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[Offer榜] 求问下Purdue 计算金融怎么样？ [复制链接]

grey_man
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76楼

发表于 2015-5-19 23:39:10 |只看该作者

cheesechan 发表于 2015-5-19 22:48
i will say it is already an achievement if a switch in location is done............unless you plan ...

我当前工种也是data analyst，薪水应该不比很多非美top校应届毕业的data analyst在NY的薪水低，而且我负责的一个数据在我厂财报都会引用。如果读完书工种没变，即便未来换了地点，恐怕不会有成就感。被动的一切只因自己不给力，what a 衰。

Data analyst的苦恼在于情理数据的代价真的很大，多元统计用的都不多。清理好脏数据，拿简单的加加减减得到数据就挺靠谱的。业务里面什么预测啦，分类啦种种目前都很少用了...目前还不想这么早就走经验路线（或许是我当前工作也确实没有发挥空间了，nlp，图像啥的要敢用这些粗暴方法会被虐死）。

另外，我评价自己编程3分，数学7分...我是个会数学的非纯粹码农，尽管只是小本。

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cheesechan
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77楼

发表于 2015-5-20 00:15:38 |只看该作者

本帖最后由 cheesechan 于 2015-5-20 00:57 编辑

grey_man 发表于 2015-5-19 23:39
我当前工种也是data analyst，薪水应该不比很多非美top校应届毕业的data analyst在NY的薪水低，而且我负责 ...

and thus according to this logic, you should apply again next year.........

MFE出來related的工作絕大多數都是technical interview, 課程硬度和相關性讀soft business major沒所謂, 但是搞technical的會出事.......

in general, I will expect something like this in an MFE:

1 core in stochastic calculus
1 core in equity derivative / continuous time finance (from pricing under eqv. martingale measure, BS proof, to various extension like optimal stopping for American and may be some analytical form for exotic)
1 core in computational method for it (numerial PDE: finite difference side + MC simlution, of course in detail; seldom we can solve the pricing PDE analytically anyway)

on the Q side:
1 course (core/elective) in interest rate model (term structure of course (Brigo, Damiano and etc level and etc), covering short rate model + some LMM at least)
1 course (core/elective) in credit risk modeling (structure, reduce, and also copula and etc. for multiply name product like CDO and etc.)
1 elective in implied vol surface (local vol, stochatic vol, calibration.....)

on the P side:
1 course in financial time series (GARCH and whatever)
1 course in quantitative risk (VaR, ES, credit portfolio, etc, maybe also some CVA and etc nowadays............which is not the one for MSF/MBA)

most likely also course in C++
also may have some topic course like: quantitative asset management, algo trading with macheine learning, a half course in FX / commodity derivative, another course in exotic like MBS modeling, some stuff in market microstructure, maybe also some bayesian stat stuffs.

if you compare the program structure of a top/good MFE with this scheme, you will find that it will have most of them (of course not all......and different program have different emphasis, i.e. style)

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78楼

发表于 2015-5-20 00:44:30 |只看该作者

cheesechan 发表于 2015-5-20 00:15
[quote]grey_man 发表于 2015-5-19 23:39
我当前工种也是data analyst，薪水应该不比很多非美top校应届毕 ...

辞职的决心还没有下定。有点想妥协了。

最近被拒了论文中也学习了点儿隐含波动率的东西。真是个全新的未知领域。

讲的太好了。收藏你这段话给我自学用。

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79楼

发表于 2015-8-21 06:38:56 |只看该作者

本帖最后由 grey_man 于 2015-8-21 06:45 编辑

cheesechan 发表于 2015-5-20 00:15
and thus according to this logic, you should apply again next year.........

MFE出來related的工作 ...

Chan哥还有其他大侠, 已经身在Purdue了，如果不忙的话有空求给些选课建议。

简单说下最近感受，Purdue距离芝加哥做大巴2.5小时车程，地理位置欠佳。项目偏学术，据前人讲想转博的基本都成功了，4门基础课可以选择匹配qualify的课（学术型）或者偏技术类的课。数学系之前没怎么招Master in CF方向的学生，今年招收了6个（5 ms + 1 phd)，目前认识的除了我，一个武大数理金融班，一个南开物理+金融双学位，一个印度的为了移民的31岁小伙，5年孟买某公司高频交易员经验（印度理工Madras分校本科（机械工程+金融数学双学位）+ University of Birmingham 数理金融小硕），当然他们的GPA啥的背景我就没咋问了。可能一般。统计系走了个副教授（研究Calibration methods and portfolio optimization problems in continuous-time models），数学系来了个巴黎六大PHD毕业的正教授，研究stochastic analysis and PDEs, fractional Brownian motion，似乎偏学术。

