Can you tell us a bit about your background?
I have BS Engineering and worked (<2yrs) as an Associate with a Big 4.
I studied full-time in the program from 9/2/2008-5/13/2010
Did you get admitted to other programs?
U. Manchester, MFE, U. Birmingham, Math Finance
Why did you choose this program (over others, if applicable)?
It was more of choosing New York over London, my choice of Rutgers was due to the fact that of the reputable schools in the Tri-state area it had an extended application deadline. Considered Baruch/NYU/Columbia/Princeton but deadlines were past when I applied.
Tell us about the application process at this program
The application process was very straight forward, I had emailed the program director who responded timely. I sent in my application pack and got a response about a missing item, sent that over and got an acceptance mail then the paperwork followed, it was quite much being that I am an international student but everything went in an orderly manner.
Does this program offer refresher courses for incoming students? How useful was it?
Yes, the program offers a refresher course. I didn't need to take the refresher course as it is only mandatory for certain people with provisional admission, also I wouldn't want to incur additional cost. I did see the course content of the refresher courses though.
Tell us about the courses selection in this program. Any special courses you like?
My best course in the program is Portfolio Theory and Applications. The program as a whole requires completion of 7 core courses and 3 other courses from variety available or even one or two from the business school or computer engineering dept.
Tell us about the quality of teaching
I've completed 8 courses so far in the program (2 to go!). Frankly two of the classes weren't that good, not as practical as it could have been, another 2 classes were good but nothing beyond expectation but 4 classes were very good, well taught, reviewed papers, industry practice and engaged in stimulating class discussions.
Materials used in the program
The core textbooks we used were:
course - Math Finance I&II
Shreve, Stochastic Calculus for Finance II
Wilmott, Paul Wilmott on Quantitative Finance
course - Numerical I&II
Quarteroni, Numerical Mathematics
Atkinson, An Introduction to Numerical Analysis
course - C++
Deitel & Deitel, How to Program in C++
course - Computational Finance
Glasserman, Monte Carlo Methods in Financial Engineering
Joshi, C++ Design Patterns and Derivatives Pricing
Achdou & Pironneau, Computational Methods for Option Pricing
course - Portfolio Theory and Applications
Meucci, Risk and Asset Allocation
Grinold & Kahn, Active Portfolio Management
course - Applied linear regression and time series analysis (I used lecture notes)
Programming component of the program
There is a significant programming component with two fully programming class (C++ and Computational Finance), the program however had an option for the not so pragramming savvy people to take the business emphasis route and avoid this.
Projects
Projects were both individual and group work depending on the class although there were more individual. The projects range from re-performing the fama-macbeth cross-sectional regression method to get risk premia using past 10 yr stock prices of 10 securities using the S&P as benchmark to pricing a double barrier stock option in heston stochastic volatility model using ADI finite difference method or implementing the black-litterman asset allocation model to find the mean-variance optimized efficient frontier and frontier allocations for a given market portfolio.
Career service
The program has a dedicated full time career staff and she has organized quite a number of company presentations and info sessions, although most times the firms still refer students to their website (Morgan Stanley, Schonfeld Trading, Murex, Goldman Sachs, Bloomberg came this semester). Also the school itself has a number of career fairs and company info sessions that we leverage on for more reach, although the typical target there are the undergrad population. I was at the NYU/IAFE Math Finance career fair and I think I do appreciate the career efforts here better plus its free.
Can you comment on the social interaction between students of different ethnics, nationalities in the program?
Well yeah, we've got a Chinese group, an Indian group, a small American and the rest of us in between. Although this creates some barrier to harnessing the benefits of a diverse learning environment, it all depends on the individual to break such barriers. I interact very well with all groups in class and hang out for beer with them too, actually picking up some Indian and Chinese words now.
What do you like about the program?
At the end of the day, it is the rigor of this program that sells it. I remember a new student telling me she's thinking of a part time job since all the classes are in the evenings and she'd be bored... only two weeks into classes I saw the same student rushing to complete an assignment before time complaining that she spent most of the night going through the problems and only just figured out how to do it.
What DON’T you like about the program?
On top of the list here would definitely be it's price tag, we pay significantly more than other graduate student here even when taking the same course. Also, in my view I think it better to admit fewer and more qualified students so as to reduce the class size.
Suggestions for the program to make it better
Continue to take student recommendations about lecturers serious, they made some good changes after my first year. Try to get more employers to interview on campus as opposed to just coming around for info sessions.
What are your current job status? What are you looking for?
I work part-time with the funds management unit of a global investment banking and securities firm and currently seeking full time positions for June 2010.
