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The Top 10 Quant Schools, According to the Street(Wall Street & Technology Via Acquire Media NewsEdge) Quantitative analysts are in high demand on Wall Street as electronic trading and the use of complex algorithms to access liquidity continue to proliferate. While in the past quants often have been Ph.D.s in the academic world before crossing over to the Street, today there are more and more programs geared specifically toward preparing quants for financial services jobs. These programs typically offer a Master in Financial Engineering (M.F.E.) degree, but many offer similar degrees, including a Master of Science in Financial Engineering (M.S.F.E.), a Master of Science in Financial Math (M.S.F.M.), a Master of Science of Mathematics in Finance (M.S.M.F.) and a Master in Mathematical Finance (M.M.F.). While the degrees may not be uniform from university to university, the programs, or "quant schools," typically run one to two years long, are heavily focused on math and have a programming element. Students usually enter these programs either right out of college or after a year or two in the workplace. These programs are not aimed at typical M.B.A. candidates, and generally require a heavy math focus in undergrad work. But with so many programs now available, which ones best prepare quants for the rigors of Wall Street, and which are most likely to land graduates a job at a top firm? For the first time ever, Advanced Trading has assembled a board of esteemed Wall Street veterans, each with an academic background that eventually led him down the quant road. The board was charged with selecting the top 10 quant schools, based on Wall Street recruitability - the programs from which Wall Street firms recruit and the programs that produce the best quants (and why). Our board comprised Robert Almgren, cofounder of Quantitative Brokers, adjunct faculty member at New York University Courant Institute's Mathematics in Finance program and former director of the Mathematical Finance program at the University of Toronto; Ian Domowitz, managing director of networking and analytical and research products at ITG; Steven Janowski, head of financial engineering at FX Solutions; and Leo Murphy, manager of Trading Technologies' University Relations Program. (For more on our board members, see the Quant School Selection Board Member Bios, page 35.) The 10 board-selected schools are Carnegie Mellon University, Columbia University, Cornell University, New York University, Princeton University, Rutgers University, Stanford University, University of California at Berkeley, University of Chicago and University of Michigan. While they vary in course requirements and curriculum, our board agrees that these are the top schools for candidates looking for quant jobs on the Street. Following, in no particular order, is a brief description of each program. The information was culled from our board as well as the programs' Web sites. Carnegie Mellon University Degree: Master of Science in Computational Finance (M.S.C.F.) Program Description: One of the first quantitative finance programs, Carnegie Mellon's M.S.C.F. program is steeped in quantitative analysis and information technology. The program involves collaboration among the Heinz School of Public Policy and Management, the Department of Mathematical Sciences, the Tepper School of Business, and the Department of Statistics. The M.S.C.F. program includes 35 full-time students at Carnegie Mellon's Pittsburgh campus, and 25 full-time and 30 to 40 part-time students at the New York campus. Location: Carnegie Mellon's Pittsburgh and Manhattan campuses Program Age: 15-plus years Term: 16 months Class Size: 75 Placement: For the December 2006 graduates average starting salary was $96,000. About 86 percent of the December 2007 graduating class was employed by companies including Merrill Lynch, JPMorgan, UBS and Credit Suisse; two-thirds found jobs in New York City. Web Site: www.tepper.cmu.edu/master-in-computational-finance/index.aspx Director: Richard Bryant. Bryant received a B.A. from Denison University in 1975 and an M.B.A. from Carnegie Mellon in 1980. Following six years with H.J. Heinz Co. in the corporate M&A and treasury areas, Bryant became Reebok International's treasurer in 1988. In 1993 he joined Hefren-Tillotson, a broker-dealer and investment adviser, as CFO. Bryant joined the Tepper School in 1999 as executive director of Carnegie Mellon's Computational Finance Program. Columbia University Degree: Master of Science in Financial Engineering (M.S.F.E.) Program Description: The M.S.F.E. degree falls under the School of Industrial Engineering and Operations Research. The curriculum is heavy in math and programming. On Monday nights, the program hosts Financial Engineering Practitioners Seminars, at which Wall Street and industry practitioners present seminars on their recent research or particular specialty, and where students can hear firsthand about life in the financial services world. Location: Manhattan Program Age: NA Term: 12 classes, 1 year Class Size: 65 to 70 Placement: The program leads to positions in securities, banking, and financial management and consulting industries, or as quantitative analysts in corporate treasury and finance departments of general manufacturing and service firms. Web