what is the background required for quants these days? I have a Master's in math but no formal training in econmics or finance. Also I graduated 10 years ago
Quant Job Interview Questions (2009) [pdf]
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Re: Quant Job Interview Questions (2009) [pdf]
#32Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Serious question... do people really enjoy working on this stuff? Do most quants go to work thinking it is fun to work on mathematical models to optimize financial transaction. Or is it just a job that pays really well towards long term financial independence to do what they really want?
If you like math and strategy of course it's fun (and I really don't see how someone who doesn't like these things could work as a quant). You're getting paid to use skills you have to solve puzzles essentially.
Re: Quant Job Interview Questions (2009) [pdf]
#33For those who speak french : https://www.amazon.fr/101-quizz-banquent-Math%C3%A9matiques-... by Pr. Gilles Pagès (LPMA).
Re: Quant Job Interview Questions (2009) [pdf]
#34Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Is ito calculus really the extent of the math you need to know to go into quant??
Re: Quant Job Interview Questions (2009) [pdf]
#35Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Serious question... do people really enjoy working on this stuff? Do most quants go to work thinking it is fun to work on mathematical models to optimize financial transaction. Or is it just a job that pays really well towards long term financial independence to do what they really want?
Yes it's an awesome job, and not just because of the money. I've worked for small shops that weren't very profitable and didn't really make a lot those years, but still loved the work.
I could see derivatives pricing being boring, not as much room for creativity there. The strategy/trading quant work is like a super open-ended science problem with a constant stream of new challenges as you try to outperform yourself or the competition.
FWIW, I don't think these are great questions for strategy quants. Some of the best people I've worked with a.) used very, very basic ML techniques b.) were just naturally smart/clever enough to engineer great features. and c.) had incredible attention to detail, didn't "hand wave" away the dirty work like checking/cleaning data or executing the model in practice.
Re: Quant Job Interview Questions (2009) [pdf]
#36Sigh...I guess I'll be sticking with web dev.
I wouldn't be discouraged. I just had a look and parts 1 - 4 are simple maths, and everyone should know those maths anyway. Then part 5 is application of simple arithmetics (except questions 8 and 12) to options, which means if you already know arithmetics you only need to learn what an option is. What I mean is that you should be learning basics maths anyway, and when you know a bit you can solve all those questions…
You are getting downvoted because "everyone should know those maths anyway" is dismissive (I think you meant "everyone [who is applying for a quant position] should know those maths anyway," which is more fair)
Re: Quant Job Interview Questions (2009) [pdf]
#37what is the background required for quants these days? I have a Master's in math but no formal training in econmics or finance. Also I graduated 10 years ago
Quickest way to look qualified at least for derivative pricing is go get an MFE.
Re: Quant Job Interview Questions (2009) [pdf]
#38Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Serious question... do people really enjoy working on this stuff? Do most quants go to work thinking it is fun to work on mathematical models to optimize financial transaction. Or is it just a job that pays really well towards long term financial independence to do what they really want?
There's some interesting things about this work:
- You get to know something that isn't published. You find a strategy, you don't tell anyone. Sure, you can talk about it in broad strokes (we're trend following...) but it's pretty unlikely you'll ever tell anyone enough for them to be able to replicate it. Except people you trust, of course.
- You're always thinking about philosophy of science. How do I know that this series of steps I'm doing is not just a monkey and a dartboard? Again, there isn't going to be a specific written paper that tells you the answer.
- At one end of it, you are working with cutting edge technology. Anything that shaves a microsecond off the speed is useful, and you can spend a lot of time optimising such things. I've been staring at a C++ solution that is 100% in house. No STL.
- At the other end, you are working with data in very modern ways. All that ML stuff in the news is interesting to quants, because if there's one thing ML papers are about, it's how to avoid overfitting. Just a few years ago people in the field had not come across ML, or at least the point of view that ML brings. Plenty of other things had already come up, though, like information theory, time series econometrics, signal theory, and so on.
- About derivs quants, it's not my cup of tea, but I can see how others like it. You're basically pricing things hoping that you've noticed something the counterpart hasn't, or hoping you've found a cheaper way to hedge than your competitors, or simply hoping your salesman is a better salesman than the other guy's.
Re: Quant Job Interview Questions (2009) [pdf]
#39Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Is ito calculus really the extent of the math you need to know to go into quant??
It's probably like any coding interview. You'll get asked a bunch of things that won't be a problem when you're on the job.
Basically, it's a "have you heard of this" type thing.
Re: Quant Job Interview Questions (2009) [pdf]
#40Quant dev here. Note there's broadly two kinds of quants. One is a derivatives quant, basically someone who spends a lot of time working out the values of derivatives. So you're looking at ito calculus and iterative methods to find the value of contracts with weird clauses (Knockouts, Cliquets, vanillas, etc), and then building spreadsheets to calculate the hedges for those trades as time goes by. The other is strate…
Is ito calculus really the extent of the math you need to know to go into quant??
When my ex-boss was hired as a quant, he didn't know any stochastic calculus, but he was a full math professor (specialized in algebraic geometry).
So during his interview, they spent half an hour deriving the Ito integral from scratch and then proving some properties of it.