QuoteOriginally posted by: ppauperQuoteOriginally posted by: INFIDELWith great relief, I'll be submitting my PhD in theoretical/mathematical physics in the coming months.....I'm an extremely old man, all of 40. Work experience? Tons of physics lecturing and course administration -- mainly on contract.Question: what else have you done ?Unless you got held back a dozen plus years in highschool or been in prison, there's an obvious gap in your resume....Well, I haven't posted my resume, but I get the drift. I've been lecturing or working as research assistant since before I even started the PhD: not all the problems I worked on as research assistant turned out to be relevant to the PhD, and the PhD has to be a coherent body of work. But I don't operate as a career-driven person. When I started the PhD, a career was the last thing on my mind: I wanted to solve a big problem and be famous. (Also important: staying sane. Good wine, etc.) The problem is to find a good problem, especially when your all-knowing advisor drops dead, and most others you meet just don't match his standard. (...the inconsiderate sod! Leaving me alone like that...) I decided to do the PhD when this major physicist -- who was doing really great things -- got appointed chair of theoretical physics in our department. That was the right time to start the PhD.If I relived my life, I'd make exactly the same choices. Working with one of the world's best physicists was a real buzz. Unless I get a great research offer from somewhere, I've gone as far as I want to in academia (i.e. I found and solved the problem I wanted), and it's time to move on. I did spend a couple of years on a math PhD (combinatorial optimization/graphs and algorithms/theory of computation) and produced a good optimization app in an old computer language, but "irreconcilable differences" between myself and my advisor knocked that PhD on the head. Soon after, the math advisor had "irreconcilable differences" between himself and his department, but that's another story.Yes, there is a gap of a couple of years in my resume. In this time I learned German to fluency, Russian to intermediate level, Mandarin to basic what-time-does-that-train-leave? level, and I translated a contemporary play from another Eastern European language into English, which was performed by a professional theatre company. I also won prizes for various things. The last prize I won was for my PhD work just a month or so ago.I can understand career people recoiling in horror at a resume like this. But if you think about it, how much of what you have ever produced will last 50 years? Or 10 years? How much will be left when you die? The big questions aren't solved by career-oriented thinking, but by ignoring worldly matters for as long as you can hold out and focussing totally on the essence of the problem at hand.

QuoteOriginally posted by: ppauperbut on that metric, risk management comes up short -- you'd be doing things like model validation (front office codes up an option, you do a reality check to see if the code captures the real world price) and daily VaR (value at risk, basically running codes everyday based on the closing prices to calculate something like the 95th percentile of potential daily losses for the next day).For model validation, would I be expected to be so proficient in the theory and practice that I could essentially reproduce the model?What computer languages and software packages are most common in the risk manager role? c++ ? Excel/VBA? Or higher level apps/content management systems?Would I be expected to build up a testing suite for the reality checks and daily Var from scratch? Or would there be a system already in place that I walk into and familiarize myself with? What original input (software/model development) would I be expected to make?

> I'm not at an Ivy League uni, and my undergrad grades are not flash, but one of my examiners will be a > certain Nobel Prize winner in physics, and I've come up with a fairly important paper on a topic in > applied mathematics --- meaning that a paragraph or three will have to be added to 3rd year applied > math textbooks that treat the topic if they're going to remain relevant. The thesis will be good.Another scenario is to develop a carrier in physics. After all that is what you like I presume? If you like the university life, why not go for that?> I'm thinking of working as a quant. Why should I do this if I have math prowess?I hope I am not being too nosey, but what is the fundamental reason? Not being a quant myself, I have heard that 60% of your time may be spent developing models in C++. This has been mentioned by people ppauper and DCFC quite a few times.IB is very different from the ivory tower. For me personally, QF is exciting because you work with practical problems that people throw at you.40 years is not too old., in principle. However, when one gets older we tend to become more settled in our ways. One famous Willmotter started when he was 42,I believe. So it is possible.For me, you are quite young My 2 cents. PM if you like

QuoteINFIDEL: Maybe there are IBs out there that recognize potential to think and contribute deep insights rather than the ability to work in an assembly line.It's not as black or white as this, but at least put that you've read some Hull on your CV. And who is this world famous prof you worked with?TJ.

INFIDELIt sounds to me like you have a good background for a quant. And yeah, you might be at early retirement age, but think of QF as a second career like me.What problem in applied math? -- Anything to do with susy and infinite dimensional manifolds? If so, you might fit in better than you think.

