University of California, Los Angeles - Master of Financial Engineering

Can you tell us a bit about your background?
PhD, worked in logistics and management consulting for 2 years, GRE (2250), GMAT (710)
I studied full-time in the program from 01/2009-12/2009.

Did you get admitted to other programs?
I only applied to UCLA MFE as I was based in LA

What alternative sources of info you used to learn more about the program?
Quantnet, Global Derivatives, Vault, lots of online research on MFE programs in general as this was a new program and not much information was available

Tell us about the application process at this program
Application packet submission (including GMAT scores, essays, transcripts etc) followed by telephone interview

Does this program offer refresher courses for incoming students? What do they offer and how much it costs?
They didn't offer one when we started - however, I know that there was one in the pipeline for the next incoming class

Tell us about the courses selection in this program. Any special courses you like?
Credit Markets, Computational Methods, Fixed Income Markets, Quantitative Asset Management. My personal interest was in credit markets as well as asset management. These courses were well-organized with lots of information, assignments and practical examples

Tell us about the quality of teaching
We were lucky enough to have some of the finest minds in finance such as Francis Longstaff and Eduardo Schwartz as teachers. They have not only produced great research but are fine teachers as well - well-organized, lucid and give a very nice bird's eye view of the field. Another teacher deserving special mention is Kay Giesecke, who came down from Stanford to teach Credit Markets - he was able to take some very complex subject matter and make it very accessible for us.
A couple of teachers weren't so well-organized - hopefully these could be attributed to teething troubles for them in the first year of the program.

Materials used in the program
Most of it was standard to MFE curricula everywhere - Shreve for Calculus, Fabozzi for Fixed Income etc. We got excellent notes from Schwartz, Longstaff, Giesecke and Lustig for their classes which were invaluable.

Programming component of the program
Mostly Matlab, although most of us had some C++ familiarity. No dedicated programming course (seems a waste of time and money in an MFE no? ). We spent a lot of time programming - all our assignments required significant amounts of progamming

Projects
Lots of derivatives pricing, interest rate modelling, CDS models and pricing. Both individual and group. We didn't have industry mentoring, however we did have industry practitioner seminars and our internships

Career service
We have a dedicated career services professional exclusively for the MFE program. We had on campus interviews and interviews scheduled through the career office. However, given that the program was brand new and given that our career services person had previously not worked in finance recruiting, our career services were certainly not as good as they could have been

What do you like about the program?
I liked that it was based in a business school - our faculty teach MBA curricula and consult in the industry - so they have a very good combination of theoretical knowledge and real world wisdom. I really liked our class - we were a small class and hence it felt very close knit. Everyone was always sharing their knowledge and skills with others.

What DON’T you like about the program?
I don't like the price tag - we paid business school prices for the program, we would have paid a lot less if the program was based in any other department. Also, given that we were the introductory year, a lot of the rough edges hadn't been smoothed out - the lack of a prep course for instance.

Suggestions for the program to make it better
Organize a prep course - programming, statistics, and advanced calculus. Organize more industry networking opportunities. Less emphasis on programming and modelling and more emphasis on the big picture in finance (this is a personal peeve of mine - there's way too much emphasis on the engineering and not enough on finance in MFE programs)

What are your current job status? What are you looking for?
Working for a distressed debt hedge fund

Other comments
My advice would be think beyond merely being able to code fixed income models efficiently and think of the ways in which they work. Think beyond being a glorified programmer and develop an interest in finance as a field (way too many refugees from the physics job crisis in quant finance - people who don't really care about finance and obsess over coding and modelling)

Can you tell us a bit about your background?
A master of electrical engineering with 7 years of working experience in various disciplines of engineering (research, design, implementation, testing).
I studied full-time in the program from 01/2009-12/2009.

Did you get admitted to other programs?
No.

Why did you choose this program (over others, if applicable)?
I was on the "on hold" list of UCB and I gave up pursuing UCB once I received admission from UCLA.

Tell us about the application process at this program
It was an inaugural program, the online application was short and easy, and collected only the basic info. I saw the second year application it was considerably more formal. The phone interview came about 3 weeks after completing the application, and the final decision was about 1 week after the phone interview. The phone interview was 30-minute of soft-questions (why UCLA, why MFE, why then, etc)

Does this program offer refresher courses for incoming students? What do they offer and how much it costs?
The only thing available for us at the time was a Matlab refresher during the first week of the program. I did not attend so I cannot comment on it. The program faculties constantly polled the class for ideas of refresher classes for future students, unfortunately being in the first class I did benefit from them.

