If you want to work in quant finance, don't do MFE/CQF. Get a degree in math, physics, CS or EE like ~90% of existing quants.https://twitter.com/paulg/status/1416002575862804482 …
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Most of PDEs pricers are stochastic calculus based. If you're not doing the math somebody already has done it already and programmed the solver you're currently using. However if you work in quant risk you cannot escape the math at all.
I'm talking about the part of quant finance that doesn't touch options at all. Electronic trading, market making, execution, stat arb, quant hedge funds, fixed income, risk (on delta one). That is probably > 50% of quant nowadays!
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Basic statistics is helpful though :) I 'm constantly amazed how few people a) get the basic concepts on an intuitive /automatic level b) think that various probability/stats questions are easy and numerical intuition generally works
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Absolutely! Just not stochastic calculus specifically.
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I can't speak for all of them but in market making you better know how to do stochastic control and in risk what Sobolev space are. It's true most of quantitative finance is automatized but imo automation is only working when you have a math guy who can see what's going on
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It's just that you need 1-3 guys like than and 10+ devs nowadays.
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Unless you’re the one actually building/maintaining the library, even on the degenerate (exo deriv) side, you’ll at best need an appreciation of stochastic calc. Which is to say you can name drop Itô at pints with your risk manager.
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Wait until new stuff coming like desining trading strategies with rough vol without having some stochastic calc under your belt. It's good and scary at the same time that traders trust quants enough that they can trade without thinking about all of that
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