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MIT MFin Versatility of MIT MFin

I wanted to reveal some of the reasons why I will select MIT over many of the other top-tier schools I have been accepted into. Even though the Master of Finance at MIT is not myopically confined to a"quant degree," one could easily tailor this degree to fit one's custom needs. For example, Analytic of Finance I & II, in addition to Introduction to Sctochastic Processing, and Advanced Stochastic processing provides the theoretical probability foundation comparable to any other program (the latter two being housed in the school of mathematics) Once these are completed a student could take Optimization Methods, Advanced methods for solving PDEs, and Dynamic Stochastic Programming. Basically, the curriculum is extremely malleable and faciliates the evolutionary nature of the quantitative finance field. One could easily take courses in theoretical computer science or advanced econometrics/time series analysis as well.

Anyone else share this view?
I just have a difficult time accepting some of the reasoning that MITs MFin is less quantitative as other programs.
 

Andy Nguyen

Member
How would you hone your programming skills at MIT? Many MFE programs have programming component built into several courses in addition to dedicated programming classes.
I heard enough about MIT flexibility but not once this programming aspect was addressed.
For fresh undergrad graduates with no programming experience, their choice of "quant-like" jobs is limited.
 
Analytic Finance I has a programming component. Advanced methods for PDE's has intense programming/algorithmic analysis. There's certaintly no shortage of comp sci at MIT. Most of us have made the biggest strides learning programming on our own anyway. The syntax is the easy part. The algorithms and the data structures are the hard part and this is what MIT focuses on.
 

PennyLess

Active Member
MIT's program is actually deficient in the programming component. Though the two semesters of Analytics of Finance are very quantitative, the programming component only involves using MatLab. An introduction to C++ course is only offered once a year during the winter break as a crash course, and lacks a finance component. I am hoping that students interested in quant finance can join the Sloan Quant Finance club and study C++ for finance together in a group environment, using one of the popular books out there.
 

PennyLess

Active Member
As many of you probably know, MIT students can cross-register to take classes at Harvard. After some research, I found that during the 2011-2012 academic year, the following "quanty" classes are offered at Harvard. Students in MIT's MFin classes can enroll in these if they find the current curriculum insufficient for their quant appetite (some overlap with Analytics of Finance):

Statistics 123. Applied Quantitative Finance on Wall Street
An introduction to modern financial derivative markets and the probabilistic and statistical techniques used to navigate them. Methodology will largely be motivated by real problems from the financial industry. Topics include: interest-rates; forward and futures contracts; option markets and probabilistic valuation methods; interest-rate derivatives and structured notes; electronic trading and performance evaluation. Designed for those seeking an understanding of the quantitative challenges on Wall Street and the probabilistic tool-kit developed to address them.
Statistics 270. Introduction to Quantitative Methods in Finance
Introduces stochastic analysis tools to be used as a basis for developing continuous-time asset pricing theory. Various quantitative methods widely used in the financial industry for valuing derivative products will be presented: binomial-tree valuation methods, extensions of the Black-Scholes option pricing formula, numerical techniques for solving partial differential equations, and Monte Carlo simulations. Meets with Statistics 170, but graduate students will be exposed to a more rigorous treatment of stochastic calculus.
Statistics 370. Topics in Empirical Finance
Exposes students to a variety of topics in Empirical Finance, including high frequency data analysis, high-dimensional volatility estimation, continuous-time stochastic modeling, and non-linear filtering.
 

PennyLess

Active Member
We should probably ask the program director to offer a C++ for finance class in the Spring semester. Not sure if it's going to happen while we are still there.
 

Andy Nguyen

Member
@ValueSeeker
Nothing is wrong with Matlab, it's just that C++ are standard questions for quant type jobs, even if you may end up using VBA/Excel/R in that job. It's sort of like a traditional way to test if someone can code.
I never have to use C++ at work (I used C#/VBA/Excel/SQL/Perl) but in all job interviews, C++ was asked.

