Hello everyone, I am currently a phd student in electrical engineering from a top 5 engineering school. My research focuses on simulating quantum dots using variational monte carlo (vmc) (before I use to work with density functional theory). I wrote the vmc sorce code from scratch using C. I have also written a stochastic poisson solver in C as well. So far I have 4 publications and hopefully, I'll have about 2-3 more before I graduate (which will be in about 2 years). After graduation, I am seriously considering going into finance and working as a quant. As preparation, currently I am reading Salih N. Neftci's "Principles of Financing Engineering" (hopefully will finish the book this semester) and planning to take a couple of finance classes. Moreover, since C++ skill seems to be valued amongst quants, I'm thinking about writing some other monte carlo codes using C++. Now, my question is this. What other skills should I work on in order to enhance my chances? Would it be a good idea to try to get a summer internship? Thanks in advance.

To get a summer internship will be very helpful for you. You needn't take a lot of finance courses. The course you want to take should cover stochastic calculus, Ito's lemma, Martingale and numerical methods including finite difference method, Monte Carlo, and binomial tree method. Such a course is the most useful one for your Quant interview.I would suggest you to read starting from John C. Hull instead of Salih Neftci, although the latter is a very good book, too. But starting from John C. Hull is better in my opinion. Read Mark Joshi's book, too. C++ is very important. You should practice C++ programming. In the meanwhile, do read Scott Meyers "Effective C++". Bjarne Stroustrup's "The C++ Programming Language" is my bible, but it is not a good book for C++ newies.QuoteOriginally posted by: JihanHello everyone, I am currently a phd student in electrical engineering from a top 5 engineering school. My research focuses on simulating quantum dots using variational monte carlo (vmc) (before I use to work with density functional theory). I wrote the vmc sorce code from scratch using C. I have also written a stochastic poisson solver in C as well. So far I have 4 publications and hopefully, I'll have about 2-3 more before I graduate (which will be in about 2 years). After graduation, I am seriously considering going into finance and working as a quant. As preparation, currently I am reading Salih N. Neftci's "Principles of Financing Engineering" (hopefully will finish the book this semester) and planning to take a couple of finance classes. Moreover, since C++ skill seems to be valued amongst quants, I'm thinking about writing some other monte carlo codes using C++. Now, my question is this. What other skills should I work on in order to enhance my chances? Would it be a good idea to try to get a summer internship? Thanks in advance.

I appreciate your inputs. Why do you think it's better that I read Hull before Neftci? So far, I have read Chapters 1-5 and parts of 8 (regarding options) in Neftci haven't experienced too much difficulty understanding the material. As for a summer internship, I plan to apply to some major banks (JP Morgan, Citigroup, GSachs, and etc.) and hope for the best. Do you think that it's best that I limit my summer options to finance-related internships if the goal is to procure a full-time quant job later on? I ask because I'm wondering if I should apply to either consulting firms or engineering companies as well. Again, thanks a lot!

Hull's book is good because it also includes non-mathematical topics about the finance world. Although you'll be able to answer some tough questions after understanding Neftci, you don't want to be stumped by an easy question like "how do you build a zero curve" or "is there significant compariative advantages in this swap". (I'm sorry if this is Neftci, I haven't read Neftci )

QuoteOriginally posted by: JihanI appreciate your inputs. Why do you think it's better that I read Hull before Neftci? So far, I have read Chapters 1-5 and parts of 8 (regarding options) in Neftci haven't experienced too much difficulty understanding the material. As for a summer internship, I plan to apply to some major banks (JP Morgan, Citigroup, GSachs, and etc.) and hope for the best. Do you think that it's best that I limit my summer options to finance-related internships if the goal is to procure a full-time quant job later on? I ask because I'm wondering if I should apply to either consulting firms or engineering companies as well. Again, thanks a lot!danfcook already answered your question why John C. Hull is better as a starter. What's more, it is more widely known and used in Quant finance community. I have both Hull and Neftci. I would say Neftci is a good book to read after you finish John Hull.If you seriously want to find a full-time finance job in future, you definitely want to find a summer intern in the same area.

QuoteOriginally posted by: Hinstings. Read Mark Joshi's book, too. always a good idea!

Himstings is right about C++C++ won't make you a top quant all by itself, but we observe that failure to leanr it properly is a major factor in failing to get a given job.Hull is a good crammer book, you won't get deep understanding of anything, but if you have a daily commute it's light enough for that and it will reduce the chances of you getting caught in a dumb error.

Again, I appreciate everyone's responses. As for summer internship, there's a strong chance that this upcoming summer (2007) will be my last summer before graduation, which will be at around May of 2008. Since it has been said that getting an internship is very important, what can I do between now and the upcoming summer to improve my chances of finding a position? Should I try to concurrently work on all the skills that I lack at the moment (e.g. stochastic calculus, c++, reading Hull, and etc.) or concentrate on one or two skills?

Just on a side-note, there is an advantage in not having/knowing C++...in that the quant job you end up with will strictly be analysis, rather than IT programming. It keeps the group honest that way.

that was my strategy. i got two FO offers without knowing C++. will be focussed on actual model building and best of all, direct interaction with clients... QuoteOriginally posted by: spiceJust on a side-note, there is an advantage in not having/knowing C++...in that the quant job you end up with will strictly be analysis, rather than IT programming. It keeps the group honest that way.

QuoteOriginally posted by: needacluethat was my strategy. i got two FO offers without knowing C++. will be focussed on actual model building and best of all, direct interaction with clients... will be focussed on actual model building without knowing C++?