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Masters Programs in Mathematical Finance or Financial Engineering

miran

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These are usually 1-2 year programs, often at big name universities like Columbia, MIT, NYU, etc.

Does anyone here have any experience with these programs or is a graduate? They cost in the range of $40,000 a year....are they useful?
 

dragon8

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Originally Posted by miran
These are usually 1-2 year programs, often at big name universities like Columbia, MIT, NYU, etc.

Does anyone here have any experience with these programs or is a graduate? They cost in the range of $40,000 a year....are they useful?


Depending on what you want to do but I assume many work in investment banks afterwards.

My friend graduated from UC Berkeley FE program. She is returned to Asia to work in the deriviatives department of an investment bank. She was always good with numbers and math was like her first language.
 

imschatz

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Just a warning .. know what your getting yourself into. Mathematical Finance guys, tend to be scary brilliant. I was good at math in undergrad (taking honour's math as my electives) .. but, holy ****. Currently working with a professor who teaches economics, but has a Ph.D. in math and does research in the math department in "Financial Economics" .. and she is at an entirely different level of brilliance that I just didn't expect.

I probably could have got into the Math M.Sc at the university I'm at now .. but I highly doubt I would have passed anything.

If you haven't yet .. take a course (or two if two are offered) at the highest undergrad level in Stochastic Calculus. Black & Scholes Option Pricing model is a stochastic calculus model - and from what I've told it is pretty fundamental to math finance.
 

gnatty8

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If you plan to go into management, no. If you plant to be a quant at an i-bank/hedge fund, then by all means, go for it. Beware though, I've had some brilliant mathematicians work for me who had **** for common sense. Recognize the limitations of quantitative approaches in trying to model things that are by their very nature, subject to hysteresis, irrationality, and panic.
 

pjshapiro

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As far as I know, mostly a pipeline into banking or more quanty hedge funds. Though a lot of job descriptions are still requiring hard science/math PhDs -- that's what the guy running the desk or running the fund has, so that's what they're looking for. That'll probably change over time.

But yes, to an earlier poster's point, you need serious math chops for the top-notch MFE/MQF programs. I've done grad work in math and engineering, and those without top decile math and programming skills (e.g. me) can have a tough time. And, like an MBA, you're paying to get a good education, but also to get access to the network, so beware of newly started programs in non-finance cities. Courant will get you further than Johns Hopkins, for instance.

The other option, which is way cheaper and can be done on your own schedule, is Wilmott's certificate in quantitative finance (CQF). Google "CQF" and read up on that. Depending on your situation, that may be a good way to go, though my understanding is that people usually have a few years under their belt before doing the CQF, and given how general your question was, that may not be your profile.
 

Valor

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I'm in one of the programs you mentioned. You can pm me questions if you have em.

The biggest question is do you know what you want to do?
 

miran

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Thanks for the input everyone!

Also, pjshapiro:

http://www.wilmott.com/cqf.cfm

What the **** is this?
smile.gif
Thanks for this! I have never heard of this one before.

Hell...if I have an academic math background, I'm thinking of starting my own Quant program
smile.gif
Even if I have 5 studetns, at the going rate, I can earn more than a quant at a hedge fund! Holy ****!
smile.gif






Originally Posted by pjshapiro
As far as I know, mostly a pipeline into banking or more quanty hedge funds. Though a lot of job descriptions are still requiring hard science/math PhDs -- that's what the guy running the desk or running the fund has, so that's what they're looking for. That'll probably change over time.

But yes, to an earlier poster's point, you need serious math chops for the top-notch MFE/MQF programs. I've done grad work in math and engineering, and those without top decile math and programming skills (e.g. me) can have a tough time. And, like an MBA, you're paying to get a good education, but also to get access to the network, so beware of newly started programs in non-finance cities. Courant will get you further than Johns Hopkins, for instance.

The other option, which is way cheaper and can be done on your own schedule, is Wilmott's certificate in quantitative finance (CQF). Google "CQF" and read up on that. Depending on your situation, that may be a good way to go, though my understanding is that people usually have a few years under their belt before doing the CQF, and given how general your question was, that may not be your profile.
 

dragon8

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Originally Posted by miran
Thanks for the input everyone!

Also, pjshapiro:

http://www.wilmott.com/cqf.cfm

What the **** is this?
smile.gif
Thanks for this! I have never heard of this one before.

Hell...if I have an academic math background, I'm thinking of starting my own Quant program
smile.gif
Even if I have 5 studetns, at the going rate, I can earn more than a quant at a hedge fund! Holy ****!
smile.gif


Almost $20,000 for a 6 month course?!
 

JoelF

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Here is a good resource on MFE programs Quantnet.

+1 that it's serious ****. I've done some workshops given by Baruch MFE and a while ago the Wilmott CQF online refresher math course. All great stuff but my poor little head was spinning.

Another good quant forum I've recently rediscovered, kind of an SF of finance: Nuclear Phynance
 

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