U. Washington Computational Finance program

[Erik Lehr]

Hi all, I noticed there were a couple threads asking about UW's new Computational Finance and Risk Management program. I'm one of the students in the first class, hopefully graduating by the end of the summer, and I would be happy to try and field any questions people had about the program.

 

[Erik Lehr]

Also, a picture of the UW campus.
Just sayin...

 

[StevenWang]

Hi all, I noticed there were a couple threads asking about UW's new Computational Finance and Risk Management program. I'm one of the students in the first class, hopefully graduating by the end of the summer, and I would be happy to try and field any questions people had about the program.

Hi, I wonder how many students are in this program right now? What about international students? Can you share some reviews about the program (e.g. job opportunities, curriculum, diversity...)? Thanks.

 

[Erik Lehr]

Hi, I wonder how many students are in this program right now? What about international students? Can you share some reviews about the program (e.g. job opportunities, curriculum, diversity...)? Thanks.

I think there are between 25 and 30 full time students in the program right now, though I'm not positive because some are non-local and doing the program via distance learning. I would guess that there are about as many students doing the program part time or getting one of the certificate options, but that's just a speculation on my part. The majority of the full time students are international, mostly from Asia.

As far as job opportunities go, it's hard to say anything definite at this point because nobody has finished yet. There are a decent amount of positions available in Seattle, though I know others in the program are also looking at the big finance hubs (NY, San Francisco, Chicago). I can probably give you a better answer in a few months. A number of students have been able to find internships in the Seattle area, so the opportunities are there for those who have put the effort in.

In terms of the curriculum, I think there is a pretty nice blend of theoretical and applied material. As many people know, our programming is done almost exclusively in R, which is somewhat different from many of these programs, though they are working to incorporate a C++ course into the curriculum. Also, we're fairly light on derivative pricing relative to many schools, and there is a big emphasis on risk management techniques. (From my perspective this is a good thing, but if you're looking to dive into a sea of PDEs and stochastic calculus then UW is probably not the place for you.) About half the classes are taught by local industry professionals, so these classes tend to be more applied.

I hope I at least answered some of what you were asking, is there anything you want more details on?

 

[Andy Nguyen]

What kind of programming projects you do in R there, Erik? How students without prior programming skills (R or otherwise) got up to speed? Are there any pre-program/refresher course for them? Is there a programming course that teaches R in the program? If so, how much does it cover?

 

[StevenWang]

I think there are between 25 and 30 full time students in the program right now, though I'm not positive because some are non-local and doing the program via distance learning. I would guess that there are about as many students doing the program part time or getting one of the certificate options, but that's just a speculation on my part. The majority of the full time students are international, mostly from Asia.

As far as job opportunities go, it's hard to say anything definite at this point because nobody has finished yet. There are a decent amount of positions available in Seattle, though I know others in the program are also looking at the big finance hubs (NY, San Francisco, Chicago). I can probably give you a better answer in a few months. A number of students have been able to find internships in the Seattle area, so the opportunities are there for those who have put the effort in.

In terms of the curriculum, I think there is a pretty nice blend of theoretical and applied material. As many people know, our programming is done almost exclusively in R, which is somewhat different from many of these programs, though they are working to incorporate a C++ course into the curriculum. Also, we're fairly light on derivative pricing relative to many schools, and there is a big emphasis on risk management techniques. (From my perspective this is a good thing, but if you're looking to dive into a sea of PDEs and stochastic calculus then UW is probably not the place for you.) About half the classes are taught by local industry professionals, so these classes tend to be more applied.

I hope I at least answered some of what you were asking, is there anything you want more details on?

Thank you so much for sharing your detailed reviews. It is very helpful.

 

[Erik Lehr]

What kind of programming projects you do in R there, Erik? How students without prior programming skills (R or otherwise) got up to speed? Are there any pre-program/refresher course for them? Is there a programming course that teaches R in the program? If so, how much does it cover?

Well, we basically do everything in R, so that includes basic statistical testing, standard mean-variance analysis, portfolio construction and analysis, return modeling, simulation, bootstrapping, derivative pricing, robust statistics and regression, systems trading, even some things like dynamic ordered probits and Markov-switching models, and probably a bunch of other stuff I'm forgetting. Nearly every homework will have at least some R component, and one class is devoted entirely to using R in quantitative finance.

