I like programming (C++, Perl, ...) and I feel very much attracted to Finance (inspired by the Books of Hull, Elliott/Kopp). I study Mathematics and my focus is on Optimization (Semidefinite/Nonlinear) and Stochastics (Probability Theory/Stochastic Calculus).Now I have the opportunity/choice to either 1) Change University and get more hold on Stochastic Optimization (I have no experience with this, but in the book of Oksendal/Stochastic Differential Equations it appears promising), Financial Mathematics (in particular Levy Finance), Statistics (my statistics Knowledge is at the level of an introductory course)/Time Series Analysis2) Stay at my present University and dig deeper into my existing fields, foremost Stochastic Calculus. Personally I don't like the contents of the book of Karatzas/Shreve. I am just not that much interested in SDEs as it comes to the very own theory (weak solutions seem horrible). What is the way a Quant thinks about Stochastic (Partial) Differential Equations? Of course, in order to be rigorous it should ideally be quite well understood (maybe at the level of Karatza's book), but so far I just haven't come across math finance texts digging into the minute of solvability of SDEs. To put a particular question: Did you ever have to proof the strong markov property of a stochastic process (this is a pain) in the realm of your job as a Quant?Thanks in advance for your replies/recommendations!

I perceive a huge general shift in the recruitment process for junior to intermediate quant positions. (Might not be exactly what you were asking, but it's a thought nevertheless.) A few years ago, the recruitment process was something like 60% quant questions, 40% IT questions. These days, as a job-seeker, I get asked very few quant questions -- people only ask me programming and IT questions. In fact, many lucrative quant dev positions state that candidates need have no experience in finance.CommodityQuant

Thanks for your experience. I would not have anticipated that. But why is that? Is the knowledge of financial markets acquired on the job then?

QuoteOriginally posted by: trippelThanks for your experience. I would not have anticipated that. But why is that? Is the knowledge of financial markets acquired on the job then?It is probably because most of the quants hired these days use strategies such as algo trading / High frequency / market micro structure rather than classical derivative pricing, black scholes, SDEs..