@PennyLess
You should definitely voice a collective opinion on what you, the customers, want. Just because you go to MIT Sloan, doesn't mean you have to settle for less quantitative, less technical roles. When the roles in finance getting more technical, you compete head to head with people who know how to code, it is not going to work out for you.

It may not happen if you ask but it will never happen if you don't. Last thing they want is the program get a rep among employers that its graduates can't code.
 

Drifter

New Member
Matlab is not really a programming language. Everything which can be challenging to implement is already built in so you are not really learning anything. If you see a matlab code from C++ glasses, it would look like a pseudo code.

By the way all the courses you have cited so far sound very mathematical which can be very relevant if you want to pursue a PhD in math. IMO financial engineering courses are about teaching finance using mathematical tools and hence developing a different kind of intuition. Some other guy has talked about taking courses at other schools and stuff. Even though it is available I do not like it and I am sure many others would not either.
 

marina

Well-Known Member
@PennyLess
This seems like an area where MIT would have to address rather soon as many of their students want to beef up on their programming skills to be more competitive in the market.
Knowing Matlab isn't going to cut it any more.
One need not get into MIT Finance to learn programming skills. You can learn any programming language in two weeks. (Ask any Indian IT guy in wall street.) Learn it before going to MIT. It is waste of time and money to learn basic C++ or VBA at MIT.
 

Tsotne

Well-Known Member
One need not get into MIT Finance to learn programming skills. You can learn any programming language in two weeks. (Ask any Indian IT guy in wall street.) Learn it before going to MIT. It is waste of time and money to learn basic C++ or VBA at MIT.

It's a bit exaggerated that you can learn any programming language in two weeks. If you mean the interview preparation then maybe you are right. I still stay on my point that unless you want a certification program than programming is not at all such subject that definitely requires a lecturer's help. You can go on your path and learn on your own.
 

Anthony DeAngelis

Well-Known Member
Go to MIT's MSF if you want to be a banker or trader. I really don't consider it much of a quant role. CMU/Baruch/Rutgers/NYU, etc all do a better job of preparing you to be a quant.

When you see MSF or MFin think banking and S&T. MFE is a quant degree.
 

Andy Nguyen

Member
Touche, Anthony.
But if you look at the group of MIT admits this year, they are the same applicants who applied to Columbia MFE and other quant programs. Now, they are going to MIT and you expect them to suddenly set path on a career in consulting, private equity, banking?
To a certain degree, I believe there is a disconnect between what MIT Sloan MFin is designed for and what coming students expect to. It's perfect match if banking, consulting, PE is what they want to do all along. In that case, they wouldn't have applied to Columbia MFE along with MIT MFin, right?

MIT MFin states flatly that their program is not MFE and the logical part of me has been thinking that some incoming students have tried to convinced themselves that because MIT is "flexible/versatile", they can somehow get the MIT brandname with a choice of courses at Sloan that makes them very quantitative.

I personally know it's the goal of many students this year and I'm following their path to see how they will accomplish this.
 
As food for thought, some of the most acclaimed quants of the past decades have had backgrounds in finance, economics or pure mathematics. The brilliance of these individuals lay in their ability to apply these mathematical tools in a creative and innovative way. The landscape has evolved. . It seems like the consensus here is that a quant's education needs to be as direct as possible; i.e. C++ for Financial Applications is clearly preferable to a course in Algorithm Analysis. This line of reasoning assumes that the latter individual studying Algorithm Analysis will either a) have a difficult time leveraging the contents of this course into the financial world or b) it is not an efficient way of teaching computational finance. The one misstep in this statement is that the student who succesfully studies Algorithm Analysis in a more general sense and learns cross platform heuristic techniques coupled with the ability to syntactically implement these ideas, will have the clear advantage in the long term. I think it would be difficult to argue about the depth of these two courses. And let's not forget....a central theme and economic value of a quant is his or her ability to bridge disciplines, so let's not deprive the quants of that pleasure and thrill :)
I would think that juggling to learn C++ syntax and mathematical finance at the same time in the super short 1-1.5yr. programs is slightly over packing (definitely not impossible though, and most of the time probably practical) My best advice, learn C++ before entering a program and constantly utilize C++ for hw/research/as a substitute for MatLab.
Where to start? The programming section in this list contains many intuitive and instructive guides to jump-start your software engineering skills in C++.
http://www.quantnet.com/forum/threa...uants-mfe-financial-engineering-students.535/http://www.quantnet.com/forum/threads/versatility-of-mit-mfin.5728/#post-49208
 

sharkie

New Member
As an MIT MFin in the Class of 2011, I can attest to the program being extremely flexible and extremely challenging regardless of the route you choose.

