Fixing Quant Finance Curriculum

Many of the quantitative finance masters programs are struggling to stay competitive as more quant finance masters pop up at every school looking to make some extra money and with the range of other masters degrees such as machine learning, statistics, operations research, and more. Part of the main issue is the curriculums of most programs is outdated or too general. Today I present what would be a much better curriculum from practitioner's perspective. A few of the classes I have not seen listed at any university.
The Problem with Current Curriculums: (0:00)
CLASSES:
Sampling Theory and Distributions (5:48)
Inferential Statistics (6:34)
Time-Series (7:26)
Stochastic Processes (7:51)
Applied Econometrics (8:26)
Financial Products (9:19)
Risk Management: Firm Structure and Models (10:07)
Machine Learning for Finance (11:40)
Machine Learning for Time-Series (11:50)
Career Development (12:08)
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[@emmanuelameyaw6806]

CLASSES: 1.Sampling Theory and Distributions (5:48) 2.Inferential Statistics (6:34) 3.Time-Series (7:26) 4.Stochastic Processes (7:51) 5.Applied Econometrics (8:26) 6.Financial Products (9:19) 7.Risk Management: Firm Structure and Models (10:07) 8.Machine Learning for Finance (11:40) 9.Machine Learning for Time-Series (11:50) 10.Career Development (12:08)

[@Capitalust]

This is the quality content I am here for. Finishing up a masters in financial mathematics and because of this channel I was able to better curate my curriculum towards industry. Much appreciated Dimitri!

[@DimitriBianco]

Thank you for the feedback!

[@desaint9469]

Love the Video Mr Dimitri. Thank you for guidelines.

[@alex_8704]

A very interesting topic. Thank you very much for covering this. 👍🏻👍🏻👍🏻

[@juanignaciofernandezdelias7585]

Your videos are amazing keep making them, it's helpful for quant community. Can you recommend bibliography for each course mentioned? Thanks!

[@daanialahmad1759]

Dimitri, The first set of classes could be taken in Statistics Graduate department. Analysis of Financial Time Series by Ruey Tsay is a good book Statistics for Financial Engineering in R by Professor David Ruppert and Professor David Matteson covers practical stuff of things you mentioned such as VaR , Expected Shortfall. Professor Ruppert with other Authors published one book on Semiparametric Regression in R as well

[@jeremiahnwosu4929]

Thanks Dimitri. I don’t know about the rigor, but this kind of reflects what my current curriculum entails. With this guide, I definitely know what to focus on more.

[@jasdeepsinghgrover2470]

Which University?

[@vaibhavmalviya6160]

Looking at the initial four that you named, now I get it why you prefer students with Masters in Statistics haha !!

[@jasdeepsinghgrover2470]

Thanks for another amazing video! I doubt though any University will listen to this. Most will look at courses in other fields and give you spinoffs of those. Unfortunately that's what I have seen.

[@emmanuelameyaw6806]

You can learn yourself, why go to university.

[@carlobremski9427]

Sounds like a great list of topics to learn. Since this course curriculum doesn't exist, do you know which books would cover these topics?

[@TheAvenger2012]

Very insightful, I did a theisis in "engineering" a variance and Kurtosis contract using mainly options and all the complex model to make it realistic. Now as a practician I am principally doing Risk management for a derivatives market making firm... As a individual I can only invest into straddle etc... because of Non-OTC assess.. I understood it the hard way 😂

[@pranavkambalimath3374]

Love the video Dimitri! Currently looking at what masters to pursue myself - from BSc Mathematics. Noticed you mostly speak about American courses is there any chance you could look at British courses for quantitative finance / math finance / comp finance?

[@M9a3]

us is better than uk in quant firms

[@pranavkambalimath3374]

@@M9a3 I know but I'm currently studying in the uk and looking for masters in the uk

[@Sam-yu4ve]

do oxford MCF, imperial mathfin or ucl CF

[@pranavkambalimath3374]

@@Sam-yu4ve they are my top choices so far, but right now I'm wondering whether I choose LSE's financial maths over UCL's comp finance just because I am currently at UCL and maybe having both unis on my cv would look better.

[@Sam-yu4ve]

@@pranavkambalimath3374 lse finmath only accepts a very small number. I think their program lacks coding personally. U should apply to multiple programs anyway as acceptance rate for all is low

[@kevinhambone]

Hi Dimitri, I wanted to get your opinion on something... as far as an educational program goes, have you looked at the harvard extension Masters program in data science / finance? about 1/3 - 1/2 of the classes are taught by faculty professors, the other are taught by people in the field - like head of US model validation group from top 20 bank, which might be more applicable to real life. I have an undergrad in economics, looking for something online and just want a decent education. can you piece together a curriculum from the options that's worth it? I really don't want to spend my life explaining what the extension school is, but the other elements (online, choose a lot of your electives) seem ok if the content is good. You're the only person I trust to be honest on the issue. Thanks

[@markoveljanovski881]

Hey Dimitri, I’m a current undergrad at Northwestern studying math & CS. I noticed you didn’t mention any classes on PDEs or classes in numerical methods which is usual coursework in applied math departments. Are such courses useful, or is it just better to focus on Probability/Statistics?