QuoteOriginally posted by: TraderJoeQuoteINFIDEL: Maybe there are IBs out there that recognize potential to think and contribute deep insights rather than the ability to work in an assembly line.It's not as black or white as this, but at least put that you've read some Hull on your CV. And who is this world famous prof you worked with?TJ.He was a very well known Russian in the condensed matter community (one of Russia's best). Actually, I've read (but not worked through) Hull, as well as a number of papers in SIAM and some put out by the Oxford Uni group. Because of my utter lack of experience in the field, one thing bothers me immensely, especially when reading Hull: what's the relationship of the models to the real world? Hull seems to be full of toy models and I kept wondering how could any of this be realistic? I kept baulking at reading almost any sentence or claim, and spending further time deriving something or doing the exercises, because he seems to be off with the fairies. I would very much like to see a solid connection between model and reality. With the Oxford papers, which involve a number of concepts and techniques from fluid mechanics, I was very impressed by the complexity and beauty of the edifices they'd created -- but again, the question kept nagging me, "how can this rational model be realistic?" It seems as if the game is to create a PDE of "society", which is precisely what Karl Popper argued against in "The Poverty of Historicism". In reality, there seem to be so many influences on prices (macroeconomic, historical, sellers' neuroses etc.) that are way outside of any model that could even be written down. So present models must work only for a narrow set of circumstances/parameters. What are they? (And I'm sure they work -- look at the success of Societe Generale, in a thread in this forum this week.)At some stage (even if now isn't the right time or place) I would very much like to be convinced why Quantitative Finance works, and under what circumstances. Or is it all just luck? But to do this, I'd need to talk to expert quants, and not just any of them, but the ones who question everything and formulate their own viewpoint.

QuoteOriginally posted by: Cuchulainn Another scenario is to develop a carrier in physics. After all that is what you like I presume? If you like the university life, why not go for that?Because there have been no new faculty positions at my department for 8 years. In the whole of this country, there are none coming in my field in the foreseeable future. Also, politics is bad in academia, too. There are entrenched fools, as well as entrenched enlightened people. But the worst thing is that unis (at least in this country, and in several others I know) don't have an incentive to utilize staff potential to the full, and they don't really need to improve their product. There are many, many things wrong with courses etc., but nothing ever changes, despite the most overwhelming evidence and student surveys. Students will keep coming no matter what. And there's very little money for improvement of the product anyway; and academics have to fight for the scraps available. It is a very frustrating place to work in in the current climate.Being part of a bad team is something I dread. I want to be part of a good team because it is extremely important, from all aspects. If I got a good offer from a good research institute (e.g. Bell Labs), I would be very tempted to take it. This is why I was thinking of the best IBs. But then, the working hours are insane in the front office. One question to the forum: are they also insane in middle office/risk management, or are they merely long? Does MO/RM get weekends off? Any practicing quants reading this? (I don't mind working long hours, but I value my quality of life.) I do have some good projects that I could go on with as a postdoc. The problem is remuneration. Having been a diehard idealist so long, my financial situation is slightly shocking.I haven't excluded a postdoc totally. QuoteOriginally posted by: Cuchulainn IB is very different from the ivory tower. For me personally, QF is exciting because you work with practical problems that people throw at you.I've always mixed fundamental, pure maths/physics with applied. Connecting with the real world is the essence of my world view.Solving problems for a community would be a buzz.QuoteOriginally posted by: Cuchulainn For me, you are quite young But you don't work as a quant!

