SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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DrFaust
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Joined: March 4th, 2011, 10:22 am

Views on Quant PhD programs

March 4th, 2011, 10:30 pm

Hi everyone,I am curious what is the general view on the following PhD programs in terms of preparing for a quant career. MIT Operations Research: optimization, stochastic analysis, statistical learning. I guess MIT is very strong in optimization but little concern about their work on stochastic analysis and statistics. Plus, their industrial focus appears to be in industrial production and transportation and not much in finance. Though there are some big names working on finance-related research: Andrew Lo, Jaillet, Bertsimas (C.Merton is nearby but I dont know if he supervises PhD student anymore). So how employable are those quants with background in statistical learning + optimization (no background on numerical PDE + stochastic calculus)?Princeton Operations Research & Financial Engineering: stochastic calculus, stochastic control, financial engineering (derivatives pricing, risk analysis, portfolio optimization). They look strong in the stochastic department but their PhD students seem to take such long time to graduate (5+ years. I dont know whether that is their policy). NYU Applied Mathematics: scientific computing, numerical methods for PDE, mathematical finance. They are the top applied math department in US and in NYC but perhaps too theoretical. Brown Applied Mathematics: stochastic PDE, numerical methods for PDE, scientific computing. They used to be very strong (best?) in application of stochastic calculus in finance but, probably, not anymore (I dont know if this should matter to anyone besides academia). Plus, it takes too long to graduate from their program.So what you guys think about those PhD programs? I greatly appreciate any comment or advice here.
Last edited by DrFaust on March 3rd, 2011, 11:00 pm, edited 1 time in total.
 
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mrmister
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Joined: August 15th, 2009, 4:33 pm

Views on Quant PhD programs

March 4th, 2011, 11:27 pm

Financial engineering PhD programs are really a waste of time. If you want to build a career on wall street, the best way is to start work(if you can find a position). Worrying about obscure details of stochastic calculus or pdes for 4-5 yrs is only going to make you less employable. All of this is assuming that you are smart enough to have a working knowledge about mathematical methods used in finance and strong programming skills.Get an MFE if you are willing to compete with many other similar people for a few sell-side jobs. If you have strong expertise in a certain field(for example, high performance computing) that is hot, headhunters will find you.
 
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DrFaust
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Joined: March 4th, 2011, 10:22 am

Views on Quant PhD programs

March 5th, 2011, 12:00 am

Thanks mrmister. Since I am already on my last semester in college, those programs are the only options I have right now for next year. Plus, I am doing the PhD for my own enjoyment as well. Ten years down the road, I dont think I'll regret trading a Master + 2 years of entry-level experience for a PhD.
 
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traderjoe1976
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Joined: May 19th, 2006, 9:50 am

Views on Quant PhD programs

March 5th, 2011, 10:20 am

Princeton is definitely the best option among the ones you have listed. By a very wide margin.NYU Courant is very prestigious, but I don't know to what extent you will be able to specialize in Financial Math.CMU and Boston University also have very high quality Financial Math PhD programs.
 
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spv205
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Joined: July 14th, 2002, 3:00 am

Views on Quant PhD programs

March 5th, 2011, 10:24 pm

Dr FaustLook at the job postings - there are no jobs specifically for math finance phds...many math/physics phds are considered equally valid.a PhD is used to show employers how clever you are, not that you know everything about some small piece of math finance.So choose a group that is doing research you are interested; choose a group with a good brand name.I would have thought the Princeton and NYU would be best...NYU would be ideal - its much easier to network get internships etc if you are in manhattan.There are plenty of practitioners attending NYU's seminars...
Last edited by spv205 on March 4th, 2011, 11:00 pm, edited 1 time in total.
 
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twofish
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Views on Quant PhD programs

March 7th, 2011, 11:29 am

QuoteOriginally posted by: DrFaustMIT Operations Research: optimization, stochastic analysis, statistical learning. I guess MIT is very strong in optimization but little concern about their work on stochastic analysis and statistics.The problem with MIT is that the math/physics people aren't on speaking terms with the economics/management/cognitive science people. It's odd that MIT does put out a lot of people that work on Wall Street, but there isn't very much mathematical finance happening there.QuoteSo how employable are those quants with background in statistical learning + optimization (no background on numerical PDE + stochastic calculus)?It's assumed that if you can do optimization, you can figure out how to do numerical PDE/stochastic calculus.QuoteSo what you guys think about those PhD programs? I greatly appreciate any comment or advice here.I don't think it matters much. If your credentials are such that you can get into all of these programs, you'll do fine where ever you go.
 
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sunra
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Joined: October 31st, 2009, 4:11 am

Views on Quant PhD programs

March 8th, 2011, 5:06 am

pretty absurd thread
 
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AbhiJ
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Joined: August 5th, 2008, 11:29 am

Views on Quant PhD programs

March 8th, 2011, 10:07 am

If you can muster courage enough to finish a PhD, go for it. Its not always about cash flow calculation but about building character.
 
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ArthurDent
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Views on Quant PhD programs

March 8th, 2011, 1:06 pm

QuoteOriginally posted by: twofishI don't think it matters much. If your credentials are such that you can get into all of these programs, you'll do fine where ever you go.Second this. If you can actually get into these programs, what you need is not another degree but some good headhunters!
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