Comment by KRAKRISMOTT
3 years ago
Not Lie processes (are you referring to Lévy?), but stochastic calculus in general, which requires a strong intuition for differential equations, calculus, and statistics. Quantitative finance heavily favor those with a background in the physical sciences rather than discrete math like CS.
That is curious. Could you elaborate or point me to some sources, I would like to investigate that relationship further. I remember Jim Simmons saying that the Renaissance fund employs many physicist PhDs and other kinds of scientists. I thought they were there because of their specialisation but perhaps the reason is what you explained above or both
Physicists are popular because they deal with uncertainty and complex models across the time domain, which is another description of markets. When you zoom out far enough, a fluid dynamicist and a market making quant are not that different.
If you want books about trading mathematics and interviews in general, the green book (practical guide to quant finance interviews by Zhou) is the usual go-to. Falcon's Heard On the Street is another classic. Note both of these focus on generic interviews (the quant equivalent of leetcoding) usually for recruiting fresh grads directly out of school. You can probably skip some steps if you have the work experience or know the right people at certain funds.
If you want actual books on trading and modeling, that's another topic entirely.
Figure out which area specifically you are interested in: https://teddit.net/r/wallstreetbets/comments/kcs4xy/what_qua...
If you want an autobiography, Emanuel Derman's My Life as a Quant is well-regarded. I have never read it myself but Amazon has often recommended me The Physics of Wall Street.
yes I meant Lévy I don't really know what went through my head.
I also have to say that you don't need to have a strong intuition for differential equations even through they are very related. Stochastic calculus can be studied entirely in its own right.
And with respect to quantitative finance my experience is that while a candidate knowing about or having coursework in stochastic calculus is certainly relevant its not favourable.
This also depends on the exact job right, if you have to be pricing XVa products then you better have know Girsanov, Ito and what have you =)