As far as getting up to speed with R, that was something that wasn't well addressed for this first year, so it may have been a bit difficult at first for people who had never used it before, but you were assumed to have at least some programming background entering into to program. However, going forward they plan to offer a "R primer" course in the first summer to teach the basics to people who have never used it before. (One of the issues with being the first year of a program is that you are the guinea pigs, so certain aspects of the program that weren't as smooth for my class will be fixed by year 2 or 3). This will be taught by Guy Yollin, who is an industry professional who specializes in using R for finance, and he can do some amazing things with R, so I think it should be a great help to new students. Guy also teaches the Finance in R course I mentioned above, and that class covers a wide array of financial topics, specifically focusing on the R implementation. We used the book Statistics and Data Analysis for Financial Engineering by David Ruppert, and essentially went through the entire book in the quarter.

One thing I will say is that for anyone with a programming background in a language like C++ or Java (or particularly with statistical languages like Matlab) should not have too much difficulty picking up R. I am far from a natural programmer, and I find it fairly straightforward. Packages are fantastic, and free (open source) is a great price!

 

[Yang_Pop]

I think there are between 25 and 30 full time students in the program right now, though I'm not positive because some are non-local and doing the program via distance learning. I would guess that there are about as many students doing the program part time or getting one of the certificate options, but that's just a speculation on my part. The majority of the full time students are international, mostly from Asia.

As far as job opportunities go, it's hard to say anything definite at this point because nobody has finished yet. There are a decent amount of positions available in Seattle, though I know others in the program are also looking at the big finance hubs (NY, San Francisco, Chicago). I can probably give you a better answer in a few months. A number of students have been able to find internships in the Seattle area, so the opportunities are there for those who have put the effort in.

In terms of the curriculum, I think there is a pretty nice blend of theoretical and applied material. As many people know, our programming is done almost exclusively in R, which is somewhat different from many of these programs, though they are working to incorporate a C++ course into the curriculum. Also, we're fairly light on derivative pricing relative to many schools, and there is a big emphasis on risk management techniques. (From my perspective this is a good thing, but if you're looking to dive into a sea of PDEs and stochastic calculus then UW is probably not the place for you.) About half the classes are taught by local industry professionals, so these classes tend to be more applied.

Hi, Erik:


Thank you very much for sharing such inside-info, one of my friend decide to join this program this fall, so I'd like to ask you a few more questions.

You figure out that the curriculum here are light to derivative pricing, so what's the concentration here, the risk management or investment?

As for the placement, what kind of job you consider this program prepare you for?

 

[Erik Lehr]

Hi, Erik:


Thank you very much for sharing such inside-info, one of my friend decide to join this program this fall, so I'd like to ask you a few more questions.

You figure out that the curriculum here are light to derivative pricing, so what's the concentration here, the risk management or investment?

As for the placement, what kind of job you consider this program prepare you for?

There is definitely a heavy focus on risk management. I think we're trying to make that one of our niches, along with the R specialization. There are several classes devoted entirely to risk management, and it is covered to some extent in nearly every other class as well.

I would say the program is more geared toward preparing students to become buy-side researchers/analysts. As mentioned above, the focus is primarily asset management and risk analysis. This program would be best suited for people with interests in careers like portfolio management or strategy development in my opinion.

 

[Yang_Pop]

There is definitely a heavy focus on risk management. I think we're trying to make that one of our niches, along with the R specialization. There are several classes devoted entirely to risk management, and it is covered to some extent in nearly every other class as well.

I would say the program is more geared toward preparing students to become buy-side researchers/analysts. As mentioned above, the focus is primarily asset management and risk analysis. This program would be best suited for people with interests in careers like portfolio management or strategy development in my opinion.

Thank you, Erik

 

[Andres Vargas]

hey erik! thank you for the post, it's very informative...I'm interested in applying to the program but I'm from outside of the US. do you know how is the career placement for international students?

 

[myampol]

The emphasis on R is most likely because this program at UWash was recently started by Doug Martin, the original creator of S-Plus, which over the years has been sold several times (originally Stat-Sci, then Mathsoft, then renamed Insightful, and now part of TIBCO, where the product it is known as "Spotfire.")

http://www.cs.washington.edu/homes/lazowska/impact/statsci.html
http://www.highbeam.com/doc/1G1-14095488.html
http://www.infoworld.com/t/data-management/tibco-boosts-bi-insightful-buy-655
http://spotfire.tibco.com/products/s-plus/statistical-analysis-software.aspx

R, of course, is an open-source clone of S-Plus.

 

[Erik Lehr]

hey erik! thank you for the post, it's very informative...I'm interested in applying to the program but I'm from outside of the US. do you know how is the career placement for international students?

It's hard to say at this point how the placement is for anyone, since nobody has finished that program yet. However, the majority of students are international, so don't expect there to be any kind of domestic placement bias. I can probably give a better evaluation of the placement in 6 months or so.

