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Rutgers University - MS in Mathematical Finance
Rutgers MSMF program is offered at New Brunswick/Piscataway campus
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- pratikmehta
- 4.00 star(s)
I am an alumnus of Rutgers MSMF program and graduated in May 2013. MSMF is an intense program with heavy focus on theory. A lot of new application based courses have been added in the last couple of years which make the program more practical. Overall, if you are hungry for knowledge and work hard, you can get into whatever field you want; quant analyst, developer, trader, risk management etc.
Challenging and rewarding program with a lot of focus on theory
What do you think is unique about this program?
One of the most unique aspects about the Rutgers MSMF program is that we have our own career services director who sets up seminars & presentations from industry practitioners (see more below).
Another unique aspect is that all of the courses are taught at night (between 5 and 9:30) which allows the program to pick up industry practitioners after they finish work to teach some of our electives in High Frequency Trading, Interest Rate Derivatives, Credit Risk Modeling, and Portfolio Theory.
From the programming side, there is one elective offered by the Electrical Engineering school on C++ that is strongly recommended for all students to take. I wouldn't say this course is hardcore, but I am a better programmer for having taken it. Most all of our courses have a programming aspect. Regression and Time Series use R or Gauss or SAS. Computational Finance, HFT and Interest Rate Derivatives use C++ with Excel interfacing. Numerical Analysis, Time Series, and Portfolio Theory use MATLAB.
What are the weakest points about this program?
A couple of the core courses in the program are way too theoretical, in my opinion. These courses are taught by very competent mathematicians, but the applications to finance are lacking in some of the areas. I have heard rumors that the program is trying to add more application to the theory courses, but only time will tell.
The main improvement that I would like to see would be to make some of the courses less theoretical. There should also be more flexibility in the course curriculum with more electives to choose from. One improvement they have already made, which will begin this summer, is a primer in mathematics to get incoming students up to speed.
Career services
I have heard rumors about the past career services in the MSMF program and they were not good. However, when I started a new career services director had just been hired. She seems genuinely focused on getting jobs for those who want one. She brings firms on campus and sends out resume books to the ones who can't make it, which have led more than a few interviews this fall and spring.
Some of the career services seminars are very geared towards the foreign students to help them to understand the culture here. Everything from attire to dining etiquette to speaking etiquette.
Rutgers brings in recruiters from financial institutions to sessions for the general population. These recruiters are generally looking for Technology and Business analysts at the undergrad level, though. One good source of job postings is the campus-wide career services platform that matches your degree with recruiters who are interested in hiring people like you. Basically you just log on, fill out your profile and then check back every few weeks for new jobs that match your profile. Some postings you can just apply for on the Rutgers Career Services page. I thought this was impressive. The MSMF program has a similar platform that recruiters can post to, but it is not as advanced.
The most effective sources of jobs and internships has been from networking. That includes introducing yourself to the speakers that come to campus, going to events in New York and grabbing as many business cards as you can. Also, a lot of companies post positions to the MSMF career site and we apply through those, which have turned into intership/full-time positions.
I am pretty impressed by the speaker lineup that we have had this spring and last fall. In the fall there is a mandatory (pass/fail course) career services seminar every couple weeks where you are taught everything from how to write a cover letter/resume and make an elevator pitch to proper dining etiquette. On top of this, there is generally a speaker/recruiter from the industry giving a presentation to the MSMF students every 1 to 2 weeks. They are generally MDs from quant, risk, technology or portfolio management groups at BBs or Tech firms. Overall, career services is like another class (as it should be).
Student body
Class make up - 10% American, 10%-15% Indian, 75%-80% Asian (mostly from China). I would say that the American and Indian students are very interactive with the Asian students and probably around 50% of the Asian students are interactive with other groups.
I will classify the student body in two parts, those who really want to find a job in the US (50%) and those who either don't care or plan to go back home upon graduation (50%). The ones who really want to find a job are hitting the street, making cold calls and basically doing everything they can to get there name out there. Out of this group that really want to find a job, they are finding really great internships and jobs at top banks, hedge funds, mutual funds, consultant firms, trading firms, financial software firms, etc. The roles range from quant analyst, associate, developer, trader, etc.
Some of the students do not want to work in the US but are actively seeking and finding quant jobs at banks back in their home countries.