Site: www.ieor.columbia.edu/pages/graduate/ms_financial_eng Director: Emanuel Derman. Derman earned a Ph.D. in theoretical physics from Columbia University. He is coauthor of the widely used Black-Derman-Toy interest rate model and the Derman-Kani local volatility model. In 1985 Derman joined Goldman, Sachs & Co., where he became a managing director in 1997. In 2003 he became director of the program in financial engineering at Columbia University and also assumed the role of head of risk management at Prisma Capital Partners, an alternative investment specialist. Cornell University Degree: Master in Financial Engineering (M.F.E.) Program Description: The M.F.E. degree falls under the School of Operations Research and Information Engineering (ORIE). The program is based on Broad Street in lower Manhattan. Each January the Master of Engineering program presents a Meet and Greet the Street event. The event features an industry speaker and networking opportunities, and is attended by alumni, potential hiring firms and participating financial engineering students. Location: Manhattan Program Age: NA Term: 17 courses, 1 year Class Size: 40 Placement: The Master of Engineering Internship Program for Registered Financial Engineering Students offers the opportunity to apply for summer internships with financial services firms in New York City and elsewhere. The goal is to provide graduate students with real Wall Street experience in the middle of their studies, and to enable them to obtain summer internships that often lead to full-time job opportunities. Web Site: www.orie.cornell.edu/orie/fineng/masters Director: Victoria Averbukh. Averbukh received a B.A. in mathematics from New York University, and an M.S. and Ph.D. from Cornell ORIE. After completing her Ph.D., Averbukh worked in fixed income research at Salomon Brothers (now Citigroup) as a strategist covering U.S. Treasury futures, and later in mortgage-backed securities. In 2004 she joined Deutsche Bank, where she became the head of structured residential mortgage-backed securities research. New York University (Courant Institute) Degree: Master of Science of Mathematics in Finance (M.S.M.F.) Program Description: The program has a strong pragmatic component, including practically oriented courses and student mentoring by finance professionals. The faculty includes members of the National Academy of Science and the National Academy of Engineering; and winners of the National Medal of Science, the Kyoto Prize and recognition from the National Science Foundation. About 10 percent of program applicants are accepted. Location: Manhattan Program Age: NA Term: 12 courses, 1 year Class Size: 35 full-time, 90 to 100 part-time Placement: Nearly 100 percent job placement over the past two years. Students typically place in research, trading, asset management or risk management groups at firms such as Goldman Sachs, JPMorgan Chase, Merrill Lynch, BlackRock and BNP Paribas. Web Site: www.math.nyu.edu/financial_mathematics Director: Peter Carr. Carr currently is head of quantitative research at Bloomberg LP and has been the director of the NYU master's program in mathematical finance since 2003. He headed equity derivatives research groups for six years at Banc of America Securities and Morgan Stanley. He received his Ph.D. in finance from UCLA in 1989 and is credited with coinventing the variance gamma model, inventing static and semistatic hedging of exotic options, and popularizing variance swaps and corridor variance swaps. Princeton University Degree: Master in Finance (M.F.) Program Description: Princeton's M.F. program emphasizes financial economics in addition to financial engineering and computational methods. Graduates focus on fundamental quantitative tools from economic theory, probability, statistics, optimization and computer science. The program combines courses from the department of economics, the department of operations research and financial engineering, the department of computer science, and others. Location: Princeton Program Age: 9 years Term: Can be completed in either two or four semesters Class Size: In 2008, 650 completed applications were received, and admission was offered to 40 applicants (7 percent); 30 enrolled (75 percent). Placement: More than 90 percent of the 2008 graduating students received offers of full-time employment as of April 2008. Firms hiring from the program include JPMorgan, Lehman Brothers, Goldman Sachs, Credit Suisse, Citadel Investments, Citigroup, Merrill Lynch and Morgan Stanley. Web Site: www.princeton.edu/bcf/graduate Director: Yacine Ait-Sahalia. Ait-Sahalia received a Ph.D. in finance and econometrics from MIT in 1993 and has served as director of the Bendheim Center for Finance at Princeton since 1998. Stanford University Degree: Master of Science in Financial Math (M.S.F.M.) Program Description: The curriculum is a mix of math and business courses. The M.S.F.M. program falls under the math department, and graduates are focused toward jobs in the finance industry. Alumni are employed by companies such as Morgan Stanley, Goldman Sachs, Lehman Brothers, Deutsche Bank, Merrill Lynch, Credit Suisse, Barclays, JPMorgan, Citi and UBS, as well as hedge funds and banks. Roughly 15 percent of applicants are admitted to the program. Location: Palo Alto, Calif. Program Age: 9 years Term: 15 to 16 