Can you tell us a bit about your background
Bachelor's in Statistics, NYU Stern School of Business (2001 -2005)
GPA 3.3/4.0
Pricewaterhouse Coopers LLP - Actuarial Associate (2005 - 2006)
I studied full time in the Stevens Institute of Technology MFE program from 08/2006- 05/2008
Did you get admitted to other programs?
Yes
Why did you choose this program (over others, if applicable)?
The flexibility to pursue rigorous, proof-based mathematics classes as electives if one decides to pursue a PhD in Financial Engineering in the future. Affordability. Proximity to NYC. Good reputation in engineering & science.
Tell us about the application process at this program
The application process was smooth and the professors responded in a timely manner to my questions.
They didn't have an online tracking system but good old phone calls are good enogh to track application status
Does this program offer refresher courses for incoming students?
Yes. C++ Programming.
Tell us about the courses selection in this program. Any special courses you like
6 core courses + 4 electives:
Core - Stochastic Calculus, Pricing and hedging, Portfolio Theory and Management, Computational Methods in Quantitative Finance, Advanced Derivatives (focused on Interest Rate and Credit Derivatives) and Financial Engineering project.
Electives: I chose Real Analysis 1, Real Analysis 2, PDE and Numerical PDE. I also took an extra class in Abstract Algebra out of interest.
I loved the proof-based math courses - Real Analysis 1 and Real Analysis 2 because it was well-taught by a professor who teaches well and inspires as compared to professors who are more interested in their own research.
I tried to prepare for MFE programs back as an undergraduate at NYU by enrolling in relevant proof-based math classes and struggled in those classes. I never understood the proofs clearly as professors didn't take the time to show us how to approach such rigorous material. I was obsessed with learning how to handle such math.
At the end of the day, the issue came down to the method of instruction.
Tell us about the quality of teaching
The core classes are taught by academics with industrial, practical experience.
It differs for the electives depending on what the student chooses as his/her electives.
As all of my electives are proof-based math classes, they are taught by math professors who also happened to be really good at teaching.
Which reading materials are used in the program
Futures & Options by Hull, Intro to Mathematics of Financial Derivatives by Neftci, Implementing Derivatives Models by Clewlow and Stickland,
Numerical Solutions of Partial Differential Equation by Morton and Mayers.
Other courses were taught using notes provided by the professors.
Programming component of the program
R, C++, Java, Matlab.
Projects
Financial Engineering project at the final semester. It is both research-based and requires coding. It can be both an individual or group project.
Some students work on research topics posed by professors. Others (some part-time students) work on topics encountered in their line of work.
Career service
Stevens has a stellar career service with exceptional placement for its main engineering and computer science graduates. However, it still has some way to go in placing its financial engineering graduates.
A couple of companies, Hudson River Trading, LLC and GX Clarke (a fixed-income trading house) recruits from Stevens.
What do you like about the program?
The flexibility to pursue relevant, proof-based math classes as electives.
I agree with Sylvain Raynes in his article on The State of Financial Engineering that learning about numerical methods, stochastic differential equations takes time and that such knowledge are best learned properly through a classroom setting, in a standard, rigorous manner.
What DON'T you like about the program?
The career placement.
Suggestions for the program to make it better
Stevens also has a Master's of Science degree program in Stochastic Systems, housed under the Department of Mathematical Sciences.
Stevens' MFE program can do more to collaborate with the Stochastic Systems program in providing a better quality education for its students. For eg. Convex Analysis and Non-linear Optimization (a course in Stochastic Systems program) can involve assignments on how to apply such concepts to Portfolio Management.
Stevens MFE can also follow the example of Baruch MFE in vigorously and successfully promoting its program and improving its career placement rate.
What are your current job status? What are you looking for? What would you prefer to work in?
I currently work in a reinsurance company in an actuarial position. I am looking to work in structuring teams of investment banks that focus on insurance companies. I am working towards that direction.
Other comments
How much one benefits from a particular MFE program depends on how much work one is willing to put in and whether that MFE program fits the interests/aims of a student.
