Next educational step to improve quant/coding skills?

Discussion in 'Professional Trading' started by abdibile, Jan 8, 2012.

  1. abdibile


    I have the following degrees/education:

    Master in Finance from a German business school
    learned some maths and statistics, but it was more focused on business, derivatives, risk manageemnt concepts and understanding to see problems, not really solving statistical/coding problems

    CFA, FRM and CAIA , same here: learned some basic amthematical concepts, but nothing too deep

    I am realizing that my quantitative skills are OK for someone who studied busienss/finance but very far from any maths or computer science student. It was never too easy for me to erally understand maths problems.

    I have been trading options for 5 years now, of that 3 years for an asset manager. But I realize that what I am doing is not really too sophisticated and I have lots of "theoretical ideas" how to improve my trading (I understand that tehre are problems) buy I can not do the deep research necessary to solve these problems.

    I would love to be able to really udnerstand quantitative research appers and do my own backtests on extnsive options databases (with all teh complexities involved).

    I have tried reading a lot but I am still far from what I would like to understand in the quant space.

    I have a demanding full time job, so time is a constrained.

    Any recommendations on how I could improve my skills in this area?

    Any masters or doctoral programs you would recommend in my situation or soemthing like Wilmott's CQF certificate?

    Obviously time is constrained due to my full tiem job, so an executive education program would be prefered. But I would also eb open for suggestions that involve taking a sabatical from work.

  2. hkrahra


    next step should be to help me coding some stuff.

  3. abdibile


    I would if I had a clue how to do it (only am bale to play around in Excel and VBA, which jsut is not enough for msot problems):)
  4. Lornz


    I'm in a similar position and have spent some time trying to map the available options. I assume that the CQF would be a good fit, but I haven't done it myself yet. If you contact them, they will put you in touch with local alumni.

    Daniel Duffy also has a few self-paced courses on C++ and mathematical finance:

    Stanford SCPD has both a certificate in quantitative finance and master's in statistics, computer science and computational and mathematical engineering

    Some of the online degrees I found:
  5. byteme


    There are two questions here:

    1) Math
    2) Programming

    On 1) Brush up on Calculus, Differential Equations, Linear Algebra, Probability and Statistics.

    MIT have free online courses for most of these at

    Each course has around 30-40 hours of video lectures. You've probably covered most of the material before so it shouldn't be difficult to get back up to speed.

    You'll notice that these are also the topics covered by the Math primer module on the CQF. Mark Joshi also calls these the pre-requisites for the pre-requisites. The CQF uses Schaum's Outlines books for all of those topics.

    Once you've covered those you'll be ready for Neftci or Joshi's or Wilmott's intro to financial mathematics type books.

    You'll notice that 'Paul Wilmott introduces Quantitative Finance' is one of the texts used on CQF. Not surprising given Wilmotts association with the program.

    On 2) Read a modern intro to C++ book. Doesn't have to be advanced.

    Next, take a look at Joshi's C++ Design Patterns in Quant Finance (i forget the exact title) ...after you've covered 1) above.

    Now, you'll be very well placed to understand and use the industry standard ibrary for quants: QuantLib

    If you don't want to go the C++ route then look at VBA for doing modelling in Excel. This is what they will teach you on the CQF.

    Also, take a look at Espen Haug's book for other related programming of various models. Note, this text is also used on CQF and he's on the faculty.

    In short, you could teach yourself everything you need to know but you won't have the piece of paper that may or may not be important for you.

    The key to it all is having a solid foundation in the Math. The programming bit is easy in comparison, especially when comes to Monte Carlo sims etc.

    The CQF is six months while you work....but you don't get a Masters degree, you get a proprietary certificate.

    Good luck.
  6. Hammy27


    @abdibile: I'm in the same *%&+*% situation...
    I probably will ask my employer if I can reduce to part-time and then take a master's class. If they refuse I would have to quit.

    The problem here: I wouldn't mind to study again. But I certainly will miss the cash-flows :D

    If you are looking to go into a quant job, I think this is the only way. I've never seen a job description not demanding for a master (of even PhD) in quant finance/math/physics or a similiar field.
  7. Next step: jump head first and try to be profitable yourself.
  8. So as to better understand the scope of what's required and to also stay focused on the "end game" in all the above, can you point to some good, real life examples of differential equations applied in quantitative finance... ?