 

[Erik Lehr]

The emphasis on R is most likely because this program at UWash was recently started by Doug Martin, the original creator of S-Plus, which over the years has been sold several times (originally Stat-Sci, then Mathsoft, then renamed Insightful, and now part of TIBCO, where the product it is known as "Spotfire.")

http://www.cs.washington.edu/homes/lazowska/impact/statsci.html
http://www.highbeam.com/doc/1G1-14095488.html
http://www.infoworld.com/t/data-management/tibco-boosts-bi-insightful-buy-655
http://spotfire.tibco.com/products/s-plus/statistical-analysis-software.aspx

R, of course, is an open-source clone of S-Plus.

Absolutely correct. Doug helped create S-Plus, and later sold it. S-Plus is heading toward obsolescence as a result of R being nearly identical and open source.

 

[dadalee]

Hi Guys,
I am interested in applying for this online degree program, and I've actually sent my questions to the deparment twice, but no one answered me yet. So I hope anyone can give me some opinions on the following:

1.
What's the difficulty of the coursework? My programming experience is very limited, so will this be a big problem?

2.
Does each class have a TA in addition to professor or instructor who can help me with the homework or tests?
In addition to the email contact for professors or/and TAs, is there other methods of reaching them? Can we call them or maybe use web cam to talk with them?

3.
I worry a bit about whether the quality of the coureswork will be sacrificed by the online format. Since I have never taken any online courses before, hope someone can give me some opinions on this. In addition, do most professors get back to you on time?

4.
I am more interested in learning applied and practical knowledge and skills, instead of spending too much time in theoretical concepts or deriving formulas. Based on my research on the coursework from the website, they all look like pretty practical, am I right about this ?

5.
Overall, excluding the lack of networking, will you guys recommend this degree in the online format?

Thank you so much in advance!!! Really appreciate it!

 

[Erik Lehr]

Hi Guys,
I am interested in applying for this online degree program, and I've actually sent my questions to the deparment twice, but no one answered me yet. So I hope anyone can give me some opinions on the following:

1.
What's the difficulty of the coursework? My programming experience is very limited, so will this be a big problem?

2.
Does each class have a TA in addition to professor or instructor who can help me with the homework or tests?
In addition to the email contact for professors or/and TAs, is there other methods of reaching them? Can we call them or maybe use web cam to talk with them?

3.
I worry a bit about whether the quality of the coureswork will be sacrificed by the online format. Since I have never taken any online courses before, hope someone can give me some opinions on this. In addition, do most professors get back to you on time?

4.
I am more interested in learning applied and practical knowledge and skills, instead of spending too much time in theoretical concepts or deriving formulas. Based on my research on the coursework from the website, they all look like pretty practical, am I right about this ?

5.
Overall, excluding the lack of networking, will you guys recommend this degree in the online format?

Thank you so much in advance!!! Really appreciate it!

Hi dadalee,

I was a local student (as opposed to online), but I will try to answer your questions as well as I can.

1. The coursework is somewhat challenging, but definitely manageable. I came from a PhD program in Economics, the coursework in the CFRM program is certainly not on that level. Given your background, you will probably find the programming to be the most difficult part, but this year they have added a "primer" course in R programming in the first summer, and this should make the programming aspect much less of a problem.

2. Every class will have a TA, and the TA will have office hours, generally twice a week. The office hours are done using Adobe Connect, so you are able to interact with the TA in a webcam/webchat format.

3. This is more of an individual preference issue. I personally got more out of the classes by attending in person, but this is by no means universal. I would guess that at least half of the local students did not attend class in person, and watched the lectures from home at their convenience. I think most people feel that watching the lectures and attending them in person are fairly equivalent. Also, both the TAs and professors were generally very good at getting back to students promptly. I'm actually quite surprised that no one has gotten back to you regarding your questions.

4. This is one of my favorite parts of the program. There is some theory, but usually just enough to give you the fundamentals. The focus of the program is application. The majority of the homework assignments involve some empirical application, usually implemented in R. By the time you get done with the program (regardless of your programming background coming in), you will have a great set of empirical tools for implementing financial models in R. I won't say that there isn't any derivation of equations, particularly in the core classes, but you certainly will not spend all day pounding through PDEs like in some other Quant programs.

5. To me, you just hit on the biggest downside of the online format: the inability to network. The program brings in speakers from both academia and industry to give seminars, and even some professionals to help students with their job-hunting skills. Also, they arrange trips to local firms where the students get to tour the offices and meet with some of the employees. However, this is certainly more relevant if you are looking for a job in the Seattle area.

