Math Skills Question for all Folks, but JoeyV in Particular

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Gouman

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I'm 8 weeks from graduation and I just realized I don't want to do a traditional MS in Finance program anymore, I want to do a MS in Financial Mathematics. However, my undergrad program only required the one quarter of calculus which I aced.

Nevertheless, I do not have the math skills to be accepted to any MSFE.

So, today I declared a second BS in Math. I'll still be awarded my BS in Finance (i.e. I can sit for CFA 1) but I will immediatly start the math program in Fall.

I have no intention of finishing the degree, I merely want to knock out the prereqs for a MSFE program from a solid school. I have looked on the websites of some programs and they suggest Calc 1-4(Differential-Multivariable), Linear Algebra, Differential Equations, and Probability. However I suspect thats a short list.

My question: What course sequence would you suggest.

You know whats funny, I don't even want to be a quant analyst. I sit next to one on the desk at the shop where I intern, and I wouldn't want to be him, except for his salary. I want to do plain old fundamental analysis and work my way up to PM as my talent develops. Still, I feel finance is moving more towards the realm of science, case in point, many of the other interns are Math, CS or Engineering majors. Most of the people doing the most interesting work (and getting paid the most) have exceptionally high math skills, way beyond the requirment for undergrad Finance programs. I don't want to be ineligable for an interesting position because of a lack of quant skills.

Any advice would be appreciated.
 
I took a math/stats minor in my degree and what youve planned is how i did it. Becuase of prerequisite constraint you might not have a choice. CFA has some regression, if there is a regression class it might be beneficial. Time Series Analysis could be usefull somewhat. "Stochastic Calculus" might help becuase that is used in derivatives pricing. "Numerical Analysis" class might help as well. Anything that involves computers in assingments or labs is great to expand software knowledge. I dont recall that you indicating how long you wanted to study in the math department, how long were you planning ? You might want to check out willmot website and "international Association of Financial Engineers" website only if have not found them yet. I'd try to read as many course outlines from as many different FE programs as well. For kicks you could check out acturary society websites as well becuase there is some overlap. What school do you go to ? Some math profs might be out to slaughter the class, I guess it depends on the school and prof as well. Perhaps JoeyV might have some other insight...
 
One thing I would caution is that since JoeyDV is such a knowledgable and prolific poster this forum has increasingly had a quant bias over the last six months or so.

Whilst the quant side of the industry is important and growing, I would caution that maybe this forum is at risk of overstating its current role. There are a lot of succesful people out there who dont know their lagrangian's from their itos lemma, or whatever.
 
Agreed. However, two words in your post stick out-- important and growing--thats what I want to be.

Like I said, I don't even want to be a quant at all at this point. I just want to have the option to be able to easily transition into a position that requires quant level math skills if something interesting comes up. People with quant skills I suspect could easily get into a less quantitative area of the industry that interest me, but those without high level quant skills are boxed out of the most cutting edge and in many cases the most lucrative jobs because they simply don't have the quantitative training to handle the work. I fear being one of them, I fear being boxed out.

Thanks for the words, they are very true.
 
DeadCat Wrote:
-------------------------------------------------------
> One thing I would caution is that since JoeyDV is
> such a knowledgable and prolific poster this forum
> has increasingly had a quant bias over the last
> six months or so.
>
> Whilst the quant side of the industry is important
> and growing, I would caution that maybe this forum
> is at risk of overstating its current role. There
> are a lot of succesful people out there who dont
> know their lagrangian's from their itos lemma, or
> whatever.


Hmmm....

Have I introduced a quant bias. That seems like a bad rap to me, although I believe that quant skills are pretty important in finance.

I don't really know what is required in MSFE programs because I've never been around them. I believe that most of them essentially want a undergraduate math major, but you can certainly skip some stuff (Any 'algebra' except linear algebra is not necessary, for example). Stochastic calculus is not an undergraduate course and really requires a pretty deep understanding of probability theory (like the measure-theoretic kind taught in grad school). Bag that for now.

I like the calc sequence, linear algebra, probability, but the DE's don't seem in the same league to me. I can't remember the last time I encountered an ODE in finance, if ever. I've taught the course, but I can't remember how to solve most DE's now. Stochastic DE's show up all the time, but it's usually in the context of 'Black (1981) showed that the solution to this SDE is...'.

The thing that I would add to the list is programming. You can always make yourself valuable at nearly any finance place by programming something.

Other course I think would be useful: math modelling, the full 1-year prob/stat sequence, and any class where you learn any optimization like linear programming or Lagrange multipiers.
 
Nothing wrong with wanting some excess knowledge. However, if you really want to be a fundamental analyst, the CFA program and an MBA program that isn't limited to the gospel of modern portfolio theory would be the way to go.

Because there is so much processing power on wall street it is very difficult to differentiate yourself with valuation models alone. Estimating a company's durable competitive advantage is the real job. That's why qualitative topics like Porter's Five are so important for fundamental investors. Figuring out which company will be around 25 years from now is not achieved with numbers alone.

