Should I pursue and what MFE programmes can I take?

The amount you must study varies from place to place. Interviewers tend to care more about the understanding of the basics well than knowing a lot. Having a masters degree in Financial mathematics but no PhD tends to leads to jobs in banking, risk or trading support but not straight to quant jobs. Banking is becoming more progressively mathematical.

What career propsects are there http://www.quantfinancejobs.com/jobs/default.asp?dbid=&guid=

• Credit Derivatives Quant
• Credit Manager
• Developer
• Financial Engineer
• Fixed Income Quant
• Portfolio Manager
• Quantitative analyst
• Quantitative Research
• Quantitative Strategist
• Quantitative Trader
• Research Analyst
• Risk Analyst
• Risk Manager
• Structurer
• Product Control
• Trader

What does a quant do?

Quant designs and implements mathematical models for the pricing of derivatives, assessment of risk, or predicting market movements.

What sorts of quants are there?

  • Front office/desk quants
    A desk quant implements pricing models directly used by traders.
  • Model validating quant
    A model validating quant independently implements pricing models in order to check the front office models are correct.
  • Research quant
    A research quant tries to invent new pricing approaches and sometimes carries out blue-sky research.
  • Quant Developer
    A quant developer is a programmer but well-paid and easier to find a job. It could be coding scripts quickly all the time or working on a large system debugging someone else’s code.
  • Statistical arbitrage Quant
    A statistical arbitrage quant works on finding out pattern in data to suggest automated trades. The techniques are quite different from those in derivatives pricing. This sort of job is most commonly found in hedge funds. This position is highly volatile.
  • Capital Quant
    A capital quant works on modeling the bank’s credit exposures and capital requirements.

What areas of trading are there?

  • Foreign Exchange (FX) – Contracts tend to be short dated with high volume and simple specifications.
  • Equities (stocks and indices) – Techniques tend to be partial-differential equations based with local vol model being popular. A typical contract is a note paying some function of the stock price path.
  • Fixed income(rate derivatives) – The maths is more complex because of the underlying is multidimensional. Martingale techniques are used a lot.
  • Credit derivatives – Derivatives pay off according to the defaults of corporate entities. This is currently a big growth area with lots of demand translating into very high pay.
  • Commodities – Big growth area with the general rally in its prices in recent years
  • Hybrids in derivatives – pay off according to behaviors in more than one market

What kind of firms employ quants?

Examples of firms include commercial banks, investment banks, hedge funds, accountancy firms (quants for consulting), and software companies.

Credit: Mark Joshi, On Becoming A Quant