8 ms·

Do It Yourself Masters in Financial Engineering

194 points by genieyclo 16y ago

verysimple 16y ago
We live in the so called information age and everyday someone posts something like this on the web. Some road map to better educate yourself cheaper in x or y field. Ironically, governments throughout the world still struggle to find solutions to education. Please, just teach people to open a book and do some damage.
- crasshopper 16y ago
  Check out BBC Business Daily's currently running series about internet use in the developing world.
- crasshopper 16y ago
  Verysimple, how much actual reading do you think comes out of people bookmarking and voting up these lists? I would guess very little.
  - verysimple 16y ago
    You can't know that. Reading is highly dependent on your perception of the activity. If you were conditioned to believe that learning is something that happens mostly in a classroom, then you'll perceive a book as "1000 pages to go through", a hurdle. On the other hand, if you're conditioned to believe and trust in the transmission of knowledge through independent reading, like most autodidacts are, you perceive them as an opportunity to improve. I, myself, am an autodidact programmer. I had never heard of many resources before encountering them in threads on HN, Reddit, or Stackoverflow. I haven't read all books, or followed all the videos, but at least, now that I'm aware of them, it prompted me to start working toward shifting a few things in my life to allow me the time and opportunity to dig deeper in the material. It's a process.
    - crasshopper 16y ago
      For me, the more hard drive space I have, the more PDF's I save. Doesn't mean I read them. The more time I spend on the web, the more "to-read should-read" stuff I find. Doesn't mean I read it. Real reading happens for me when I shut the computer and focus on just one thing.
joshkaufman 16y ago
This is exactly what I did with business, instead of getting an MBA or a PhD. Here's my reading list: http://personalmba.com/best-business-books/ http://personalmba.com/best-business-books/ Here's the book I wrote, condensing what I learned in the process: http://www.amazon.com/gp/product/1591843529/ http://www.amazon.com/gp/product/1591843529/ I now own my own business, work for myself as a business teacher and consultant, have an enormous amount of flexibility in my day-to-day schedule, and make more than professors who teach at top business schools. Education is changing.
- kmfrk 16y ago
  Give yourself some credit for going through 99+ books, though; if something doesn't sink in after all that, then you should reconsider the way you read. :)
  - joshkaufman 16y ago
    It wasn't just 99 - it was thousands. The books on the list are just the best. :-)
    - bosie 16y ago
      thousands? if your average book has 300 pages, and you read 30 pages per hour, you would need to read for 10000 hours, doing it for 8 hours a day you need 1250 days. that's without repeating anything of course. am i wrong? in what timespan did you read those thousands of books?
      - dagw 16y ago
        I'm not the original poster, but I've found that most 300 page business books contain 10-20 pages of useful info and 280-290 pages of fluff and filler. I generally skim through the average business book in an hour or 2, including the time to make notes of all the potentially useful advice I find. It's rare to find a business book worth carefully reading cover to cover.
binarysoul 16y ago
I'd just like to point out that all those amazon product links have his affiliate ID in there... He's getting a cut, keep that in mind
- joshkaufman 16y ago
  So? He put a lot of effort into that list, and he published it for free. If it sells some books, good for him.
  - kmfrk 16y ago
    I don't think there's any harm in saying that. It was just something "for your consideration". Nothing accusatory.
- crasshopper 16y ago
  You're quite right. But since your price doesn't go up, why should you care? BTW, when I wrote this piece it was intended for QuantNet.com. However I pissed off the guy who runs it and now he thinks I'm a douchebag. That's all to say, I never thought this piece would get any traffic at all. The fact that so many people are interested makes me even more skeptical of the putative value of an MFE....
nerfhammer 16y ago
I'll just leave this here: http://www.khanacademy.org/ http://www.khanacademy.org/
- kmfrk 16y ago
  In its current state, Khan Academy's exercises are very basic, once you start following the courses. You learn the basics, but not enough to become an entrepreneur. I've been mulling over a project to deliver more courses in a similar vein, but I'm still struggling with how I'll manage to collate the user-submitted YouTube-videos automatically without mandatory approval on my side.
  - ecounysis 16y ago
    You're not going to learn enough to become an entrepreneur from any school. You just fucking do it. http://www.cloudave.com/1171/what-makes-an-entrepreneur-four-letters-jfdi/ http://www.cloudave.com/1171/what-makes-an-entrepreneur-four...
- dagw 16y ago
  Khan academy, while great, doesn't really go beyond advanced high school-simple first year university level. There is nothing there which is even close to Masters level.
- crasshopper 16y ago
  MathDoctorBob does some higher level stuff on YouTube. I was just watching his short bits on representation theory and characters.
noname123 16y ago
DIY Financial Engineering: 1. Sign up for an Interactive Brokers account; state that you want to trade options. 2. Transfer >25K (day-trading capability) or whatever is reasonable amount money for you. Enough for you to care about but not over the amount where if you lost it all, you'd lose sleep over. 3. Now use the highest/lowest volatility scanner and buy/sell some options randomly in that list; max out your real cash to accumulate positions (do not go on margin). 4. Now figure out what the fuck you just did and how much money you are going to lose. This is the most important step, nothing motivates you to learn security analysis, risk management, Black-Scholes/Bionomial Tree option pricing, post-transaction cost analysis than the threat of losing your money. 5. If you get over step 4, then you probably have a strategy that turn over 7% monthly, or turn over 100% annually. Now automate it as much as you can with IB API.