Of those who aren't as motivated to find a job, they will end up either finding a not so great job in the US or else matriculate back to their home country and work.
What do you think is unique about this program?
One of the most unique aspects about the Rutgers MSMF program is that we have our own career services director who sets up seminars & presentations from industry practitioners (see more below).
Another unique aspect is that all of the courses are taught at night (between 5 and 9:30) which allows the program to pick up industry practitioners after they finish work to teach some of our electives in High Frequency Trading, Interest Rate Derivatives, Credit Risk Modeling, and Portfolio Theory.
From the programming side, there is one elective offered by the Electrical Engineering school on C++ that is strongly recommended for all students to take. I wouldn't say this course is hardcore, but I am a better programmer for having taken it. Most all of our courses have a programming aspect. Regression and Time Series use R or Gauss or SAS. Computational Finance, HFT and Interest Rate Derivatives use C++ with Excel interfacing. Numerical Analysis, Time Series, and Portfolio Theory use MATLAB.
What are the weakest points about this program?
A couple of the core courses in the program are way too theoretical, in my opinion. These courses are taught by very competent mathematicians, but the applications to finance are lacking in some of the areas. I have heard rumors that the program is trying to add more application to the theory courses, but only time will tell.
The main improvement that I would like to see would be to make some of the courses less theoretical. There should also be more flexibility in the course curriculum with more electives to choose from. One improvement they have already made, which will begin this summer, is a primer in mathematics to get incoming students up to speed.
Career services
I have heard rumors about the past career services in the MSMF program and they were not good. However, when I started a new career services director had just been hired. She seems genuinely focused on getting jobs for those who want one. She brings firms on campus and sends out resume books to the ones who can't make it, which have led more than a few interviews this fall and spring.
Some of the career services seminars are very geared towards the foreign students to help them to understand the culture here. Everything from attire to dining etiquette to speaking etiquette.
Rutgers brings in recruiters from financial institutions to sessions for the general population. These recruiters are generally looking for Technology and Business analysts at the undergrad level, though. One good source of job postings is the campus-wide career services platform that matches your degree with recruiters who are interested in hiring people like you. Basically you just log on, fill out your profile and then check back every few weeks for new jobs that match your profile. Some postings you can just apply for on the Rutgers Career Services page. I thought this was impressive. The MSMF program has a similar platform that recruiters can post to, but it is not as advanced.
The most effective sources of jobs and internships has been from networking. That includes introducing yourself to the speakers that come to campus, going to events in New York and grabbing as many business cards as you can. Also, a lot of companies post positions to the MSMF career site and we apply through those, which have turned into intership/full-time positions.
I am pretty impressed by the speaker lineup that we have had this spring and last fall. In the fall there is a mandatory (pass/fail course) career services seminar every couple weeks where you are taught everything from how to write a cover letter/resume and make an elevator pitch to proper dining etiquette. On top of this, there is generally a speaker/recruiter from the industry giving a presentation to the MSMF students every 1 to 2 weeks. They are generally MDs from quant, risk, technology or portfolio management groups at BBs or Tech firms. Overall, career services is like another class (as it should be).
Student body
Class make up - 10% American, 10%-15% Indian, 75%-80% Asian (mostly from China). I would say that the American and Indian students are very interactive with the Asian students and probably around 50% of the Asian students are interactive with other groups.
I will classify the student body in two parts, those who really want to find a job in the US (50%) and those who either don't care or plan to go back home upon graduation (50%). The ones who really want to find a job are hitting the street, making cold calls and basically doing everything they can to get there name out there. Out of this group that really want to find a job, they are finding really great internships and jobs at top banks, hedge funds, mutual funds, consultant firms, trading firms, financial software firms, etc. The roles range from quant analyst, associate, developer, trader, etc.
Some of the students do not want to work in the US but are actively seeking and finding quant jobs at banks back in their home countries.
Of those who aren't as motivated to find a job, they will end up either finding a not so great job in the US or else matriculate back to their home country and work.
- Guest
- 4.00 star(s)
Can you tell us a bit about your background?
I have BS Engineering and worked (<2yrs) as an Associate with a Big 4.
I studied full-time in the program from 9/2/2008-5/13/2010
Did you get admitted to other programs?
U. Manchester, MFE, U. Birmingham, Math Finance
Why did you choose this program (over others, if applicable)?
