Just like to add a few thoughts with the caveat that I'm doing a MS in financial maths.
Agree with most parts of Darkstar's description of the MFE/MSFM/MSCF programs. Just got 3 points to add:
1) whilst strong math background is required, quant analyst generally just need to know enough programming to be autonomous. That means the ability to code to test the accuracy of the pricing of say an exotic derivative type. So depending on the vantage point, that would be low/average (for the true CS guys) or strong (for guys with no programming knowledge) programming skill.
2) Quantitative portfolio mgmt is as much a part of a typical MFE program as derivatives pricing. So whilst CFA gives us the efficient frontier and ask silly questions about it, one will actually learn how to derive these frontiers in a typical MFE (and MiF program I believe) course. And that is just the basic. Typically, quant pm will throw in additional stuff like stochastic volatility and/or correlations (think the Black-Litterman model). MFE does not teach fundamental analysis (FS analysis and stuff) which MiF does (i think). Instead, stuff like statistical arbitrage is taught, which is basically a stats approach to determining under/over-valued securities.
3) In terms of post-grad employment, it is true that most MFE grads tend to go into derivative/fi pricing or trading. However, with CFA as a bridging tool, MFE grads are also moving to equity research, pm with a quantitative inclination, private equity, vc and even corp fin (typically M&A), a traditional stronghold of the MBA grads.
oh, and most MFE programs are 1 year in duration (berkeley, stanford, columbia, chicago, NYU) and some are 18-months (CMU, georgia tech). don't know any program that is 2 years in duration.
Edited 2 time(s). Last edit at Monday, June 19, 2006 at 05:42AM by propanol.