January 12th, 2011, 9:58 pm
VegaPlus, When I was a grad student I had access to cheap software through the university. I don't remember exactly what I bought, Matlab or Maple, but I think it was around $100. If you can find such a deal, I think Matlab should be a good investment. In banks people rarely use Matlab, they use C++. However, with Matlab you can explore more quickly numerical stuff. While you are still preparing for future interviews, you need to code things with your own hands, like a Monte Carlo scheme, a tree, a finite difference, see what problems you encounter when you price barrier options, or when you build a tree for a local vol model. With C++ you'll be able to do 3 such projects, with Matlab 10, let's say. Much better to have 10 than 3. Also, R is a good investment of time if you want to learn statistics. Just be aware that quants on the sell side don't use statistics that much. If you want to use R for numerical projects, forget about it, it's too slow (at least in my experience). I used SciLab in the past. It's ok, if you really need to deliver something, and have no other tools. But it really can't compare to Matlab in terms of documentation. And when you want to learn something you do care about the documentation. In terms of performance, scilab is quite good; I needed to use some large sparse matrices and it did the job well. So, if you know Matlab, go and work for a corporation where you don't have access to it, and use Scilab for a quick job, you will do ok. Learning Scilab for itself doesn't make sense in my opinion. Best,V.