- tdyo 16y ago
  I would subscribe to your newsletter.
- iwwr 16y ago
  DIY Financian Engineering Lite Edition (TM) 1. Go to Las Vegas 2. Transfer >25K in chips (high-roller capability), or whatever is reasonable amount of money for you 3. Play the tables 4. Figure out what the fuck you're doing while you're doing it 5. If you get over step 4, you probably think you have a solid strategy for winning against a casino. Now, automate the task by getting people to pay you for your new book/DVD and public talks.
  - gatsby 16y ago
    "When I was young, people called me a gambler. As the scale of my operations grew, I became known as a speculator. Now, they call me a banker. I have been doing the same thing all along." -Sir Ernest Cassel
  - dedward 16y ago
    I call shenanigans on that.... There are plenty of people who should not be in the stock market, and are basically just gambling. But in the casino table games, in general, the odds are always against you. There IS no winning strategy. In a market, any market, there IS a winning strategy at any given time, though the strategy will change with time along with the market. The point of the PP was more "Pay $25k to go to school and learn about trading stocks" or "How to play with $25k on the stock market to force yourself to learn what's up in real life." Either way you are out $25k, though in the second scenario there is the chance you may actually end up ahead.
jteo 16y ago
You go and get a Masters because of 2 reasons 1. Signalling to your future employer / Getting past the HR filter. 2. Networking with others. Learning something useful is usually a bonus.
- bryanh 16y ago
  Or, if you are like me, include #3: Plenty of time to build side-projects and experiment with products that you hope will grow into something substantial by graduation.
- crasshopper 16y ago
  I would like to hear much more discussion about these two parts of it.
  - crasshopper 16y ago
    In particular, aren't you also signalling that you're a fraidy-cat conformist who can't do things for him/herself?
localhost3000 16y ago
wondering how you compete with the MFEs from MIT / Harvard / Yale / [other top school] for that BSD quant job when on your resume it says "I read a lot of free shit on the internet" ? you don't pay $100k for the knowledge, you pay $100k for a ticket to the party. everyone knows that. of course, if you want to be an entrepreneur or trade your own $, that is a different story. but this seems unrealistic for any kind of mainstream career move.
- crasshopper 16y ago
  Great point, I have experienced exactly this problem. It's actually the reason I started writing on the internet (note the extremely clever site name).
thebigredjay 16y ago
It would be great to develop an open directory for all DIY degress. For each degree path you would have a list of freely available resources summarizing what knowledge you need to cram into your head, like you have done. Huurmm... I really like this idea...
- crasshopper 16y ago
  academicearth.org Reddit has a lot of such things.
gahahaha 16y ago
"""But you pay someone to indoctrinate you with exactly the same methods and formulae that all of your competitors are using. Then you expect to come to not just a different conclusion, but a market-beating conclusion? That just sounds dumb.""" Counter argument: Creativity entails not only novelty (that outside the box stuff) but also utility, and in order to be useful, it has to go above-and-beyond what is already known (that inside the box stuff). It's about embracing what's been done before, because it's practice that gives us the capacity to build on the old ideas to make the new. If you never venture outside the box, you will probably not be creative. But if you never get inside the box, you will certainly be stupid.
- joe_the_user 16y ago
  Indeed, If you never get inside the box, you won't even know what the box means or what "outside the box" means.
- tyng 16y ago
  The question is, once you get in, how do you get out?
  - katovatzschyn 16y ago
    I think the answer to that question is genius and hard work.
- klbarry 16y ago
  "If you never venture outside the box, you will probably not be creative. But if you never get inside the box, you will certainly be stupid." I think I will use this in the future.
- crasshopper 16y ago
  Excellent point. However I think you can learn about the box by reading books, too.
goblgobl 16y ago
I'm deciding between MFE/MS programs and starting independently at the moment. Here's what I've sort of cobbled together. My understanding is that your value to a firm is directly proportional to your ability to generate alpha. Credentials would be useful for securing an entry-level position, but eventually, it is your ability to develop profitable strategies that will secure your position in this industry. This is such a secretive business, that I doubt academia will be teaching anything other than the fundamentals/theory . As pointed out in the article, MFE employment stats are murky at best. I haven't had much luck getting confident stats. There's only a few of programs that staff actual practitioners, people who, you know, actually made/make money doing this stuff. One of my concerns with the credential-path is future career growth. Many of the firms that hire from schools place candidates in specific roles that need to be filled. You might get stuck in an area thats not as profitable as other areas of the market. You will also not be exposed to the firm's intellectual property until they've worked you hard and for many years. Contrast this with the option to start independently. I've