November 12th, 2004, 5:56 pm
I have just completed my work for the CASS MSc in Mathematical Trading & Finance. Obviously I now have an interest in praising it highly (especially because they haven’t yet given me my grade) and I have no direct experience of any of the other courses. I won’t claim CASS is perfect but I will say this in its support. Sorry it’s not more concise.I think that if you take a course which prides itself primarily on the depth and rigour of its mathematical content then you may risk missing out on what’s really important. Professional quants need to be able to do the sums but they ought to be pragmatists too. Don’t underestimate the value of the close contact with traders and other finance professionals that CASS emphasises. At CASS, prospective full-time students can also gain additional benefit from close contact with part-time (ie. already employed) students.CASS has a fair amount of respectable ‘hard’ math content but it does take the vocational element seriously. For example, they employ Harry Kat who gave an excellent & very entertaining course on the practicalities of derivative structuring this year, based on his book. (His jokes alone were almost worth the course fees.) If you want to excel on the technical math / modelling side then you have very approachable and respected academics like Nick Webber and others.This week I was lucky enough to hear Emanuel Derman speak at the Quant Congress in London run by the publishers of Risk Magazine. One of his main themes (also discussed on his website & Risk articles) was that many quants just don’t think independently enough – they tend to swallow the financial orthodoxy in an uncritical fashion. He even said (and I wrote this down) “Dynamic replication is a bit of an illusion”. In other words, we should all be careful not to take the highbrow maths too seriously and it’s certainly not an end in itself. Finance is a social science – it’s not theoretical physics or number theory. Therefore I ask: is an ivory tower necessarily the best place to study it?If you want to be impressive at a job interview then you’ll need to show some common sense and some ability to think. None of the MSc classes can teach you this, but some will push you in the right direction more than others. If you want to be employed in a practical (bank-type) environment then it may help to consider the MSc a stepping stone from pure academia into reality. I would encourage prospective MSc students to research the whole market very carefully but place a strong weight on the vocational content of the MSc.If you don’t have the numerical skills before you start your MSc then you’re unlikely to gain them during it. I think it’s debatable whether or not the benefit of a Masters course should really lie in developing your technical skills to a deep level. What you should be able to do is develop, analyse, understand and critically assess financial models in terms of whether they’re fit for purpose. You might even say that the better your technical background, the greater is the value that taking a practical course like one at CASS can add. I did a pure maths undergraduate degree at Cambridge and I’m not sure that taking a more “pure maths”-type MSc in finance would have made me more employable. One might even go so far as to say that if you have a weak or indifferent CV then you should maximise snob value by aiming for an ancient or traditional institution – but if you already have a decent CV then you should be confident enough to try to get your hands dirty with a more practically-oriented course.Tom Lehrer said “Life is like a sewer. What comes out of it depends on what you put in.” And MSc courses are no different. If you want to wow your future employers about your deep knowledge of option theory or whatever then you’ll almost certainly have to do some serious independent study, regardless of the particular MSc course you choose. And if you study too hard in isolation from the real world you might fail to see the wood for the trees.Sorry to go on but one final point. CASS has a good library which you can access after you graduate – it’s about 5 minutes’ walk from Moorgate tube. You don’t need to take a train or drive up the M11 or the M40 to get there.Neil PalmerCASS Math Trading & Finance part-time student 2002-04