It was more of choosing New York over London, my choice of Rutgers was due to the fact that of the reputable schools in the Tri-state area it had an extended application deadline. Considered Baruch/NYU/Columbia/Princeton but deadlines were past when I applied.
Tell us about the application process at this program
The application process was very straight forward, I had emailed the program director who responded timely. I sent in my application pack and got a response about a missing item, sent that over and got an acceptance mail then the paperwork followed, it was quite much being that I am an international student but everything went in an orderly manner.
Does this program offer refresher courses for incoming students? How useful was it?
Yes, the program offers a refresher course. I didn't need to take the refresher course as it is only mandatory for certain people with provisional admission, also I wouldn't want to incur additional cost. I did see the course content of the refresher courses though.
Tell us about the courses selection in this program. Any special courses you like?
My best course in the program is Portfolio Theory and Applications. The program as a whole requires completion of 7 core courses and 3 other courses from variety available or even one or two from the business school or computer engineering dept.
Tell us about the quality of teaching
I've completed 8 courses so far in the program (2 to go!). Frankly two of the classes weren't that good, not as practical as it could have been, another 2 classes were good but nothing beyond expectation but 4 classes were very good, well taught, reviewed papers, industry practice and engaged in stimulating class discussions.
Materials used in the program
The core textbooks we used were:
course - Math Finance I&II
Shreve, Stochastic Calculus for Finance II
Wilmott, Paul Wilmott on Quantitative Finance
course - Numerical I&II
Quarteroni, Numerical Mathematics
Atkinson, An Introduction to Numerical Analysis
course - C++
Deitel & Deitel, How to Program in C++
course - Computational Finance
Glasserman, Monte Carlo Methods in Financial Engineering
Joshi, C++ Design Patterns and Derivatives Pricing
Achdou & Pironneau, Computational Methods for Option Pricing
course - Portfolio Theory and Applications
Meucci, Risk and Asset Allocation
Grinold & Kahn, Active Portfolio Management
course - Applied linear regression and time series analysis (I used lecture notes)
Programming component of the program
There is a significant programming component with two fully programming class (C++ and Computational Finance), the program however had an option for the not so pragramming savvy people to take the business emphasis route and avoid this.
Projects
Projects were both individual and group work depending on the class although there were more individual. The projects range from re-performing the fama-macbeth cross-sectional regression method to get risk premia using past 10 yr stock prices of 10 securities using the S&P as benchmark to pricing a double barrier stock option in heston stochastic volatility model using ADI finite difference method or implementing the black-litterman asset allocation model to find the mean-variance optimized efficient frontier and frontier allocations for a given market portfolio.
Career service
The program has a dedicated full time career staff and she has organized quite a number of company presentations and info sessions, although most times the firms still refer students to their website (Morgan Stanley, Schonfeld Trading, Murex, Goldman Sachs, Bloomberg came this semester). Also the school itself has a number of career fairs and company info sessions that we leverage on for more reach, although the typical target there are the undergrad population. I was at the NYU/IAFE Math Finance career fair and I think I do appreciate the career efforts here better plus its free.
Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Well yeah, we've got a Chinese group, an Indian group, a small American and the rest of us in between. Although this creates some barrier to harnessing the benefits of a diverse learning environment, it all depends on the individual to break such barriers. I interact very well with all groups in class and hang out for beer with them too, actually picking up some Indian and Chinese words now.
What do you like about the program?
At the end of the day, it is the rigor of this program that sells it. I remember a new student telling me she's thinking of a part time job since all the classes are in the evenings and she'd be bored... only two weeks into classes I saw the same student rushing to complete an assignment before time complaining that she spent most of the night going through the problems and only just figured out how to do it.
What DON’T you like about the program?
On top of the list here would definitely be it's price tag, we pay significantly more than other graduate student here even when taking the same course. Also, in my view I think it better to admit fewer and more qualified students so as to reduce the class size.
Suggestions for the program to make it better
Continue to take student recommendations about lecturers serious, they made some good changes after my first year. Try to get more employers to interview on campus as opposed to just coming around for info sessions.
What are your current job status? What are you looking for?
I work part-time with the funds management unit of a global investment banking and securities firm and currently seeking full time positions for June 2010.
I have BS Engineering and worked (<2yrs) as an Associate with a Big 4.
I studied full-time in the program from 9/2/2008-5/13/2010
Did you get admitted to other programs?