spoken with quite a few people who've started out this way. Some have parlayed their experience and performance into jobs/partnerships at the big firms. Others continued to scale and build out their own fund. They all say the same thing, if you can develop profitable strategies, you will find people more than willing to invest in your strategies. As far as networking, I think the internet is helping that immensely. Quite a few fundamental investors have received job offers or started their own hedge funds from blogging/posting on forums when it became apparent they had an edge. There's always a few headhunters and fund managers hanging around nuclearphynance, and other forums. There is a higher risk, perhaps, of getting nowhere. But you also have the freedom, and less dogmatic structure to think independently, and the time to learn things thoroughly (vs. in a degree program). I'd like to hear other's thoughts on this.
- crasshopper 16y ago
  Ultimately yes, just like any business what you add to the bottom line is the brick-hard determinant of wage. But just like in other businesses, perceptions, measurability, and org structure are very important. It's not as simple as "can you generate alpha". Does your desk manager give you as much leeway as you desire? Does your alpha come only after your position has been underwater for weeks and you were given position to double down? Measurement is also a huge issue. How much did you contribute to the bottom line? Can you prove it? What if you told Moira about low-discrepancy sequences, which improved her Monte Carlo sims, which somehow affected someone's trading down the line ....? I met my current (quant fin) employer on the internet. While I was living in a trailer park.
choffstein 16y ago
Well, since I have a Masters in Financian Engineering (well, technically, a Masters in Computational Finance -- but same difference), I feel like I at least have to comment on a few things. 1. Just because the material is freely available on the internet does not mean you will have the ability to learn from that material. However, an inability to learn the material does not necessarily indicate a disinterest or an ineptitude. Quite frankly, it took the threat of a grade and the commitment of paying tuition for me to sit down and read through Shreve's Stochastic Calculus books, despite the fact I had picked them up almost a year before attending CMU. 2. Reading a bunch of books doesn't make you knowledgable on a subject. Deep interaction with the material does. You don't go to school just for a piece of paper -- you go for a structured learning environment. I went because I believed, and still do, that the teachers who understand this material will know the best way to organize and present it to me. Furthermore, most MFE programs stress the importance of an internship, giving students pragmatic experience. Finally, most MFE programs also offer speaker series to provide interaction with industry practitioners. 3. Whoever is saying 'Girsanov's Theorem' doesn't understand the connection. Girsanov is only relevant from the Fundamental Theorems of Asset Pricing, which is only relevant in that it translates the question of arbitrage into a question of existence of a risk neutral measure. Ultimately, pricing is merely replication. 4. "So you’re trying to get a job where you face the market everyday and disagree with it." This quote tells me you fundamentally are misunderstanding what occurs on most Sales & Trading desks, which is where most people from MFE programs try to place. Don't worry -- most people don't understand what they do. Quite simply, most Wall Street traders do nothing other than execute trades for clients and try to match and offset the risk of the trade with other clients. Sometimes traders will carry some risk in their book (most of the time, it is second-order risk) -- but for the most part, they aren't actively taking bets on market direction (though, rumor has it Goldman is notorious for this…) -- they leave that up to the hedge funds. 5. This whole notion of independent thought versus 'indoctrination' is ridiculous. I'm sorry, but math is math, whether you read it on your own or are taught by a professor. Independent thought is a characteristic of the student, and they either have it or they don't. 6. Is the degree expensive? Heck yes. Is it worth it? Only you can answer that. For me, having the degree is priceless because I own my business, and it acts as a certification of qualification when I meet with clients. It serves as one more point for them to check off in their due diligence on me. 7. You will completely miss out on the opportunity to network with peers. I now know people who I worked with on a daily basis at almost every major Wall Street firm, from investment banks to hedge funds to consultancy firms. That is a priceless network. So can you learn the material all on your own? Sure -- but I bet it takes you a lot longer than the year and a half it took me. By going to school, I was able to dedicate myself full time (homework and classes well exceeded 40+ hours a week), to learning the material. In my opinion, this isn't really material you can learn 'part time,' and if you try, you certainly won't have the opportunity to develop any practical understanding of it.
chrisaycock 16y ago
> It was hard enough to make you feel smart for knowing that the third moment of a distribution is its skewness... If you think that makes you smart, then I want you to be my competitor.
- crasshopper 16y ago
  Read on, the next clause indicates that I don't think it makes you smart.
Confusion 16y ago
I still remember the moment in statistical physics class when my prof wrote down the Black-Scholes model, explained how people made a lot of money using it, added that the inventors had received a Nobel prize and proceeded to show that it was just the diffusion equation. The diffusion equation. It was so underwhelming that I lost any interest in going into financial engineering.