[@DimitriBianco]

This curriculum is directed at masters degrees. Most programs require Calc 1-3, ODE, and pde from undergrads before they start a masters. Introduction to probability and statistical inference are also common requirements.

[@wangjamie-vv2pf]

do you think financial engineering era on derivative pricing will ever come back? i am a math ms student in the US focusing on control theory and i am graduating soon. i wish i could see your video earlier before taking a bunch of pricing/prob courses.

[@DimitriBianco]

There is still a market for derivatives. I don't think it will boom anytime soon but there are still jobs in that area as long as you really specialize. The problem with the current programs is that most are too general to do anything specific. I had a friend go into MBS which is a small industry now but he was really dedicated in taking classes and studying to get into that area.

[@MilkTea-sx8gd]

Hi Dimitri. What books or videos would you recommend for stochastic processes? Additionally, what kind of math and stats background is necessary for tackling this subject?

[@gjsksn]

Its stat subject, so u need to know basic statistics and probability

[@dovi77]

Elements of Stochastic Processes: A Computational Approach by Douglas Howard is very insightful

[@6Ligma]

Dimitri, my current program has some of these, except "econometrics" , "inferential statistics" and "machine learning". For michine learning, I'm self studying through online courses. But I don't know what to study for "econometrics" and "inferential statistics". Is Gujarati's book good? Or do you recommend something else?

[@DimitriBianco]

Here is a video on my favorite book. kzbin.info/www/bejne/q3ybi6CBjNN1q7M Also check out Ben Lambert on KZbin. He's the only channel I've found who is 100% accurate and his teaching is great!

[@6Ligma]

@@DimitriBianco Thank you Dimitri. Appreciate it. Do you have recommendations on how to put these on my CV when I watch/read them? Should I put them in the "relevant coursework" section?

[@DimitriBianco]

@saeidh7049 yes, putting them under the relevant courses is a good place to list it. It allows the interview to ask questions about it.

[@michaelsorooshian5481]

can you talk about good mfe programs in the US vs. bad ones?

[@adisurani9092]

A follow-up video might be a syllabus / table of contents / 10-12 lecture titles for each of these courses. It would be highly appreciated! (BSc. CS + MEng. in CS here, trying to transition towards QFinance)

[@gjsksn]

In my quant finance undergrad program, requirement is exactly same as what u said (stats,linear regression,stochastic process,time series, some easy econometrics,(like first and second year course). And 2 basic finance course in 2nd yr, 3-4 yr for heavy math,stat finance course(i need to take time series, stochastic process,differential equation etc before i take those finance course), and lastly, from cs, we take ML,advanced ML(its choice), numerical method. I always wanted to be a quant and i always watching ur video to get advice, seems like i learn most of what i need to become a quant, my question is i do not need to take statistical inference even tho i can take it, its not my requirement, should i take it? To become a quant? (Since i am also doing cs major, its kinda hard to take inference course) but i will take it if its really important.

[@DimitriBianco]

Yes, statically inference is actually the majority of what quants do for model development. If you are wanting to work in a competitive quant market like the USA or UK you'll need a masters. As you can see, time is a limiting factor which is one reason why a masters is required.

[@gjsksn]

@@DimitriBianco thank you for answering! I will take inference course, and one more, is there good way to study financial derivatives? Since i am taking that course and i found that this course maybe harder than cs,math courses, since i am not familiar how to study finance course, any book to suggest? This course is same as third year business finance couse

[@TheKenguruTV]

Hi Dimitri, Currently finishing up my bachelors in Finance. I'm accepted to bachelors + masters in pure mathematics next fall. Do you think finance mba and bachelors in pure maths is enough to get work as a quant? Or should I focus more on maths?

[@DimitriBianco]

You'll need to focus more on math and stats. A graduate degree in a quantitative area is a minimum requirement.

[@kekw2262]

I'm currently an undergraduate, and I'm wondering if Statistical Learning or Monte Carlo Methods would be more applicable to Quantitative Finance

[@DimitriBianco]

Monte Carlo would fall into the distributions course. Statistical learning is just machine learning which would fall into the ML courses.

[@bryanjp79]

I agree with you with there are less jobs on derivative and pricing. But I disagree with you of taking out Financial Engineering/Derivative Pricing (including Black Scholes) completely. Even credit risk side models Merton model is relying on BS, it would be useful to know.

[@DimitriBianco]

You're thinking on the market side of credit risk. The majority of credit risk doesn't use option pricing. I've been on the sell side for almost a decade doing credit, operational, market, and regulatory risk and not once needed option pricing.

[@thabomotloi759]

South Africa(UCT) also has one of the best MFE programs in the world tbh

[@obakengmahlwana8239]

What’s the Masters called? The specific ones that I’ve seen are found at UP and UJ.

[@morischacter1076]

How many people recognize you when they are getting interviewed?

[@DimitriBianco]

Not as many as I expected. I think it is about half. Even at conferences usually only one or two people stop and say hi.

[@SrivalliMuthu]

Please start a program. I will be your student 👩‍🎓

[@emanuele9082]

10:07

[@JensN113]

Could you add reading material for each class?