What's the math of quants?

[CSM]

Hi. I'm a math student, but I don't want to become a quant (in fact I don't even know what a quant is, even after reading some introductions). Now my question is: what is the math that a quant encounters? Could you elaborate on the subjects you have to master and wich you think is the hardest?

Thanks in advance.

 

[Tsotne]

Hi.

in fact I don't even know what a quant is

http://www.markjoshi.com/downloads/advice.pdf

Hope this gives the exhaustive information about quants. After reading this article you'll have a solid understanding of a quant responsibilities and what they do. In short, I'd add that the mathematics of all kind is used for a quant job. Statistics and Stochastic calculus. Stochastic math is the hardest I think. But that's not enough to become a quant. You also need to know a programming skills.

 

[bigbadwolf]

Stochastic math is the hardest I think. But that's not enough to become a quant. You also need to know a programming skills.

I wonder how many quants really have an in-depth knowledge of stochastic, and whether it's really critical to quant success. Programming skill and experience, on the other hand, is indispensable.

 

[Tsotne]

I wonder how many quants really have an in-depth knowledge of stochastic, and whether it's really critical to quant success.

Not critical for some types of quant. But still, "Quant" can be associated with knowing stochastic mathematics. For some types of quant there's no need to have an in-depth knowledge of it. For example a C++ developer might not be required to have an experience or knowledge of it. But consider some traders making decisions in seconds time. They have to have an understanding of stochastic processes. That's my opinion

 

[daleholborow]

I've found Wilmotts books to be an excellent example of stoch calc in practice... not like a full blown Klebaner-level rigorous treatment, but a simple, every-man's "this is what it is, and this is why it's used, and this is when it can be appropriate".

I think Paul has a quote something like "all financial maths is ultimately discounting cashflows", which reminds me of another maths quote i like, something along the lines of "all mathematics at its essence, is counting".

 

[pruse]

I wonder how many quants really have an in-depth knowledge of stochastic, and whether it's really critical to quant success. Programming skill and experience, on the other hand, is indispensable.

How can you effectively program something if you don't understand the mathematics that governs it? No matter how good a programmer you are. Both programming and mathematics are equally indispensable to a quant.

 

[bigbadwolf]

How can you effectively program something if you don't understand the mathematics that governs it? No matter how good a programmer you are. Both programming and mathematics are equally indispensable to a quant.

Let's put it this way: I like Wilmott's Intro to Quant Finance, and I like George Levy's little-known Computational Finance using C and C#. Both cover stochastic ideas -- the first in a heuristic manner, and the second in accelerated form (roughly 30 pages). I also like Lyuu's Financial Engineering and Computation, and Back's A Course in Derivative Securities for the same reason I like Levy: the amalgamation of math ideas, algorithms and code (or pseudo-code).

I can't understand books like Karatzas and Shreve, nor Revuz and Yor. I can understand Klebaner, but it seems like a lot of hard work, and mostly wasted.

I do know idiot courses being taught by idiot professors, where pure math rigor is the order of the day (on a foundation, say, of measure theory and Lebesgue integration). The "understanding" may be rigorous -- but it's completely unnecessary for a quant.

 

[Tsotne]

How can you effectively program something if you don't understand the mathematics that governs it? No matter how good a programmer you are. Both programming and mathematics are equally indispensable to a quant.

I agree with both ideas but here we focused on "Stochastic calculus", so it is not a MUST to have a knowledge of stochastic math in order to program something different. All C/C++/C# developers do not create programs those are related to stochastic math. Still for me quant is associated to knowing stochastic mathematics.