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Is ito calculus really the extent of the math you need to know to go into quant??
by deepnotderp 10y ago
Is ito calculus really the extent of the math you need to know to go into quant??
- lordnacho 10y agoIt's probably like any coding interview. You'll get asked a bunch of things that won't be a problem when you're on the job. Basically, it's a "have you heard of this" type thing.
- deepnotderp 10y agoOh well that makes sense, if stochastic calculus is all you need to know, i was half considering becoming a Quant there for a second ;)
- smallnamespace 10y agoWhen my ex-boss was hired as a quant, he didn't know any stochastic calculus, but he was a full math professor (specialized in algebraic geometry). So during his interview, they spent half an hour deriving the Ito integral from scratch and then proving some properties of it.
- JustFinishedBSG 10y agoFor pricing, yes basically