My chance in MFE without math/stat background?

[Daniel Duffy]

I understand and I understand Daniel's point of view. I think Daniel's experience is from the IT side of things. He might be right, C++ might be used a lot.

If people here want to go that route, sure, learn C++. Odds are you won't be using C++ on the financial side of things. Just keep that in mind.

Talk is cheap.

Unfortunately, the Daves, pingus et al are all anonymous internet warriors so I have no idea what your background is.

 

[Daniel Duffy]

BTW, just checked your Linkedin Profile, you have never worked for a investment/trading firm as a front office quant, you are a system/software engineer. If I have your CV, I wont even interview you for the investment quant role in my team....just my 2 cents...

I am _also_ a mathematician. And I train quants in numerical models for computational finance up to C++ and C#.
And I am not looking for a job .. been an employer for 31 years.

 

[mhy]

I disagree that C++ is not used in front office quant environments. I use it a lot, and many other firms do too.

 

[Daniel Duffy]

Theorem: You will never need C++ as a front office quant.

To prove this, you need to test for all front offices.
To disprove it, one counterexample is enough.

It is a logical fallacy, similar to this

No true Scotsman - Wikipedia

 

[Quasar Chunawala]

@pingu - I am currently interviewing for a C++ quant developer role, for an internal position. All of the numerical analysis group(NAG) libraries, models, used for derivatives pricing by the quant-strats team are built in C++.

Its important to have a balanced world view.

 

[Daniel Duffy]

@pingu - I am currently interviewing for a C++ quant developer role, for an internal position. All of the numerical analysis group(NAG) libraries, models, used for derivatives pricing by the quant-strats team are built in C++.

Its important to have a balanced world view.

Indeed; another counterexample to the hypothesis

C++ with NAG is 'Big Iron'. Built for performance.

 

[pingu]

@pingu - I am currently interviewing for a C++ quant developer role, for an internal position. All of the numerical analysis group(NAG) libraries, models, used for derivatives pricing by the quant-strats team are built in C++.

Its important to have a balanced world view.

This is key "C++ quant developer role". I never said anything about this. Again, I have nothing against C++ but the roles you will find are more IT related than a role closer to the "decision making" process. Again that's what I have seen for the last 10 years or so.

You guys don't need to be that defensive. This is just my opinion. If you are trying to justify your investment, I think you might be lying to yourself... but again, I might be wrong.

 

[pingu]

Indeed; another counterexample to the hypothesis

C++ with NAG is 'Big Iron'. Built for performance.

NAG and FinCAD and Numerix all expose their APIs to another languages.

You don't need to be that defensive. There are always going to be C++ roles in finance (there is an army needed in technology roles) but, IMHO, the people closer to the decision making process have been sitting far from C++ for a while now.

 

[APalley]

This is key "C++ quant developer role". I never said anything about this. Again, I have nothing against C++ but the roles you will find are more IT related than a role closer to the "decision making" process. Again that's what I have seen for the last 10 years or so.

You guys don't need to be that defensive. This is just my opinion. If you are trying to justify your investment, I think you might be lying to yourself... but again, I might be wrong.

NAG and FinCAD and Numerix all expose their APIs to another languages.

You don't need to be that defensive. There are always going to be C++ roles in finance (there is an army needed in technology roles) but, IMHO, the people closer to the decision making process have been sitting far from C++ for a while now.

Hello Guys,

I am a recent grad from Penn State with BS in finance with 3.81/4.00 gpa. I have completed CFA level 1 and planning to take level 2 next month. I have a general finance job lined up soon and I am planning to pursue MFE degree after few years of working to hopefully land a job in quant field. Since I have only rudimentary math exposure and background in undergrad, I was wondering if I had absolutely no chance of getting into MFE in the future.

Thank you

Thank you for your reply!

If I complete those prereq courses for the program and c++, would my chance be still slim compare to other candidates with math/stat background? Even with the high gre or gmat score??

no necessarily. Get math knowledge, probabilities and some programming language you can apply (not C++, believe me on this). Also learn as much as you can about the job you are in. That will be your angle.

OP did not specify that he was specifically looking to get a decision-making role as a pure Quant on a trading desk (for which I concur with you, the vast majority of such roles do not use C++). Many people going for MFE and on this forum are not necessarily looking for such a role; there are many other roles graduates of MFE go for (in the 'Quant field'), and not just as a 2nd choice. In fact, I believe that the minority of MFE graduates seek or end up in such roles.

