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Quantitative Finance. Finding a job in quantitative finance – tips and advises. A Guide. Writing a CV Contact Information Be honest Interviews Preparations Books Practice Brainteasers Finding a job in quantitative finance. Quantitative finance.

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quantitative finance

Quantitative Finance

Finding a job in quantitative finance – tips and advises

a guide
A Guide
  • Writing a CV
  • Contact Information
  • Be honest
  • Interviews
  • Preparations
  • Books
  • Practice
  • Brainteasers
  • Finding a job in quantitative finance
quantitative finance1
Quantitative finance
  • Quantitative finance is in essence a multidisciplinary enterprise. To be effective, you must learn finance, mathematics and programming.
  • There are many types of quants such as front office, research, mid office and back office. Quants come form different mathematical background.
  • Quants come in two varieties the pure mathematician and applied mathematician.
interview questions
Interview Questions
  • Front office:
  • probability and brainteasers, stochastic process, derivative pricing models and hedge, interest rate models, market related questions, contract specifications. In addition, there would be questions on convenient yield modeling in commodities and Gold, volatility models, numerical method, programming questions, time series, statistics.
  • Mid Office:
  • simulation models, stochastic process, derivative pricing models, value at risk, forward price simulation models, counting process, numerical method including Monte Carlo simulation, some programming questions (not to much different from the front office), statistics
  • Back office:
  • In model validation position, the question would be the combination of both front office and back office on the theory side. This type of job is more about the correctness of the model related math and statistics. I am not sure about other type of the back office position such as compliance related position etc.
what does quant do
What Does Quant Do?
  • A Quant design and implements mathematical models for the pricing of derivatives, assessment of risk, or predicting market movements
  • Areas of Derivatives:
  • FX
  • Equities
  • Fixed Income
  • Commodities
  • Credit Derivatives
  • Hybrids
what sorts of quant are there
What Sorts of Quant are There
  • Front Office/Desk Quant
  • Model Validating Quant
  • Research Quant
  • Quant Developer
  • Statistical Arbitrage Quant
  • Capital Quant
front office desk quant
Front Office /Desk Quant
  • Desk quant implements pricing models directly used by traders
  • Main plusses close to money and opportunities to move into trading
  • Minuses can be stressful and depending on the outfit may not involve much research
  • Lot of programming
a model validation quant
A Model Validation Quant
  • Independently implements pricing models in order to check that front office models are correct
  • Less stressful, more relax
  • Far from the money
  • Less inspired
research quant
Research Quant
  • Tries to invent new pricing approaches
  • Interesting work
  • You Learn a lot
  • Hard to justify your existence
quant developer
Quant Developer
  • A glorified programmer but well-paid and easier to find a job
  • This kind of job can vary a lot
  • It could be coding quickly all the time
  • Working on a large systems debugging someone else’s code
statistical arbitrage quant
Statistical Arbitrage Quant
  • Works on finding patterns in data to suggest automated trades
  • The techniques are different from those in derivative pricing
  • Most used by Hedge Funds
  • Returns on this type of positions are highly volatile
capital quant
Capital Quant
  • They works on modeling the Bank’s credit exposures and capital requirements
  • This are less attractive positions
  • This positions are becoming ,ore and more important with advent of the Basel II banking accord
  • Less pay, less stress
  • Mixed degrees
sorts of employers
Sorts of Employers
  • Commercial Banks, (HSBC,RBC, ..)
  • Investment Banks (Goldman Sachs, JPM, Morgan Stanley,..)
  • Hedge Funds ( Citadel Group,…)
  • Accountancy Firms
  • Software Companies
  • Information Systems
mathematical finance
Mathematical finance
  • This quant will have to know:
  • abstract probability theory
  • Stochastic Processes
  • Martingale Presentation Theory
  • Change of numeraire
  • Risk Neutral versus real
  • Numerical methods such as:
  • Monte Carlo methods
  • Techniques for speeding Monte Carlo

c) Finite Difference or Finite Elements

d) Newton Raphson Method: Root Finding

e) Crack NicholsonMethod

f) Spectral Method, Fourier transforms

key area to brush up
Key area to brush up
  • Diffusion equations generally
  • Finite Difference methods
  • Finite Difference methods in several dimensions
  • Different types of FDM such as: explicit, implicit and so on
  • A stopping time with respect to a sequence of random variables X1, X2, X3, .
mathematics in finance
Mathematics in finance
  • Modeling approaches:
  • Probabilistic
  • Deterministic
  • Discrete: difference equations
  • Continuous: differential equations
  • Tools:
  • Simulations
  • Approximations
  • Asymptotic Analytics
  • Discretization methods
  • Green’s functions
what you must know
What you must know
  • Fixed Income, bonds, derivatives
  • Equity, dividends, derivatives
  • Currencies – interest rates
  • Commodities
  • Exotics, main types
  • Credit derivatives
what you must know1
What you must know
  • Risk
  • Delta hedging
  • Risk neutrality
  • Calibration
  • Static and dynamic hedging
  • Binomial model
  • Lognormal
  • Jump diffusion
  • Stochastic volatility
  • Interest Rate model, single, multi factor, HJM, BGM
  • Credit derivatives
  • Transaction matrices
  • Numerical methods
programming skills
Programming skills
  • Financial Instrument Pricing Using C++  -  Daniel J. Duffy
  • Mark Joshi:  C++ Design Patterns and Derivative Pricing
  • The Practice of Programming - Kernighan & Pike
  • Data structures and Algorithms
  • C/C++, MATLAB,
  • Interesting puzzles and points in C++: http://www.gotw.ca/gotw
  • Problem Solving:
  • Mathematics of Chance  - by Jiri Andelhttp://www.wiley.com/WileyCDA/WileyTitle/productCd-0471410896.html
  • Timothy Falcon Crack: Heard on the Street
  • Vault Guide to Advanced Finance and Quantitative Interviews Available in: PDF Download and Paperback Print Version Author: Jennifer Voitle
  • Paul Wilmott: Mathematics for Financial Derivatives
  • Baxter/Rennie: Financial Calculus, Cambridge University Press, 1996
  • John Hull : Options, Futures and Other Derivatives
  • Peter Carr - Derivatives Pricing, The Classic Collection
  • Emanuel Derman: My life as a Quant
  • Steven Shreve:Stochastic Calculus and Finance
useful sites
Useful sites:
  • 1. QUANTITATIVE ANALYST          Paul Wilmott          
  • 2. Frequently Asked Questions in Quantitative Finance by  Paul Wilmott
  • 3. Math Finance
  • 4. Quantitative Finance                                                             5. Certificate in Quantitative Finance6. QUANTster: The Quantitative Finance Job Market Daily7. Quantitative Finance Forum8. Jobs for PhD\'s    9. QuantLib 10. Society of Quantitative Analysts11. A Community For Quantitative Finance Students12. Community for Quantitative Finance Students13. The International Association Of  Financial Engineers 14. Efinancial careers