QuoteOriginally posted by: INFIDELQuoteOriginally posted by: TraderJoeQuoteINFIDEL: Maybe there are IBs out there that recognize potential to think and contribute deep insights rather than the ability to work in an assembly line.It's not as black or white as this, but at least put that you've read some Hull on your CV. And who is this world famous prof you worked with?TJ.He was a very well known Russian in the condensed matter community (one of Russia's best). Actually, I've read (but not worked through) Hull, as well as a number of papers in SIAM and some put out by the Oxford Uni group. Because of my utter lack of experience in the field, one thing bothers me immensely, especially when reading Hull: what's the relationship of the models to the real world? Hull seems to be full of toy models and I kept wondering how could any of this be realistic? I kept baulking at reading almost any sentence or claim, and spending further time deriving something or doing the exercises, because he seems to be off with the fairies. I would very much like to see a solid connection between model and reality. With the Oxford papers, which involve a number of concepts and techniques from fluid mechanics, I was very impressed by the complexity and beauty of the edifices they'd created -- but again, the question kept nagging me, "how can this rational model be realistic?" It seems as if the game is to create a PDE of "society", which is precisely what Karl Popper argued against in "The Poverty of Historicism". In reality, there seem to be so many influences on prices (macroeconomic, historical, sellers' neuroses etc.) that are way outside of any model that could even be written down. So present models must work only for a narrow set of circumstances/parameters. What are they? (And I'm sure they work -- look at the success of Societe Generale, in a thread in this forum this week.)At some stage (even if now isn't the right time or place) I would very much like to be convinced why Quantitative Finance works, and under what circumstances. Or is it all just luck? But to do this, I'd need to talk to expert quants, and not just any of them, but the ones who question everything and formulate their own viewpoint.You don't need to talk to experienced quants for this. Most books and research literature do talk about the limitations of the models starting with the falseness of lognormality, volatiility smiles etc. I am surprised that you haven't come across this. Also note that the large number of factors affecting prices is precisely the reason why normal distributions are a somewhat good approximation. It is the finiteness of the factors and their unknowability that is the real problem - I'm being a bit loose here.

> I've always mixed fundamental, pure maths/physics with appliedThis is a good combnation, as already mentioned a few times by others. I think also if you have the best Russian training in mathematical physics I think that QF could indeed be quite stimulating for you. In QF people talk fimance so it is important to understand the language. It is a field that is open to new and easier to use methods.Accurate, fast and robuist methods for N-dimension/factor problems would be a real challenge using the best numerical methods from pure and applied mathematics that yiou have learned.

QuoteOriginally posted by: INFIDELFor model validation, would I be expected to be so proficient in the theory and practice that I could essentially reproduce the model?Ideally you would but reality is alsways quite different from ideal QuoteWhat computer languages and software packages are most common in the risk manager role? c++ ? Excel/VBA? Or higher level apps/content management systems?From my little experience Excel/VBA and Access may be enough but C++ will help you to do more advanced stuff.QuoteWould I be expected to build up a testing suite for the reality checks and daily Var from scratch? Or would there be a system already in place that I walk into and familiarize myself with? What original input (software/model development) would I be expected to make?In a big IB there must be something in place (otherwise how would they survive before hiring you? ) But usually it's very far from being perfect which'd give you lots of opportunities for "input".About age: it is going to be harder for you than for younger people. Out of 7 people that were hired in my group during last year no one is older than 30. But it is not impossible. At least I know one example: me . I left physics for more or less same reasons as you mentioned and found a job in finance being quite old. If you want I can tell what I did to make it happen. Are you now in London? If yes, we can meet for a drink and chat. In any case, if I were you, I would definitely try but think of a backup solution in case it wouldn't work.

infidel,by any chance, is it Ian Kogan from Balioll college at Oxford, the russian physicist you mention?(he sadly passed away victim of a massive heart attack during a conference in Trieste)and indeed - he was *briliant*.PM me please.

QuoteOriginally posted by: INFIDELFor model validation, would I be expected to be so proficient in the theory and practice that I could essentially reproduce the model?not necessarily but depends on the bank.It may just be comparing model outputs to real world dataQuoteWhat computer languages and software packages are most common in the risk manager role? c++ ? Excel/VBA? Or higher level apps/content management systems?varies from bank to bank.usually c++ or excel with c++ plugins, but variesQuoteWould I be expected to build up a testing suite for the reality checks and daily Var from scratch? Or would there be a system already in place that I walk into and familiarize myself with? What original input (software/model development) would I be expected to make?usually for VaR there's a core code written by a developer and you'd be writing modules to plug into the main code

QuoteOriginally posted by: energydudeIt is the finiteness of the factors and their unknowability that is the real problem - I'm being a bit loose here.That's a very interesting insight.

QuoteOriginally posted by: ppauperQuoteOriginally posted by: INFIDELFor model validation, would I be expected to be so proficient in the theory and practice that I could essentially reproduce the model?not necessarily but depends on the bank.It may just be comparing model outputs to real world dataIf you were to recommend five QF/programming/other books for a guy in my situation, which would they be?

If you were offered a quant job in a good London bank, and a management consultant job at one of the best MC companies (McKinsey etc.), which would you take?... and which would you take if you were 40 years old?