Tell us about the courses selection in this program. Any special courses you like?
The courses selection is modeled on the UCB curriculum, but minus the electives. The professors work with one another to make sure there are little overlaps and as much info was presented as possible. Most core infomration and difficult classes were front-loaded in the first two quarters before our internship, and the last quarter was relatively more managable. I wish I had a little more flexibility in the last quarter for electives, after acquiring the core info and completing an internship. I liked the ungraded seminar class, experts in the industry were invited to give a talk on a quantitative finance topic once a week. I did not enjoy every speaker, but it was informative to hear the other perspective from non-academic practitioners.

Tell us about the quality of teaching
I liked most of the professors in terms of teaching, and most of them were very accessible after class. I appreciated that the school for hiring reputable experts from other universities for some classes (Giesecke from Stanford, Jorion from UCI), even though there are other capable teachers at UCLA. The TA's were certainly very helpful for our learnings. There were quite a few PhD students from the finance or economics departments with quant finance master, and they were very capable and willing in helping us.

Materials used in the program
Most materials were professors' personal notes. None of the classes closely followed a particular textbook.
References suggested: Asset Pricing by Cochrane
The Econometrics of Financial Markets by Campbell
Stochastic Calculus for Finance by Shreve
Options, Futures and other Derivatives by Hull
The Handbook of Fixed Income Securities by Fabozzi
Fixed Income Securities Tools for Today's Markets by Tuckman
Quantitative Equity Portfolio Management by Chincarini
Value at Risk by Jorion
Financial Risk Manager Handbook by Jorion

Programming component of the program
Other than the accounting, corporate finance and intro to investment classes, heavy programming was required for all school work. The program did not teach programing, and did not have any requirement on the language chosen, as long as we could get the work done. The most common tools we selected were Matlab, Excel and SAS.

Projects
About 80% of all school works were done in groups. Most projects required understanding the objective, setting up and executing (usually require programming), and producing a light report.
Examples of individual projects:
Pricing various options computationally Examples of group projects: Empirical and statistical analysis to confirm findings of some famous papers/studies
Constructing and backtesting equity portfolio with various kinds of properties
Calibrating term structure models and pricing fixed income derivatives
Building intensity-base and structural models and assess default probabilities and CDS value at risk

Career service
A career office designated for the MFE students. Various kinds of workshops are provided (resumes, cover letters, networking, interview workshop, personal coaching, etc). The career office also reached out to potential employers on behave of students and worked in line with students personal goals. A couple professors with industry connections also helped bring in opportunities.

Can you comment on the social interaction between students of different ethnics, nationalities in the program?
60% of the class are international students. No doubt people grew up from the same countries tend to be closer, but there isn't an obvious barriers between ethnic groups. Overall the whole class engaged with one another very well without conflict.
The program assigned study groups some what randomly at the beginning of the year, people of all races were mixed together. I was not aware of any problem among the groups, and we chose to stick with the original groups til the end of the year.

What do you like about the program?
I enjoyed the small class size, diversified student backgrounds, and the fact that a lot of our work were done in groups. Overall it was a great environment to not only learn from school but also from each other.
I liked the cares and willingness shown by the administrative and career service directors to work personally with individual students. They were prompt in helping us and answering questions during the application process and throughout the year.
I also appreciated their continuous communications with the student organization to get our feedback and their effort in improving the program.

What DON’T you like about the program?
There were times it showed that the school was not fully ready for this new program. E.g. some career service workshops came in the last quarter but we could have benefit more if they were presented earlier, professors were not very clear on what speed and difficulty they should be teaching at, and one class was taugh by multiple instructors and it lacked continuity.
Another thing I would like to see improvement is the flexibility of the curriculum. The curriculum was fixed and there was no elective to choose from.

Suggestions for the program to make it better
I would work harder to promote the program and the MFE. I want to see more effort and result in promoting it to the industry. Financial engineering is not new, maybe some HR representatives understand what is MFE about, or UCLA MFE just didn't have a reputation.
It seemed to me that we were never being considered for positions that were traditionally held by MBA, even though we might be qualified. It bothered me a bit.
My personal experience with Deutsche Bank (I have friends working there who spoke to the HR) -- I was rejected for their analyst internship because I over-qualified, and I was rejected for their associate internship because I wasn't a MBA nor PhD. So where do we stand?

What are your current job status? What are you looking for?
I am current still seeking opportunities. I prefer to work in portfolio analytics and management or trading strategies R&D.

Other comments
A lot of the details of how the program is run are very likely to be adjusted a lot in the first few years. Experiences from the first year students may not be very applicable for future reference. Changes I'm observing (but was not told directly): Refresher classes are coming 2nd year students have more working experience, the reason could be a different pool of applicants or a different selection criteria Career service office is now better prepared and beginning to have some relationship with certain recruiters