classes, over 15 to 18 months Class Size: 40 Placement: Of program graduates, 15 to 20 percent continue on to higher education (Ph.D. or faculty positions), while 80 percent to 85 percent assume positions in the financial industry, typically as quantitative modelers or traders. Web Site: http://finmath.stanford.edu Director: Tze Leung Lai. Lai received a B.A. with first-class honors from the University of Hong Kong, and an M.A. and Ph.D. from Columbia University in 1970 and 1971. His research interests include sequential experimentation, adaptive inference and control, stochastic optimization, time series analysis and forecasting, regression analysis of censored and truncated failure time data, design and analysis of clinical trials, probability theory, and stochastic dynamical systems. Rutgers University Degree: Master of Quantitative Finance (M.Q.F.) Program Description: The Rutgers program provides a balance between quantitative skills and financial knowledge. Firms including ABN, Barclays, Citi and JPMorgan have hired graduates for positions as analysts, risk managers and modelers. The program's executive board includes top Wall Street executives. Location: Newark and New Brunwick, N.J. Program Age: NA Term: 17 courses, 2 years Class Size: 30 Placement: M.Q.F. program graduates are placed in Wall Street firms such as banks, hedge funds, mutual funds, pension funds, insurance companies, consulting companies and even financial software firms. Web Site: www.business.rutgers.edu/default.aspx?id=341 Director: Yangru Wu. Wu received a Ph.D. from Ohio State University in 1993. He has held assistant professor positions at the Chinese University of Hong Kong and West Virginia University. Wu's research interest areas are international finance and empirical asset pricing. University of Chicago Degree: Master of Science in Financial Mathematics (M.S.F.M.) Program Description: The University of Chicago's M.S.F.M. program offers an integrated program of theoretical and applied mathematics and practical applications to derivatives pricing and the management of financial assets. Location: Chicago Program Age: 12 years Term: 15 courses, 1 year full-time or 3 years part-time Class Size: 50 Placement: Graduates are hired by hedge funds, exchanges, banks, insurance companies, etc. Web Site: http://finmath.uchicago.edu/new/msfm/home Director: Niels O. Nygaard. Nygaard has been a professor in the department of mathematics at the University of Chicago since 1982. Prior to joining the University of Chicago he taught at Princeton University. He holds a Ph.D. in mathematics from MIT. Nygaard has been director of the financial mathematics program since its inception in 1996. University of Michigan Degree: Master of Science in Financial Engineering (M.S.F.E.) Program Description: The University of Michigan program integrates finance, applied math and engineering. The degree falls under the school of engineering. A balance of math, engineering, physics and finance classes comprise the curriculum. Prerequisites for the program cover accounting, economics, electrical engineering, math and statistics. Location: Ann Arbor, Mich. Program Age: 11 years Term: 36 credit hours (15 to 16 courses), usually completed in three to four semesters Class Size: 50 Placement: Average starting salary for graduates is $79,000. Web Site: http://interpro-academics.engin.umich.edu/fep Director: Nejat Seyhun. Seyhun received a Ph.D. from the University of Rochester, Graduate School of Management. His current research focuses on the backdating of executive options, risk-return trade-off in asset prices, intraday impact of insider trading, long-run performance of IPOs, managerial overconfidence, Chinese walls and conflicts of interests in securities firms, options pricing, and conflict between information efficiency and rewards to information gathering. University of California at Berkeley (Haas School of Business) Degree: Master in Financial Engineering (M.F.E.) Program Description: The Berkeley program offers a balance between business and math. The school is active in the business community in both research/consulting and placing graduates. The curriculum is very practitioner-oriented. The average undergraduate GPA for incoming freshmen was 3.49. Location: Berkeley, Calif. Program Age: 7 years Term: 20 courses, 1 year Class Size: 60 Placement: Eighty percent of graduates were placed, with an average salary of $161,000. Graduates typically place in New York jobs at firms such as Merrill, Lehman, Barclays and JPMorgan. Web Site: http://mfe.haas.berkeley.edu Director: Linda Kreitzman. Kreitzman received a Ph.D. in economics from the University of Social Sciences in Grenoble, France. She has taught at UC Berkeley since 1996 and also has worked as a financial consultant for Focal Financial Consulting. The Best of the Rest While the top 10 quant schools were mostly unanimous selections among our board members, there were four additional schools that also received attention. The honorable mentions are Baruch College, Boston University, Georgia Institute of Technology (Georgia Tech) and the University of Toronto. Baruch College: The Masters Program in Financial Engineering at Baruch College in New York consists of 12 three-credit courses. Full-time students complete the program in three semesters. Part-time students may attend for five to