All OP was asking was if C++ would help admission to MFE programs, and for this the answer is certainly yes (as many roles that MFE programs do actually place into, do require C++).

 

[pingu]

OP did not specify that he was specifically looking to get a decision-making role as a pure Quant on a trading desk (for which I concur with you, the vast majority of such roles do not use C++). Many people going for MFE and on this forum are not necessarily looking for such a role; there are many other roles graduates of MFE go for (in the 'Quant field'), and not just as a 2nd choice. In fact, I believe that the minority of MFE graduates seek or end up in such roles.

All OP was asking was if C++ would help admission to MFE programs, and for this the answer is certainly yes (as many roles that MFE programs do actually place into, do require C++).

This is the most reasonable answer I have seen so far. I completely agree with you.

Also, the OP didn't mention C++ in his original post. Andy recommended it and I gave my opinion to learn R or Python.

 

[Daniel Duffy]

One point is if you know C++ well + its foundation you will learn languages such as Python and packet R in no time.

I wonder why they ask C++ questions at interviews.

I know for a fact that quite a few of the world's top quants use C++.

 

[pingu]

One point is if you know C++ well + its foundation you will learn languages such as Python and packet R in no time.

I wonder why they ask C++ questions at interviews.

I know for a fact that quite a few of the world's top quants use C++.

Here is my opinion and experience. If you learn C++ well, you will have an easier time learning other languages if they come from the C family. It will also forced you to think about things you that you won't think about when you are coding a system. But I won't expect a quant to do these things. As a finance quant, I want to worry about the finance problem and not the computational problem of the big system.

The only people asking C++ questions are old timers. I haven't seen any of this in the recent past for younger quants (and by younger I mean 8-10 years in the industry).

I don't know that many world top quants working in C++ for the past 5 years. If you go to conferences and speak with them, it's all R, Python, Matlab and Mathematica.

 

[Daniel Duffy]

Here is my opinion and experience. If you learn C++ well, you will have an easier time learning other languages if they come from the C family. It will also forced you to think about things you that you won't think about when you are coding a system. But I won't expect a quant to do these things. As a finance quant, I want to worry about the finance problem and not the computational problem of the big system.

The only people asking C++ questions are old timers. I haven't seen any of this in the recent past for younger quants (and by younger I mean 8-10 years in the industry).

I don't know that many world top quants working in C++ for the past 5 years. If you go to conferences and speak with them, it's all R, Python, Matlab and Mathematica.

If you know C++11 and its functional programming you can learn F# and Python.

The only people asking C++ questions are old timers.
Your time will come.

 

[pingu]

If you know C++11 and its functional programming you can learn F# and Python.

The only people asking C++ questions are old timers.
Your time will come.

the jump from C++ to F# is long. It's not as easy as you put it. The jump to Python is easier.

Regarding point #2, my time came and I learned. I'm an old timer with new tricks. I've been around for 20 years.

 

[Daniel Duffy]

One of my former employees (C++, C#) picked up F# in a few weeks. It's not so difficult.

 

[pingu]

One of my former employees (C++, C#) picked up F# in a few weeks. It's not so difficult.

Oh, it is. Don't fool yourself. It's a different way of thinking that could trip you up if you are not used to it.

 

[Daniel Duffy]

Oh, it is. Don't fool yourself. It's a different way of thinking that could trip you up if you are not used to it.

You don't say. What kinds of 'trips ups'? LOL

FP is grounded in mathematics. lambda calculus and Category theory, which is(was) undergrad level over here. Standard stuff. I know some Haskell and is OK.

 

[IntoDarkness]

from c++ to f# is not easy. i come from c family language and found functional programming not intuitive to me. i have to spend time learning this thing but i just dont have time...

 

[pingu]

You don't say. What kinds of 'trips ups'? LOL

FP is grounded in mathematics. lambda calculus and Category theory, which is(was) undergrad level over here. Standard stuff. I know some Haskell and is OK.

Ah, if you know lambda calculus that's a totally different ball game. However, most of coders don't come from that world.
If you started coding by learning from SICP, learning F# is a cake walk.