and say it was the most valuable, but one thing I found very useful in the program (as opposed to other graduate programs I've been in) was that the classes in each consecutive term are very closely tied together. So while each class you take in the fall will have a different focus than those in the winter and spring, they will build heavily off each other, so you have a fairly linear learning experience instead of a series of disparate courses. Concepts or techniques that may have been unclear the first time become more approachable the second time, and by the end of the program you have a thorough grasp of a wide range of subjects, as well as a toolbox that allows you to implement what you've learned.

I've been out of the CFRM program for about a year and a half now and I find myself using techniques I learned frequently at my job. I've even gone back and referred to my course notes on multiple occasions. The bottom line is that while you will certainly learn some things that you may never use again (simply as a result of the breadth of the material covered), the program teaches you a systematic method to approaching quantitative finance, and gives you a basic set of tools that should serve you well in a wide range of positions in the industry. Speaking from personal experience, not all graduate programs are useful for people interested in industry jobs, but this program is designed for that exact purpose, and they've done well so far.

 

[Mychal Campos]

Hi All,

I am applying for the MS CF&RM degree program (as an online, part-time student) for the Fall of 2014 but have been out of school for quite some time. I have a specific interest in this program due to its heavier focus on asset management, modeling financial time series, R programming, portfolio optimization and risk management. I have substantial work experience in these areas, but feel that I would gain a lot with more formal academic training.

While I have previously completed graduate-level classes in Math-Finance with good grades at NYU, it has been about 11 years now since I have done any kind of academic work in these areas. I was planning on taking AMATH 460, 461 and 462 to refresh my memory of the relevant concepts and techniques but I have a few questions about how to go about taking these courses.

1) Is AMATH 460 still being offered in the Spring quarter? The website seems to suggest in some places that one can only take it in the Summer now.

2) I was also thinking about doing the Certificate program in Quantitative Fundamentals of Computational Finance in order to better prepare for the coursework of MS CF&RM (or give myself a better shot of being accepted into the program in case I don't get in the first time). I know that this is meant to be an intensive Summer quarter program and I am a bit concerned about handling the workload while working full-time (especially since I've been out of school for so long). I was hoping to also get some input on this from the part-time/online students (who also work full-time). It would be quite helpful for me to get a sense of what your experiences were like.

Your responses to these questions would be very much appreciated. Thank you.