I've heard the best way is to get a PhD in a mathematics heavy science or engineering discipline.

Someone I know of was head hunted for a quant firm after he did his PhD in fluid dynamics. I don't think he knew anything about finance.

His supervisor was very disappointed.

the strategy of getting a PhD can be quite hit and miss - sometimes trading firms want very specific knowledge, e.g. specialist in solving certain kinds of PDEs, or DSP specialists, or bayesian/uncertainty statisticians. or sometimes they just want somebody who knows how to look at ambiguous problems and ambiguous term sheets and contract specifications and put it into solvable forms so that the already existing megabrains in the team can try to crack it. it really depends on the outfit. if one already has a phd and wants to get out of academia, then finance might be a good option. getting a phd purely to get into quant finance doesn't seem like a positive NPV investment (not just opp cost but also the soul crushing life of grad studies). as it turns out, quant funds also hire a lot of bachs and masters. not everyone needs to be churning out new models, 99% of the work is keeping all the systems and the analytics running and expanding existing knowledge to other markets.

Agreed - there is plenty of work for non-PhDs in both the buy and sell side. Quant developers are often possess undergraduate degrees, particularly in CompSci. Not much need for a PhD in the vast majority of systems development.

Yes but PhDs tend to be better on average than MFE graduates. If a fund has its choice of PhDs (which is the situation now) there is not much reason to hire someone with only a masters, except if she has some crazy skills.

Everything in this comment rings true from my experience (ex-science-software engineer, current equity derivative financial engineer at an investment bank, pining for the start-up fjords).

>3. The best way to learn is to get a job in the field. I'm surprised at how often I have to repeat this.

But to get one, you need to have worked through a lot of books already, right? Job descriptions of this field look to me like: PhD in math finance and senior programming skills.

Knowing math and programming is important, knowing finance isn't.

The friends I have who have a degree in mathematical finance say that the finance portion of their degree was quite useless and only very weakly correlated with how 'finance' worked day to day at their job. Basically they learnt everything they had to know about finance on the job. The optimization and statistics they studied on the other hand is stuff they use every day, and if they could go back and do it again they would study less finance and more math at university.

You mainly just need to be a good C++ programmer to get a job. To get a job where you aren't just a C++ programming resource you need the advanced degree, advanced math, previous experience, etc.

I think the best way to get a tech job in finance is to live in a city where finance is a big industry (New York, Boston, Chicago, London). If you punch "C++" into Indeed for Chicago, IL, half the listings that come back are for positions at trading companies.

I apears that Algorithm trading Firms are slowly moving to SF/Silicon Valley. I see some postings for SF-jobs in this domain. May be they want to use the software talent in this area.

#3. Definitely #3. I mostly model mortgage prepayments and defaults, the housing market, and do econometrics-style forecasts. That's not in any of those books.

Do you have any books that you'd suggest?

Not really. Lakhbir Hayre's Guide to Mortgage-Backed Securities isn't bad. Fabozzi's MBS book is okay, but a bit of a cut-and-paste job. I don't know of anything that deals with the post-2007 environment. Otherwise, just a combination of statistics (GLM, GAM, NLS, etc.) books, time series books (e.g. Durbin & Koopman, and econometrics books (Greene, etc.)

Thanks! I've been recommended Fabozzi's book before but with the caveat that it was quite dry (one person said that he felt like he now understood what ADD felt like).

I'll have to check out Guide to Mortgage-Backed Securities.

I don't think either of those books is very good, so try to borrow before you buy. The best of a bad bunch is still bad.

I never look at Fabozzi's book these days, but I still break out the Guide to MBS for its appendix on mortgage amortization formulas. That's a pretty weak recommendation.

> That's not in any of those books.

For good reason!

Is it common to have a job in HF trading as C++/infrastructure architect guy, but having no interest in quantitative or any other type of finance? I mean no interest in strategies.

Yes. Most of the people who work in an very HFT firm will be developers and ops people who are good at integrating cutting edge technologies. An understanding of how the exchanges operate is useful but knowledge of finance isn't really required.

What do you think about the CQF?

Garbage. Many hedge funds only require a BS from a top school. Others, of course, are only looking for PhDs. These exams and certificates, IMHO, are money-making machines (if you need those certs for your job -- like Series exams -- your firm will sponsor it)

I would add Barbarians at the Gate and Predators Ball to this list.