If you have quant. desires you are welcome to take classes in the engineering school-- including graduate level programming courses that count for the MFin. I know of people taking classes in advanced probability, statistics, and coding (java/python) [not to mention good friends that aren't super quanty going over to HBS for class]. I'm taking a course in Java from course 1 that is an excellent primer in all the fundamentals of OOP. It meets 3x/week for 1.5 hours + 1 hour of mandatory recitation + a 2-4 hour pset due every Friday. If you take it at the graduate level you can ask for a project for extra credit where you can really apply your experience to finance. The professors in this course are fantastic and the teaching assistants are all amazingly helpful (grad. students from EECS).

As far as Sloan M.Fin. classes go, the program is being expanded to meet demand as we are typing. Analytics I and II, Options and Futures, Investments with Pan, Advanced Corp. Risk Management with the Energy Center's Director, several special seminars (portfolio management, Glab), Prof. Merton's courses, Stewart Myers....etc... Sloan has an enviable list of amazing courses. Some are quant, some are not, but all are fascinating.

MIT is not an experience where you randomly sign up for a degree and get a stamp. You should be willing to explore all the options the ENTIRE campus offers. Of course your base program (MFin) is a major part of your time, but it's really fun to be around people that study a variety of subjects.

Research is huge too. If you can take the initiative to knock on some of the Professors' doors at MIT Sloan and perform excellent research you will be a great candidate for quant. on the street

Hope I helped clarify my view on the program.

Sharkie
 

Anthony DeAngelis

Well-Known Member
Touche, Anthony.
But if you look at the group of MIT admits this year, they are the same applicants who applied to Columbia MFE and other quant programs. Now, they are going to MIT and you expect them to suddenly set path on a career in consulting, private equity, banking?
To a certain degree, I believe there is a disconnect between what MIT Sloan MFin is designed for and what coming students expect to. It's perfect match if banking, consulting, PE is what they want to do all along. In that case, they wouldn't have applied to Columbia MFE along with MIT MFin, right?

MIT MFin states flatly that their program is not MFE and the logical part of me has been thinking that some incoming students have tried to convinced themselves that because MIT is "flexible/versatile", they can somehow get the MIT brandname with a choice of courses at Sloan that makes them very quantitative.

I personally know it's the goal of many students this year and I'm following their path to see how they will accomplish this.

Yeah, I mean MIT has a great brand name and is a top tech school. Add to the fact that you probably have a lot of engineering or math based foreign students who are attracted to the name and you have MFE'ish placements and desires.

My girlfriend went to an engineering school in Dubai and did her MSF at Villanova. The school is a straight up MSF (banking, F500, PE, non quant) and she is in a quant role right now. If you have the undergrad background, an MSF will give you the finance experience.

The true test is if someone who doesn't have that strong quant undergrad goes to an MSF program and comes out with the tools to be a quant.

All things being equal, an MFE will prepare you for a quant career much more than an MSF.
 

ICQuant

Active Member
It would be interesting to know if we hear some updates regarding the above discussion from the students who got enrolled last year.
 

Jayanthan

Well-Known Member
One need not get into MIT Finance to learn programming skills. You can learn any programming language in two weeks. (Ask any Indian IT guy in wall street.) Learn it before going to MIT. It is waste of time and money to learn basic C++ or VBA at MIT.

If you could reveal the Secret (learning in 2 weeks any programming language), I would really appreciate it (I don't know any wallstreet IT indian)
 
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