Quant maths

Google

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Feb 25, 2021 71 Comments

Which areas of applied and pure mathematics (at a postgraduate level of background) would be ideal for a quantitative researcher?

For link to part 2 - non math subjects:
https://us.teamblind.com/s/TLL8mbTH

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TOP 71 Comments
  • Amazon
    Pxhn48

    Go to company page Amazon

    Pxhn48
    Sell-side quant-turned SWE here. I think the importance of graduate-level mathematics (relative to software engineering skills) is on the decline. The maths for flow derivatives has largely been worked out decades ago. Exotics are typically priced using Monte Carlo methods. Algo trading is a statistics game, but very engineering-heavy.
    Feb 25, 2021 4
    • Esri
      klokov_v3

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      klokov_v3
      Btw how do you like the jump from quant to Amazon SWE?
      Feb 26, 2021
    • Amazon
      Pxhn48

      Go to company page Amazon

      Pxhn48
      Love it. I don’t know if I’ll ever go back :)

      The threat of PIPs are no joke, and I feel for the people suffering from them, but in comparison to how things were in the post-Lehman Brothers sell side, I feel that I am able to live with more dignity.
      Feb 27, 2021
  • The real answer IMO is none of the above, but optimization, statistics, and stochastic calculus are good to know, on top of linear algebra.

    The idea that you need to be good at math is pretty exaggerated, as anyone with proper math training will feel like their math skills are total overkill. Before some of my investments made my NW skyrocket and made me stop worrying about money, I was pretty resentful of the fact that statistics and computer science degrees seemed to get my friends much further in their careers.

    It's very sad to study esoteric abstract nonsense and then have to struggle with explaining some really simple linear algebra the rare occasion you have to use it.
    Feb 26, 2021 12
    • Google

      Go to company page Google

      OP
      Papers that are all words and few symbols can be hard to read as well, especially when there are so many implicit assumptions and steps
      Mar 1, 2021
    • Flagged by the community.

  • Amazon
    Pxhn48

    Go to company page Amazon

    Pxhn48
    Sage advice from my grad school stochastic calculus TA (postdoc): “don’t bother with a Ph.D., just get an MFE and go into industry”... Haha
    Feb 25, 2021 5
    • Amadeus
      uCmF13

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      uCmF13
      @Amazon what do you mean by "sell-side" and buy-side ?
      Feb 27, 2021
    • Speedway / Eng
      Hank Hill

      Go to company page Speedway Eng

      PRE
      AIR, Amazon, JPMorgan Chase & Co.
      Hank Hill
      Sell side sells securities - the research and execution trading operations at BBs, aka brokerage.

      Buy side buys them for their own/company account - market making, prop trading and hedge funds, Jump, 2S, Jane, HRT, Rentech.
      Feb 27, 2021
  • New
    goodJuJuSh

    New

    goodJuJuSh
    Lol wtf? Abstract algebra? You just posted a list of courses offered in a math department
    Feb 26, 2021 7
    • Amazon
      zer02

      Go to company page Amazon

      zer02
      @prudential linear algebra can definitely be considered to be part of abstract algebra (modules, multillinear algebra, representation theory) but calling abstract algebra a generalization of linear algebra is pretty inaccurate. Like every field of math uses linear algebra, and stuff like galois theory isn't anymore linear algebra than differential geometry is
      Feb 27, 2021
    • Google

      Go to company page Google

      OP
      Agree with last comment. I wasn't referring to algebra as relevant to additive combinatorics, was just making a joke about people assuming relevance based on others' backgrounds (oh they hired physicists, must be important to know how derive Black-Scholes, etc)
      Feb 27, 2021
  • Walmart
    JimCramer3

    Go to company page Walmart

    JimCramer3
    Oh boy, I admire you guys. This is a whole new level of nerd.
    Feb 26, 2021 0