项目学期制，学多少钱都是一个学费，只不过GPA太低也不太好了。

除了必选专业课（21学分，概率，测度论，偏微分方程，代数，数理金融，广义线性模型，数值方法）以外，

计划技术类再选（12-15学分）：
Simulation Design and Analysis（可能涉及MCMC）
Financial Times Series
Bayesian statistics in finance
Design and Analysis of Financial Algorithms
如果有精力想再修门
数值线性代数（涉及求解稀疏问题）

金融的课选（约15学分）

MGMT 60000 - Accounting For Managers (选这个纯是因为610的先修课）
MGMT 61000 - Financial Management （此课是很多课的先修课）
MGMT 64100 - Options And Futures
MGMT 64300 - Financial Risk Management
MGMT 64400 - Venture Capital And Investment Banking
MGMT 61601 - Seminar In Capital Markets I (据说是增加认识人的机会）

这样组合起来就快50个学分了（毕业只要34）。肯定得有些课要放弃，可能还有些课不用选，考CFA或者偏技巧的可以自学。

哪些课可以删掉，哪些没提到的课也望帮忙看看。

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cheesechan
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80楼

发表于 2015-8-21 23:06:33 |只看该作者

grey_man 发表于 2015-8-21 06:38
Chan哥还有其他大侠, 已经身在Purdue了，如果不忙的话有空求给些选课建议。

just a bit opinion:

1. choose the minimum finance course if possible since general finance can be self-study and proved by taking CFA, thus just need a couple of course to have the basic and know a bit more people.

Course in the core elective list that sounds to relevant are Option and Future (but John Hull book should be easy anyway), Financial Risk Management, Portfolio Management, Design and Analysis Financial Algorithms. (put aside pre-req, if i were you i will go for STAT598, MGMT643 and MGMT614 only for this part, and save more time on other solid CF course)

In terms of job seeking, I believe having classmate in the industry but at more senior level are the most helpful. What I mean for "in the industry" is not only financial industry, but also depends on the division the guy is in, for example, imagine how difference can it be between, say compliance, DCM, structuring, risk, operation, and etc.....and coursework is just one of many way of networking.

2. Don't suggest to go with too many theoretical (pure/applied) mathematics at master level unless you plan to go for PhD. At master level, mathematics that are useful for hand-on role are those financial engineering model course like interest rate, credit, volatility model in additional to basics in stochastic calculus and the computational method course (an applied one which covers things like numerical method for diff eqn, simulation, but not numeical linear algebra I guess).

Of course given that there are less exotic recently, it is a question if it worth to devote too much time on those Q side stuffs, but given the lack of the practical FE course, if I were you I will take more statistics, and maybe also data mining / meachine learning stuffs. Look into the statistics department more as it seems to have more interesting CF course also. (e.g. Fina Time Series, Bayesian Stat (this should come with MCMC?), Fina Model with Jump, Seminar in CF, and etc...)

In the math course list (http://www.math.purdue.edu/academic/courses/), be honest I don't see any CF course except the core of the MS requirement. Maybe a couple more like Probability Theory II, Stochastic Processes, but they are defintly for PhD preparation only)

Be frank I dont see (I can miss some for sure) that much couse to be choosen, and indeed........maybe preparaing more time for a thesis, or even find a RA under a prof in the field is more useful.

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发表于 2015-8-22 00:47:44 |只看该作者

cheesechan 发表于 2015-8-21 23:06
just a bit opinion:

1. choose the minimum finance course if possible since general finance can ...

In the computer in the library, I can only type in English.

1, the India guy did ever suggest me to take Option and Future, Financial Risk Management, Design and Analysis Financial Algorithms, and Seminar, which is quite similar like yours. Even if I want to find a job in an Investment Bank, he suggested I can consider to take the course related to Investment Banking. I didn't imagine I need to take the two prerequisite courses. Let me just ask the coordinator for help.

2, About the theoretical course selection, it seems a little coward because I leave me another chance to get a PHD if one year later I found myself interested in it. It is a big gamble for sure if I choose to work after the 2-year study, I just wish the working experience would make up a little for that.

