Can you tell us a bit about your background?
I entered the program straight out of RPI undergrad in math
GRE: V650, Q800.
Tell us about the application process at this program
Application process was smooth; everyone I had to contact was very nice. Because I was already an undergrad at RPI, applying for the graduate program was very easy.
Does this program offer refresher courses for incoming students? How useful was it?
Refresher courses are offered but I did not take them because I had already taken the relevant courses in my undergrad years.
Tell us about the courses selection in this program.
The program is split up into three concentrations, the General Track, Quantitative Finance, and Financial Risk Analysis Track. The program requires each student to take four foundation courses. These four courses give the students an introduction into financial instruments/derivatives and some of the mathematics/programming behind them. After the four foundation courses students get to select which concentration they want to take. Each concentration has a list of courses and out of this list the student has to take six courses to total 10 courses in one year (4 foundation courses and 6 concentration courses).
The courses for this program are split between the math department and the business school with the business school courses teaching the actual finance side of things and the math department teaching mainly the mathematical theory, programming, and econometrics. The courses offered by the business school couple very nicely with a lot of the courses in the math department. On one side you get a very theory based approach by the math department and then you get a practical/industry approach by the business school. For example you can learn all about stochastic calculus and Ito’s Lemma in the Financial Mathematics and Simulations course. Then in the Financial Simulation course you actually learn how to apply all that stochastic calculus to Monte Carlo processes used for derivative pricing.
The courses offered in the math department will provide you with a solid understanding of the graduate level mathematics in finance such as stochastic processes, time-series analysis, and probability/statistics. If you are not a heavy math person then I would advise against taking the Quantitative Finance concentration because most of the courses are in the math department and they will be proof heavy.
Tell us about the quality of teaching
Teaching is done by both practitioners and academics. All professors were available to help students, regardless of whether they work in the industry or not. Because the program has courses in two different departments the teaching style can be very different, but overall the professors really know their stuff and are more than willing to adjust the level of difficulty depending on the students in the class.
Programming component of the program
Pretty much every student at RPI regardless of major is taught Matlab, therefore the courses in the FERA program are mainly Matlab. A lot of time the professors will let you code in what you are familiar with so many students do use C++ for much of the coding.
What do you like about the program?
What I really liked about the program is how you can take courses in two different departments without there being any sort of red tape. Being able to learn financial mathematics in a purely maths course really helps to set up a very strong quant foundation which makes it much easier to fully understand the actual applications of the finance taught in the business school courses.
I also liked that each course was taught by a specific professor who specialized in that field.
What DON'T you like about the program?
Because each course was taught by a specific professor sometimes the course might not be available because that certain professor is not teaching it that semester or is on sabbatical.
What are your current job status?
Quant Consultant for one of the Big 4
