▲ | EGreg 3 days ago | |
Uh bruh. I took this class when I was 22 at NYU. Quadratic variation, brownian motion, and of course black-scholes etc. A lot of the work is based on a Japanese guy named Ito, who pioneered Ito integrals. And yes you need to know basic measure theory or probability as a prerequisite (take Math Analysis at least) The closest I ever got to being a quant is doing an internship at a hedge fund called Concordia. They were just using Excel and VBA for credit default swaps back in the day. I then ended up at Bloomberg building their front end in C++ which st that time was a huge compiled binary. I quickly exited that world and realized I enjoy building web applications. Had been doing that ever since. Guess turning $220 billion into $223 billion wasnt my idea of fun. What you need as the key is Python, ML, SciKit, etc. | ||
▲ | bormaj 3 days ago | parent | next [-] | |
Adding to this, stochastic calculus matters more for modeling volatility/interest rates/derivatives. As you mention, Python/ML are more than suitable for many other areas within quant finance like optimization, algo development, signal research, etc. | ||
▲ | Agingcoder 3 days ago | parent | prev [-] | |
It depends on where you are - many large banks have their derivatives pricing libraries written in c++ or c#. |