six semesters. The curriculum of the Financial Engineering program is designed to provide students with the background required for modeling and solving problems that arise in the financial services industry. Web site: www.baruch.edu/math/masters.html Boston University: The Master of Arts in Mathematical Finance is a one-year program covering 10 courses over three semesters. The program, based in Boston, emphasizes both the theoretical and the practical aspects of the methods of mathematical finance. Most cutting-edge financial technologies are included in the curriculum. Web site: www.bu.edu/mathfn/maprog Georgia Institute of Technology: The Master of Science degree program in Quantitative and Computational Finance at Georgia Tech in Atlanta provides students with practical skills and theoretical understanding focused on the formulation, implementation and evaluation of the models used by the financial sector to structure transactions, manage risk and construct investment strategies. The program covers the principles, structures and everyday activities of finance; an understanding of the mathematics being used to model financial activities; and knowledge of the techniques used to implement these models in finance. Web site: www.qcf.gatech.edu University of Toronto: The Master of Mathematical Finance program covers three semesters. First, students focus on analytical abilities with the help of senior academics in mathematics, computer science, statistics and engineering. Students then complete a four-month internship or campus project. They work on real financial projects and learn to integrate and apply the theoretical knowledge learned during the first session. Students then return to the Toronto campus to continue with courses that build on and deepen the material of the first session. Two two-week workshops in which students work in small groups on projects in mathematical finance and risk management conclude the program. Web site: www.mmf.utoronto.ca/program.html Quant School Selection Board Member Bios Robert Almgren Robert Almgren is cofounder of Quantitative Brokers and currently an adjunct faculty member at New York University Courant Institute's Mathematics in Finance program. Almgren was formerly managing director and head of quantitative strategies in the electronic trading services group in the equities division of Bank of America Securities. Before joining Bank of America, Almgren was an associate professor of mathematics and computer science at the University of Toronto, and director of the Mathematical Finance program. Previously, he was an assistant professor of mathematics at the University of Chicago and associate director of the Program on Financial Mathematics. He holds a Ph.D. in applied and computational mathematics from Princeton University. Almgren has written a number of papers on optimal trading strategies, equity trading cost measurement and portfolio formation from ordering information. Ian Domowitz Ian Domowitz is a managing director responsible for networking and analytical and research products at ITG. Prior to joining ITG in 2001, he served as the Mary Jean and Frank P. Smeal Professor of Finance at Pennsylvania State University. Domowitz also has held positions with Northwestern University, Kellogg Graduate School of Management, Columbia University, the Commodity Futures Trading Commission, the International Monetary Fund and the World Bank. A former member of the NASD's Bond Market Transparency Committee, Domowitz also served as chair of the Economic Advisory Board of the NASD. He is currently a Fellow of the Program in the Law and Economics of Capital Markets at Columbia University. He received a Ph.D. in economics from the University of California at San Diego. Steven Janowski Steven Janowski is head of financial engineering at FX Solutions. He is responsible for risk management practices and systems, derivative products, and financial calculations. Janowski has more than 20 years' experience in risk management, analytics and quantitative research. Prior to joining FX Solutions, he was head of analytical software at Clinton Group. Janowski has held various academic positions, including posts at the University of Texas, Rutgers University, Los Alamos National Laboratory and Harvard University, with more than 20 peer-reviewed publications. He received a Ph.D. in physics from Harvard University, as well as an A.M. in physics from Harvard University, an S.B. in physics from M.I.T. and an S.B. in mathematics from M.I.T. Leo Murphy Leo Murphy manages Trading Technologies' University Relations Program. The University Relations Program's goal is to equip schools with Trading Technologies' X_TRADER software through corporate software donations. Universities in turn apply the software to their curriculum as they see fit. Murphy began his career as a broker in fixed-income futures and options for Merrill Lynch at the Chicago Board of Trade. He was a senior economist in research and development for the CBOT before coming to Trading Technologies to manage the University Relations Program. He currently is an adjunct faculty member at Benedictine University (Lisle, Ill.) and Lewis University (Romeoville, Ill.), where he teaches economics. http://www.advancedtrading.com Copyright 2008 United Business Media LLC. All rights reserved. Copyright ? 2008 CMP Media LLC |