U. Manchester, MFE, U. Birmingham, Math Finance
Why did you choose this program (over others, if applicable)?
It was more of choosing New York over London, my choice of Rutgers was due to the fact that of the reputable schools in the Tri-state area it had an extended application deadline. Considered Baruch/NYU/Columbia/Princeton but deadlines were past when I applied.
Tell us about the application process at this program
The application process was very straight forward, I had emailed the program director who responded timely. I sent in my application pack and got a response about a missing item, sent that over and got an acceptance mail then the paperwork followed, it was quite much being that I am an international student but everything went in an orderly manner.
Does this program offer refresher courses for incoming students? How useful was it?
Yes, the program offers a refresher course. I didn't need to take the refresher course as it is only mandatory for certain people with provisional admission, also I wouldn't want to incur additional cost. I did see the course content of the refresher courses though.
Tell us about the courses selection in this program. Any special courses you like?
My best course in the program is Portfolio Theory and Applications. The program as a whole requires completion of 7 core courses and 3 other courses from variety available or even one or two from the business school or computer engineering dept.
Tell us about the quality of teaching
I've completed 8 courses so far in the program (2 to go!). Frankly two of the classes weren't that good, not as practical as it could have been, another 2 classes were good but nothing beyond expectation but 4 classes were very good, well taught, reviewed papers, industry practice and engaged in stimulating class discussions.
Materials used in the program
The core textbooks we used were:
course - Math Finance I&II
Shreve, Stochastic Calculus for Finance II
Wilmott, Paul Wilmott on Quantitative Finance
course - Numerical I&II
Quarteroni, Numerical Mathematics
Atkinson, An Introduction to Numerical Analysis
course - C++
Deitel & Deitel, How to Program in C++
course - Computational Finance
Glasserman, Monte Carlo Methods in Financial Engineering
Joshi, C++ Design Patterns and Derivatives Pricing
Achdou & Pironneau, Computational Methods for Option Pricing
course - Portfolio Theory and Applications
Meucci, Risk and Asset Allocation
Grinold & Kahn, Active Portfolio Management
course - Applied linear regression and time series analysis (I used lecture notes)
Programming component of the program
There is a significant programming component with two fully programming class (C++ and Computational Finance), the program however had an option for the not so pragramming savvy people to take the business emphasis route and avoid this.
Projects
Projects were both individual and group work depending on the class although there were more individual. The projects range from re-performing the fama-macbeth cross-sectional regression method to get risk premia using past 10 yr stock prices of 10 securities using the S&P as benchmark to pricing a double barrier stock option in heston stochastic volatility model using ADI finite difference method or implementing the black-litterman asset allocation model to find the mean-variance optimized efficient frontier and frontier allocations for a given market portfolio.
Career service
The program has a dedicated full time career staff and she has organized quite a number of company presentations and info sessions, although most times the firms still refer students to their website (Morgan Stanley, Schonfeld Trading, Murex, Goldman Sachs, Bloomberg came this semester). Also the school itself has a number of career fairs and company info sessions that we leverage on for more reach, although the typical target there are the undergrad population. I was at the NYU/IAFE Math Finance career fair and I think I do appreciate the career efforts here better plus its free.
Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Well yeah, we've got a Chinese group, an Indian group, a small American and the rest of us in between. Although this creates some barrier to harnessing the benefits of a diverse learning environment, it all depends on the individual to break such barriers. I interact very well with all groups in class and hang out for beer with them too, actually picking up some Indian and Chinese words now.
What do you like about the program?
At the end of the day, it is the rigor of this program that sells it. I remember a new student telling me she's thinking of a part time job since all the classes are in the evenings and she'd be bored... only two weeks into classes I saw the same student rushing to complete an assignment before time complaining that she spent most of the night going through the problems and only just figured out how to do it.
What DON’T you like about the program?
On top of the list here would definitely be it's price tag, we pay significantly more than other graduate student here even when taking the same course. Also, in my view I think it better to admit fewer and more qualified students so as to reduce the class size.
Suggestions for the program to make it better
Continue to take student recommendations about lecturers serious, they made some good changes after my first year. Try to get more employers to interview on campus as opposed to just coming around for info sessions.
What are your current job status? What are you looking for?
I work part-time with the funds management unit of a global investment banking and securities firm and currently seeking full time positions for June 2010.