194 points by genieyclo 16y ago

We live in the so called information age and everyday someone posts something like this on the web. Some road map to better educate yourself cheaper in x or y field. Ironically, governments throughout the world still struggle to find solutions to education. Please, just teach people to open a book and do some damage.

crasshopper 16y ago
Check out BBC Business Daily's currently running series about internet use in the developing world.
crasshopper 16y ago
Verysimple, how much actual reading do you think comes out of people bookmarking and voting up these lists? I would guess very little.
- verysimple 16y ago
  You can't know that. Reading is highly dependent on your perception of the activity. If you were conditioned to believe that learning is something that happens mostly in a classroom, then you'll perceive a book as "1000 pages to go through", a hurdle. On the other hand, if you're conditioned to believe and trust in the transmission of knowledge through independent reading, like most autodidacts are, you perceive them as an opportunity to improve. I, myself, am an autodidact programmer. I had never heard of many resources before encountering them in threads on HN, Reddit, or Stackoverflow. I haven't read all books, or followed all the videos, but at least, now that I'm aware of them, it prompted me to start working toward shifting a few things in my life to allow me the time and opportunity to dig deeper in the material. It's a process.
  - crasshopper 16y ago
    For me, the more hard drive space I have, the more PDF's I save. Doesn't mean I read them. The more time I spend on the web, the more "to-read should-read" stuff I find. Doesn't mean I read it. Real reading happens for me when I shut the computer and focus on just one thing.

joshkaufman 16y ago

This is exactly what I did with business, instead of getting an MBA or a PhD. Here's my reading list: http://personalmba.com/best-business-books/ http://personalmba.com/best-business-books/ Here's the book I wrote, condensing what I learned in the process: http://www.amazon.com/gp/product/1591843529/ http://www.amazon.com/gp/product/1591843529/ I now own my own business, work for myself as a business teacher and consultant, have an enormous amount of flexibility in my day-to-day schedule, and make more than professors who teach at top business schools. Education is changing.