I indeed prepare to take lots of courses in STAT or CS department, cause there are too many pure mathematic course in Math Dept. Since stat and math are originally in the same department and currently still in the same building, there is no course limitation when I want to choose these courses (I need to contact the prof in the management dept. when I want to register theirs).

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发表于 2015-8-22 00:48:02 |只看该作者

cheesechan 发表于 2015-8-21 23:06
just a bit opinion:

1. choose the minimum finance course if possible since general finance can ...

By the way, thank you so much.

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83楼

发表于 2015-8-22 04:35:06 |只看该作者

本帖最后由 cheesechan 于 2015-8-22 04:36 编辑

grey_man 发表于 2015-8-22 00:47
In the computer in the library, I can only type in English.

1, the India guy did ever suggest m ...

1. course in investment banking......well, 咁講啦, 讀完MFE, 去investment bank做investment banking的絕對是極少數. (if you hv no idea, check up what IBD, ECM, DCM M&A之類是幹嗎的吧, 要幹這樣的去讀個MBA, JD, Account好了........雖則以上全部不及家底有用), i.e. taking course in investment banking to prepare a MFE student work in a investment bank is a joke........

MFE在ibank對口的division是甚麼? suggest you check up yourself to build up the market sense la.

2. well........if you want to reserve the right to go PhD, in the maths department, the useful one are some more prob theory, SDE of courses, stochastic process, and some kind of whatever analysis/measure (which I don't know......) and etc..

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84楼

发表于 2015-8-22 08:53:10 |只看该作者

cheesechan 发表于 2015-8-22 04:35
1. course in investment banking......well, 咁講啦, 讀完MFE, 去investment bank做investment bankin ...

好，我考虑下证券管理。:$

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发表于 2015-8-28 05:14:58 |只看该作者

grey_man 发表于 2015-8-22 08:53
好，我考虑下证券管理。

horrible translation of the term.............
這樣說吧, 搞金融, 尤其是金工的, 說到專業相關名詞還是用英語的算了吧.......

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发表于 2015-8-28 08:45:18 |只看该作者

cheesechan 发表于 2015-8-28 05:14
horrible translation of the term.............
這樣說吧, 搞金融, 尤其是金工的, 說到專業相關名詞還是 ...

好。

再求个建议。如果只有一个选择，两个课选哪个，我看NYU也有scientific computing这课http://math.nyu.edu/financial_ma ... /03_program/04.html ，是不是数值分析更重要？

CS Numerical Analysis
Iterative methods for solving nonlinear; linear difference equations, applications to solution of polynomial equations; differentiation and integration formulas; numerical solution of ordinary differential equations; roundoff error bounds.

STAT 52500 - Intermediate Statistical Methodology
Statistical methods for analyzing data based on general/generalized linear models, including linear regression, analysis of variance (ANOVA), analysis of covariance (ANCOVA), random and mixed effects models, and logistic/loglinear regression models. Application of these methods to real world problems using SAS statistical software. Typically offered Fall Spring.

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87楼

发表于 2015-8-28 18:01:12 |只看该作者

grey_man 发表于 2015-8-28 08:45
好。

再求个建议。如果只有一个选择，两个课选哪个，我看NYU也有scientific computing这课http://math ...

I will tend to go with the numerical analysis.......
seldom see ANOVA/ ANCOVA, random and mixed effect model are used in finance (but logistic/loglinear model can be useful in classification, e.g. some credit stuffs, but still not that much, while numerical analysis are the foundation for various numerical solution in computational finnce)
but indeed......Numerical Analysis這類較為foundation / theory的course, 其實應該是用來served as foundation to study application / practical course, i.e. e.g. do it in bachelor, and then in MFE do the numercal method in computational finnce, or do it at grad school level, and do reseaarch in computational finance at PhD...........

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88楼

发表于 2015-8-29 23:35:06 |只看该作者

cheesechan 发表于 2015-8-28 18:01
I will tend to go with the numerical analysis.......
seldom see ANOVA/ ANCOVA, random and mixed e ...

Got it, thanks.

I have ever learnt it in my undergraduate study, however, that course is a little weak, and I didn't receive enough knowledge in the 5-credit course despite with 95 score. So I am considering to take it again.

Maybe the logistic regression can be found in the machine learning course.

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