Quant roles that use the most math?

[Mic]

I'm nearly finished with a master's in physics. I have experience with C++, R, Matlab and Python. Based on my limited understanding of what quants do, quant analysts spend most of their time working on statistical models using R, Python, and Matlab. They also do some programming in C++. Whereas quant developers program in C++, work on low latency, HPC, assembly language, and software engineering. I think they work on numerical PDEs like Black-Scholes in their C++ programs. I'm also aware that FO roles are more interesting than model validation/risk management roles. Please correct me if I'm wrong

So which of these roles use more math, such as numerical linear algebra? Do quant analysts also get to work with numerical methods to solve PDEs?

 

[cab]

I don’t have a complete answer, but here are some notes

- There are some really awesome “risk“ jobs out there. Consider this:

Goldman Sachs Careers | Job Search - Finance, Market Risk Management and Analysis, Controller Modeling Group, Associate

- I can’t pretend to know your preferences, but I was asking this same question a short time ago. After learning a bit I think this is the appropriate answer: Don’t worry so much about what kind of math you will use. There are tons of quant jobs that use enough math, and looking for jobs in terms of the subjects they use limits your opportunities, and leaves a lot of important information out of the picture. If you are like me, you will find in time that there are a lot of cool things in finance that don’t use super advanced math, or perhaps don’t use any math at all, but still require deep thought and intuition. If I had a math background and wanted to move into physics by asking, “which area of physics uses the most math?” I would be lead into quantum gravity and miss a ton of very cool, intuitive stuff, classical mech, statistical mechanics, E&M, etc.

Just because math is bringing you into finance now, doesn’t mean it will be the only source of interest in the subject once you learn it a bit more (Of course, it totally makes sense for you to test the waters in terms of your pre-existing knowledge).

- This book is a very good way to get a big picture of the industry, and get a sense for the cooler non-mathy aspects of finance
http://www.amazon.com/Complete-Quantitative-Professionals-McGraw-Hill-Investment/dp/0071468293

 

[Mic]

yeah, that looks like an interesting job

I've done some more research into the various quant roles. Based on what I've read, derivative pricing/sell-side jobs sound most interesting to me since they use numerical methods and PDEs. However, they seem to be disappearing. Would I have a chance for these roles given that I don't have a PhD?

 

[Daniel Duffy]

I'm nearly finished with a master's in physics. I have experience with C++, R, Matlab and Python. Based on my limited understanding of what quants do, quant analysts spend most of their time working on statistical models using R, Python, and Matlab. They also do some programming in C++. Whereas quant developers program in C++, work on low latency, HPC, assembly language, and software engineering. I think they work on numerical PDEs like Black-Scholes in their C++ programs. I'm also aware that FO roles are more interesting than model validation/risk management roles. Please correct me if I'm wrong

So which of these roles use more math, such as numerical linear algebra? Do quant analysts also get to work with numerical methods to solve PDEs?

Some quants do a lot of PDE. But I would say that C++ is not the only language used and other methods besides PDE are prevalent.

C# is popular.

Use whatever is needed to solve the problem.