kmfrk 16y ago
Give yourself some credit for going through 99+ books, though; if something doesn't sink in after all that, then you should reconsider the way you read. :)
- joshkaufman 16y ago
  It wasn't just 99 - it was thousands. The books on the list are just the best. :-)
  - bosie 16y ago
    thousands? if your average book has 300 pages, and you read 30 pages per hour, you would need to read for 10000 hours, doing it for 8 hours a day you need 1250 days. that's without repeating anything of course. am i wrong? in what timespan did you read those thousands of books?
    - dagw 16y ago
      I'm not the original poster, but I've found that most 300 page business books contain 10-20 pages of useful info and 280-290 pages of fluff and filler. I generally skim through the average business book in an hour or 2, including the time to make notes of all the potentially useful advice I find. It's rare to find a business book worth carefully reading cover to cover.

binarysoul 16y ago

I'd just like to point out that all those amazon product links have his affiliate ID in there... He's getting a cut, keep that in mind

joshkaufman 16y ago
So? He put a lot of effort into that list, and he published it for free. If it sells some books, good for him.
- kmfrk 16y ago
  I don't think there's any harm in saying that. It was just something "for your consideration". Nothing accusatory.
crasshopper 16y ago
You're quite right. But since your price doesn't go up, why should you care? BTW, when I wrote this piece it was intended for QuantNet.com. However I pissed off the guy who runs it and now he thinks I'm a douchebag. That's all to say, I never thought this piece would get any traffic at all. The fact that so many people are interested makes me even more skeptical of the putative value of an MFE....

nerfhammer 16y ago

I'll just leave this here: http://www.khanacademy.org/ http://www.khanacademy.org/

kmfrk 16y ago
In its current state, Khan Academy's exercises are very basic, once you start following the courses. You learn the basics, but not enough to become an entrepreneur. I've been mulling over a project to deliver more courses in a similar vein, but I'm still struggling with how I'll manage to collate the user-submitted YouTube-videos automatically without mandatory approval on my side.
- ecounysis 16y ago
  You're not going to learn enough to become an entrepreneur from any school. You just fucking do it. http://www.cloudave.com/1171/what-makes-an-entrepreneur-four-letters-jfdi/ http://www.cloudave.com/1171/what-makes-an-entrepreneur-four...
dagw 16y ago
Khan academy, while great, doesn't really go beyond advanced high school-simple first year university level. There is nothing there which is even close to Masters level.
crasshopper 16y ago
MathDoctorBob does some higher level stuff on YouTube. I was just watching his short bits on representation theory and characters.

noname123 16y ago

DIY Financial Engineering: 1. Sign up for an Interactive Brokers account; state that you want to trade options. 2. Transfer >25K (day-trading capability) or whatever is reasonable amount money for you. Enough for you to care about but not over the amount where if you lost it all, you'd lose sleep over. 3. Now use the highest/lowest volatility scanner and buy/sell some options randomly in that list; max out your real cash to accumulate positions (do not go on margin). 4. Now figure out what the fuck you just did and how much money you are going to lose. This is the most important step, nothing motivates you to learn security analysis, risk management, Black-Scholes/Bionomial Tree option pricing, post-transaction cost analysis than the threat of losing your money. 5. If you get over step 4, then you probably have a strategy that turn over 7% monthly, or turn over 100% annually. Now automate it as much as you can with IB API.

tdyo 16y ago
I would subscribe to your newsletter.
iwwr 16y ago
DIY Financian Engineering Lite Edition (TM) 1. Go to Las Vegas 2. Transfer >25K in chips (high-roller capability), or whatever is reasonable amount of money for you 3. Play the tables 4. Figure out what the fuck you're doing while you're doing it 5. If you get over step 4, you probably think you have a solid strategy for winning against a casino. Now, automate the task by getting people to pay you for your new book/DVD and public talks.
- gatsby 16y ago
  "When I was young, people called me a gambler. As the scale of my operations grew, I became known as a speculator. Now, they call me a banker. I have been doing the same thing all along." -Sir Ernest Cassel
- dedward 16y ago
  I call shenanigans on that.... There are plenty of people who should not be in the stock market, and are basically just gambling. But in the casino table games, in general, the odds are always against you. There IS no winning strategy. In a market, any market, there IS a winning strategy at any given time, though the strategy will change with time along with the market. The point of the PP was more "Pay $25k to go to school and learn about trading stocks" or "How to play with $25k on the stock market to force yourself to learn what's up in real life." Either way you are out $25k, though in the second scenario there is the chance you may actually end up ahead.