If you are alright with missing out on the networking, then I think (given your concerns) that the CFRM program will work well for you.

Hope this helps, and feel free to ask any other questions that might come up!

 

[Jose T]

Sounds like an interesting course.

 

[Ian Kaplan]

I am a classmate of Eric's, about a year behind him (as a part-time student). I have completed the first year of the UW Computational Finance program and I have about five courses still to go.

I am a distance student. I live in the East Bay in the San Francisco Bay Area, in California. So I have taken all of my courses on-line. My perception is that about 20 percent or so of the students in the program are distance students, generally working professionals. The distance students come from all over the world, including China, Thailand, Texas and the East Coast of the United States. Some of the distance students are working professionals in the Seattle Area as well. The part-time students come from a variety of backgrounds. Some are computer scientists or engineers like me, others work in the financial industry, or areas of banking. Our ages vary as well.

There have been some questions about distance versus class room. I think that if you have the opportunity, taking the classes in the classroom would be better. I miss being able to talk to my professors and the TAs in person. However, the University of Washington Program is pretty unique in their support for working, part-time students. Programs like the UC Berkeley Quant program are very clear that their program cannot be taken part time. Other programs, like the Stanford quant program are oriented toward mathematics and they're pretty clear that those who are not math majors (or something similar) should not apply. As my experience has shown, someone with an engineering background can prosper in the University of Washington program.

A brief digression: I strongly believe that programs like this are the way of the future. This is the direction that University education is headed.

One of the reasons that I miss being able to talk to my professors is that they have all been very fine people. I look forward to someday actually meeting them. They have all been very supportive of their students and they have been very responsive in answering questions. While I certainly don't expect this, I have had professors answer questions posted on the discussion board late at night.

Each class has a discussion board. Instead of sending email to the professor to ask a question students are encouraged to post to the board so that everyone can benefit from the question and answer. The distance students, perhaps of necessity, tend to be very active on this board. The professors and TAs answer questions and post announcements on this board. An associated page has class notes and other course material (and recorded video lectures).

The students in this program are really smart and some of them have deep experience in areas in the financial industry. There has generally been a culture of students helping students that I am very grateful for. There have been times when I have been stuck on a problem and posted a question on the discussion board. Another student has provided the hint that I needed to get past a block and complete the problem successfully.

There have been some questions about the difficulty of the program. As Erik noted, this depends on your background. For me the program has been a challenge. Suffice it to say that I took calculus a long time ago and my statistics background consisted of only basic statistics. My undergrad degree is from UC San Diego, but that was a while ago too. So taking graduate level applied math courses was a shock to my system. At the time, the first course I took, Prof. Zivot's Introduction to Computational Finance, was one of the hardest courses I'd ever taken. However, I found that my hard work paid off. This course was a fantastic foundation for the program and I still go back and reference the class notes.

There has been an effort to provide some introductory classes to fill in some of the background that I had to pick up on my own, so future students with my level of background may have an easier introduction to the program.

I have worked very hard in this program, but I feel that my work has been recognized and rewarded. This is not one of those programs that is dedicated to weeding out students. Your professors want you to succeed and if you work hard, you will.

There have been questions about programming experience. I am biased, since I am a professional software engineer. I don't think that you can succeed as a computational finance professional without programming skills. People are not going to pay you do proofs or do math that someone else implements. You are going to be expected to develop models and implement them. So the focus on programming (in R) is appropriate. Perhaps you will not be building complex software systems in C++ or Java, but you will be writing code in MatLab or R. The more experience you can get with building software, the better, in my view.

Finally, I have a comment on the job market. We have just gone through one of the worst times in decades in the financial industry. The financial crash in the West has resulted in the layoffs of tens of thousands of financial professionals. Others have lost their jobs when their firms went out of business. The financial industry is also restructuring. Firms like Goldman and JP Morgan can no longer do proprietary trading and they have closed down their proprietary trading groups. For a firm like Goldman, that made a significant amounts of money from proprietary trading, this is a big change. All of these things mean that the job market is not as good now as it once was before 2008. Right now you're probably better off being a software engineer than a quant.

There is one thing that professionals in finance should remember, however. Tomorrow is not like today. Finance is a very dynamic area and it is restructuring itself. While I am fascinated by finance, I would not be in the UW Computational Finance program if I did not believe that there was a brighter future out there in finance. All investments have risk, but I believe that this program is a good investment in both my intellectual future and my professional future.

 

[dadalee]

Erik Lehr and Ian Kaplan, thank you so much for the information, they are very helpful!!!!

 

[Andy Nguyen]

Thanks for your info, Erik and Ian.