Welcome to the Quant Network where Quants meet Quants
Quantnet is a New York City-based community built by and for students and professionals in the quantitative finance, financial engineering fields. By
JOINING US today you can participate in our active and growing community, contact quantitative recruiters, professionals working in Wall Street quantitative groups, attend Quantnet events, talks, and much more.
Dr. Peter Carr works at Bloomberg L.P as the head of Quantitative Research and in 2003 was selected as Risk Magazine's prestigious Quant of the Year. He also directs the Masters in Mathematical Finance program at NYU's Courant Institute. Quantnet.org sits down with him on the eve of '08 Christmas as Wall Street is experiencing its biggest crisis in generations. Dr. Carr shares with us his thoughts on the current challenges and the future of quantitative finance.
Can you give us a brief bio?
Sort of – If you buy the book How I Became a Quant, you’ll see that my bio is the briefest of the 25 covered.
Editor note: Sylvain Raynes is a founding principal of R&R Consulting, a structured credit metrics consultancy founded in 2000. Most recently, Dr. Raynes worked on the originations teams of UBS and CSFB. He developed methods for standardizing the credit risk analysis of exotic ABS the mid-1990s while in the Structured Finance Group Moody's Investors Service. Earlier, at Goldman Sachs he was involved in the statistical modeling of Derivative Product Companies, and at Citicorp he was responsible for the design of the credit scoring model for Citi's then-$30 BN credit card portfolio. Dr. Raynes has a PhD in aerospace engineering from Princeton University and an M.S. in Numerical Methods from Von Karmen Institute in Brussels.
Sylvain Raynes | Dec 4, 2008
We are the CDO makers, and we are the... [Read More]
The rise and success of quantitative driven hedge fund trading can be largely credited to math wizards and quants, not people labeled as financial engineers.
Over the past 10 years, investment banks, finance departments, insurance, accounting and consulting firms have continued to demand these greatly quantitative financial minds. In response, over 60 universities across the country started new Masters in Financial Engineering programs. From a single program in 1994 to about 60 programs this year, the impact of all these financial engineers on Wall Street has been significant.
According to the International Herald Tribune, quant strategies accounted for nearly 48 percent of U.S. equities trading in 2007, representing a 34 percent increase from the previous year.
As the first anniversary of the August 2007 subprime mortgage meltdown approaches, and world markets still reel, you would think that the people who have received much of the blame - the math wizards, computer geeks and other quantitative analysts collectively known as financial engineers - would be in disgrace.
After all, they were the ones who created the complex, mortgage-backed instruments that got us into this mess.
Yet by all evidence, the field of financial engineering is thriving - and, in fact, growing. Far from disowning financial engineers, or quants as they are also known, financial institutions - and their regulators - are embracing them as partners in an increasingly complicated game that, it seems, only the very brainy can understand well enough to play safely.
Quant strategies, or stock trades based on mathematical formulas rather than on qualitative factors like... [Read More]
Dominic Connor is a partner in P&D. He teaches C++ in the CQF program and has been recruiting for quant positions. Based on London, UK, Dominic is well known in the quantitative finance community, both via his work as a headhunter and a prolific poster on the Wilmott community. Dominic has been a frequent contributor on Quantnet.org forum. We'd like to thank Dominic for taking the time to sit down for an interview with Quantnet.org. Thanks, Dominic!
Can you give us a brief bio?
Paul Wilmott & I started P&D recruitment about three years ago. Before that I'd been a CIO for a brokerage firm in fixed income, having worked at a variety of IBs. I'm married with two kids, live... [Read More]
Tim Grant is a Managing Director and formerly Head of UBS Delta Americas at UBS Investment Bank*. Tim has taken a leading role at UBS in a quest to dispel the myths surrounding the role of the quantitative skill set in sales and trading today. In an exclusive interview with Quantnet.org, Tim spoke about his work at UBS, his personal hobbies and shared advices for Quantnet.org members.
With his busy schedule at UBS, Tim has generously donated his time to finish this Quantnet.org exclusive interview. On behalf of Quantnet.org staff and members, we'd like to thank Tim for taking the time to answer our interview questions. Thanks Tim!
Can you give us a brief bio?
I joined the UBS graduate training program in 1999 in London and after a short period in international bond sales moved to the UBS Delta group... [Read More]
Thursday Nov. 8 marked a monumental day for Baruch students. It was the first time that a major investment bank has designated Baruch College as target school for recruitment in investment banking and sales and trading. JP Morgan came to the Baruch campus to give a thrilling presentation about the internship opportunities within their Investment Banking and Sales and Trading divisions. Baruch students were excited for the chance to impress JP Morgan recruiters and eagerly awaited the event. The room was packed with students eager to learn more about the prestigious firm. The event featured six distinguished JP Morgan employees, including multiple recent Baruch graduates.
The presentation started with a video of JP Morgan analysts, each expressing the benefits and responsibilities of working in their respective jobs. The video was... [Read More]
Konstantinos Tsahas is not exactly typical of the students enrolled in Baruch College’s elite Masters program in Financial Engineering. For one thing, Konstantinos, known as “Gus,” is not looking to land a high paying position in finance with Goldman Sachs, Lehman Brothers, or Citigroup. Been there, done that.
Gus once worked for a major finance firm. These days he is a contractor and the owner-manager of a company that specializes in technical construction. He’s also an independent spirit. “I’m not interested in working for anyone,” he says flatly. His company, Tarsis Electronic, based in Long... [Read More]
Compared to other programs in the nation, Baruch's MS in Financial Engineering (MFE)* is actually a more competitive and more intense program. The program was started in 2002 and for the past two years, Baruch has accepted only 25 percent of applicants, compared to UC Berkeley which accepted 38 percent. In November of 2003, before the program had graduated any students, Baruch was ranked 24th out of 38 programs in the U.S. and Canada.
Quantitative analysts, or quant, have a daunting challenge. They design and implement mathematical models to price derivatives, to gauge risk or to predict market movements. A quant is not only expected to know about the underlying security such as options or credit derivatives, but is also expected to know how to mathematically predict their behavior and create a trading program than can capitalize on it. This involves having a deep knowledge of finance, mathematics and programming. A person who has interest in all three areas is a good... [Read More]
Everyone from derivatives traders to hedge fund managers want to predict financial market outcomes. Who wouldn't bet on a sure thing? The reality is that no one can really guarantee where the stock market is headed. But don't think people aren't trying.
Financial engineers are the folks that just might figure it out. They design sophisticated financial models used for both forecasting and valuing the growing variety and complexity of investment instruments, like derivative options and futures. Companies are shelling out six-digit salaries and hefty signing bonuses to master's students with the quantitative aptitude and computer programming acumen necessary to succeed in this niche job market. The Master in Science in Financial Engineering program at Baruch not only maintains an up-to-date interdisciplinary curriculum, but also provides students... [Read More]
Quantnet.org
Konstantinos Tsahas is not exactly typical of the students enrolled in Baruch College’s elite Masters program in Financial Engineering. For one thing, Konstantinos, known as “Gus,” is not looking to land a high paying position in finance with Goldman Sachs, Lehman Brothers, or Citigroup. Been there, done that.
Everyone from derivatives traders to hedge fund managers want to predict financial market outcomes. Who wouldn't bet on a sure thing? The reality is that no one can really guarantee where the stock market is headed. But don't think people aren't trying.