jteo 16y ago

You go and get a Masters because of 2 reasons 1. Signalling to your future employer / Getting past the HR filter. 2. Networking with others. Learning something useful is usually a bonus.

bryanh 16y ago
Or, if you are like me, include #3: Plenty of time to build side-projects and experiment with products that you hope will grow into something substantial by graduation.
crasshopper 16y ago
I would like to hear much more discussion about these two parts of it.
- crasshopper 16y ago
  In particular, aren't you also signalling that you're a fraidy-cat conformist who can't do things for him/herself?

localhost3000 16y ago

wondering how you compete with the MFEs from MIT / Harvard / Yale / [other top school] for that BSD quant job when on your resume it says "I read a lot of free shit on the internet" ? you don't pay $100k for the knowledge, you pay $100k for a ticket to the party. everyone knows that. of course, if you want to be an entrepreneur or trade your own $, that is a different story. but this seems unrealistic for any kind of mainstream career move.

crasshopper 16y ago
Great point, I have experienced exactly this problem. It's actually the reason I started writing on the internet (note the extremely clever site name).

thebigredjay 16y ago

It would be great to develop an open directory for all DIY degress. For each degree path you would have a list of freely available resources summarizing what knowledge you need to cram into your head, like you have done. Huurmm... I really like this idea...

crasshopper 16y ago
academicearth.org Reddit has a lot of such things.

gahahaha 16y ago

"""But you pay someone to indoctrinate you with exactly the same methods and formulae that all of your competitors are using. Then you expect to come to not just a different conclusion, but a market-beating conclusion? That just sounds dumb.""" Counter argument: Creativity entails not only novelty (that outside the box stuff) but also utility, and in order to be useful, it has to go above-and-beyond what is already known (that inside the box stuff). It's about embracing what's been done before, because it's practice that gives us the capacity to build on the old ideas to make the new. If you never venture outside the box, you will probably not be creative. But if you never get inside the box, you will certainly be stupid.

joe_the_user 16y ago
Indeed, If you never get inside the box, you won't even know what the box means or what "outside the box" means.
tyng 16y ago
The question is, once you get in, how do you get out?
- katovatzschyn 16y ago
  I think the answer to that question is genius and hard work.
klbarry 16y ago
"If you never venture outside the box, you will probably not be creative. But if you never get inside the box, you will certainly be stupid." I think I will use this in the future.
crasshopper 16y ago
Excellent point. However I think you can learn about the box by reading books, too.

goblgobl 16y ago

I'm deciding between MFE/MS programs and starting independently at the moment. Here's what I've sort of cobbled together. My understanding is that your value to a firm is directly proportional to your ability to generate alpha. Credentials would be useful for securing an entry-level position, but eventually, it is your ability to develop profitable strategies that will secure your position in this industry. This is such a secretive business, that I doubt academia will be teaching anything other than the fundamentals/theory . As pointed out in the article, MFE employment stats are murky at best. I haven't had much luck getting confident stats. There's only a few of programs that staff actual practitioners, people who, you know, actually made/make money doing this stuff. One of my concerns with the credential-path is future career growth. Many of the firms that hire from schools place candidates in specific roles that need to be filled. You might get stuck in an area thats not as profitable as other areas of the market. You will also not be exposed to the firm's intellectual property until they've worked you hard and for many years. Contrast this with the option to start independently. I've spoken with quite a few people who've started out this way. Some have parlayed their experience and performance into jobs/partnerships at the big firms. Others continued to scale and build out their own fund. They all say the same thing, if you can develop profitable strategies, you will find people more than willing to invest in your strategies. As far as networking, I think the internet is helping that immensely. Quite a few fundamental investors have received job offers or started their own hedge funds from blogging/posting on forums when it became apparent they had an edge. There's always a few headhunters and fund managers hanging around nuclearphynance, and other forums. There is a higher risk, perhaps, of getting nowhere. But you also have the freedom, and less dogmatic structure to think independently, and the time to learn things thoroughly (vs. in a degree program). I'd like to hear other's thoughts on this.