Warren Buffett [sound the bells] frequently points out that any IQ points over 130 just don't help out when it comes to fundamental investing. And, anyone with basic understanding of math and stats can replicate nearly 100% of the Graham/Dodd/Fisher/Munger/Buffett process. The results may be elusive though.
 
Sorry JDV - its not intended as a slight.

My point was that people know that you have a high degree of skill and affection for the subject. Posters find it useful and want to tap into that.

We dont really have someone with a similar depth of knowledge on, say, technical analysis or whatever and so I think these other areas dont have the 'liquidity' that quant topics do.

So really it was a compliment on your knowledge and a moan about the absence of expertise elsewhere - even if it didn't seem like that. Sorry.
 
its a very good question and I have not been able to get around it entirely - do you need real quant skills for long term fundamental equity investing?
I think there is a difference between being too smart (high IQ) and knowing a bit more than the rule of three;
- my former boss is probably the smartest person I have ever come across and his read-across very extremely sharp (very impressinve) however during the three years I worked with him the markets were too stupid for his complexe reasoning and using more straightforward relationships
- however I have seen over the past five years that a good quant with well working models can very much help weeding out/improving pure bottom up approach, so I guess having good quant skill or knowing somebody who has is really beneficial even to pure stock pickers
 
one doesn't need formal training to get relevant math skills (can read appropriate books herself) but she needs formal training to confirm possession of those skills
 
i really dont think you need more than high school math to do equity analysis..ofcourse, if you want to play around with options and all the exotic /synthetic medley that has arisen out of MPT, then you need to be a number cruncher.

buffet and co derive their strengths from their temperament and character.-the ability to be patient and wait for the right investment -its more about EQ rather than IQ.

Quantitative guruhood doesnt assure anything on the emotional front.But hey,its fun to make a simple thing very complicated!

apologies to all quants everywhere.



Edited 1 time(s). Last edit at Wednesday, July 4, 2007 at 11:47AM by Dsylexic.
 
To Joey DVivre,
Could you please let me know your email address? I wanted to email you a question offline?
Thanks,
C
 
What programming language do you recccomend. I was thing C# or VB. I hear C++ is losing it's mojo.
 
cnd Wrote:
-------------------------------------------------------
> To Joey DVivre,
> Could you please let me know your email address?
> I wanted to email you a question offline?
> Thanks,
> C


joeydvivre at yahoo dot com
 
Gouman Wrote:
-------------------------------------------------------
> What programming language do you recccomend. I was
> thing C# or VB. I hear C++ is losing it's mojo.

All of those are nice....

I agree that C++ is losing it's mojo but there is an unbelievable ton of code written in it. C# and VB are both nice.... Of course, my favorite is Delphi but nobody else progams in it.
 
We use a combination of C, C++, and Java. We do the heavy calculations in C, with some C++ to glue it to Java where we do the higher level stuff. C/C++ produces the fastest code, but it is hard to use. Java is easier to use and has a rich set of tools and libraries available for it.

VB is OK for prototypes, but you can't really build an enterprise quality system with it. C# is good, but like VB supports vendor lock-in with MSFT. Its hard to distribute your computes across an array of Sun enterprise servers if its tied to MSFT...

It seems very few people know enough math and programming to produce quality numerical solutions.
 
You know that C/C++/Java gluing...That's exactly the reason I use Delphi which is ofcourse impossible to port to Sun but if you don't have to do that, it's a nice language.
 
The Java/C++/C thing is a pain, although there are some libraries to make it easier.

There are Pascal compilers for Unix, I'm not sure how compatible they'd be with Delphi though. I know next to nothing about it, I haven't used anything Pascal like in almost 20 years.
 
I'm sure that unless you used Delphi to write ANSI standard Pascal, they wouldn't work at all. If you're going to do that, you should go with C.
 
Hi everybody,

I speak as a former quant analyst at a small options arbitrage shop, looking to move into more "human" equity research/asset mgmt shop role. It's impossible, at least so far. My background is in pure finance, CFA level 3 candidate...got into the quant role because I was advised that "programming is what would get me the job"...

I mastered OOP, VBA, VB. Net, SQL, S-Plus, you name it.. but I deliberately declined to go any further...The company was basically split into 2: computer science majors and financial engineers with hard science backgrounds. For a few years, I managed to do well, adding quite of value to the company, being an aggressive learner and full of optimism, but at some point I had to decide whether I wanted to cross the line and never look back to finance/invst mgmt. Either I had to try and become a professional developer, i.e. acquire at least one serious language - C#, C++, Java, or jump deep into statistical programming (S-Plus, SPSS)..But, ultimately, neither of these two groups would take you too seriously.. because it's foolish to think of yourself as a developer with VB knowledge only, or as an FE with basic regression knowledge only...

so, I could not do it..I did not want to do it. I knew I'd never be as good as the other guys, regardless of how hard I worked at it. Because I did not have a passion for it. It's the reason I never chose a computer science or a math major in college in the first place..

my point is, don't try to go thru the quant track to break into invst mgmt role, it's a waste of time and efforts, at least to my mind. everybody is going to focus on your programming skill, and frown upon the fact that you don't have client relationship skill, or deep accounting skill, or whatever...
 
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