crasshopper 16y ago
Ultimately yes, just like any business what you add to the bottom line is the brick-hard determinant of wage. But just like in other businesses, perceptions, measurability, and org structure are very important. It's not as simple as "can you generate alpha". Does your desk manager give you as much leeway as you desire? Does your alpha come only after your position has been underwater for weeks and you were given position to double down? Measurement is also a huge issue. How much did you contribute to the bottom line? Can you prove it? What if you told Moira about low-discrepancy sequences, which improved her Monte Carlo sims, which somehow affected someone's trading down the line ....? I met my current (quant fin) employer on the internet. While I was living in a trailer park.

choffstein 16y ago

Well, since I have a Masters in Financian Engineering (well, technically, a Masters in Computational Finance -- but same difference), I feel like I at least have to comment on a few things. 1. Just because the material is freely available on the internet does not mean you will have the ability to learn from that material. However, an inability to learn the material does not necessarily indicate a disinterest or an ineptitude. Quite frankly, it took the threat of a grade and the commitment of paying tuition for me to sit down and read through Shreve's Stochastic Calculus books, despite the fact I had picked them up almost a year before attending CMU. 2. Reading a bunch of books doesn't make you knowledgable on a subject. Deep interaction with the material does. You don't go to school just for a piece of paper -- you go for a structured learning environment. I went because I believed, and still do, that the teachers who understand this material will know the best way to organize and present it to me. Furthermore, most MFE programs stress the importance of an internship, giving students pragmatic experience. Finally, most MFE programs also offer speaker series to provide interaction with industry practitioners. 3. Whoever is saying 'Girsanov's Theorem' doesn't understand the connection. Girsanov is only relevant from the Fundamental Theorems of Asset Pricing, which is only relevant in that it translates the question of arbitrage into a question of existence of a risk neutral measure. Ultimately, pricing is merely replication. 4. "So you’re trying to get a job where you face the market everyday and disagree with it." This quote tells me you fundamentally are misunderstanding what occurs on most Sales & Trading desks, which is where most people from MFE programs try to place. Don't worry -- most people don't understand what they do. Quite simply, most Wall Street traders do nothing other than execute trades for clients and try to match and offset the risk of the trade with other clients. Sometimes traders will carry some risk in their book (most of the time, it is second-order risk) -- but for the most part, they aren't actively taking bets on market direction (though, rumor has it Goldman is notorious for this…) -- they leave that up to the hedge funds. 5. This whole notion of independent thought versus 'indoctrination' is ridiculous. I'm sorry, but math is math, whether you read it on your own or are taught by a professor. Independent thought is a characteristic of the student, and they either have it or they don't. 6. Is the degree expensive? Heck yes. Is it worth it? Only you can answer that. For me, having the degree is priceless because I own my business, and it acts as a certification of qualification when I meet with clients. It serves as one more point for them to check off in their due diligence on me. 7. You will completely miss out on the opportunity to network with peers. I now know people who I worked with on a daily basis at almost every major Wall Street firm, from investment banks to hedge funds to consultancy firms. That is a priceless network. So can you learn the material all on your own? Sure -- but I bet it takes you a lot longer than the year and a half it took me. By going to school, I was able to dedicate myself full time (homework and classes well exceeded 40+ hours a week), to learning the material. In my opinion, this isn't really material you can learn 'part time,' and if you try, you certainly won't have the opportunity to develop any practical understanding of it.

chrisaycock 16y ago

> It was hard enough to make you feel smart for knowing that the third moment of a distribution is its skewness... If you think that makes you smart, then I want you to be my competitor.

crasshopper 16y ago
Read on, the next clause indicates that I don't think it makes you smart.

Confusion 16y ago

I still remember the moment in statistical physics class when my prof wrote down the Black-Scholes model, explained how people made a lot of money using it, added that the inventors had received a Nobel prize and proceeded to show that it was just the diffusion equation. The diffusion equation. It was so underwhelming that I lost any interest in going into financial engineering.