PAUL AND DOMINIC’S GUIDE TO GETTING A QUANT JOB

PAUL AND DOMINIC'S GUIDE TO

GETTING A QUANT JOB

Dominic Connor and Paul Wilmott Paul & Dominic Limited Version 1.95 July 2007

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Welcome

Weve written this guide for people looking for their first or second job in Quantitative Finance. The idea is that by the end of it you will know the things that many people wish theyd known a couple of years earlier. P&D is a headhunting firm, so we have a keen interest in helping people do well when they try for jobs in banking. This is a collection of things weve learned about the process, the skills you need and how to present them. However, quantitative finance is a broad field and almost nothing we can say applies to every situation. This guide should help you, but were always available online to talk about your individual case. Either through the website , or directly as Dominic@ or Paul@.

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WELCOME ...................................................................................................................................................2

INTRODUCTION .........................................................................................................................................7

UNDERSTAND THE PROCESS ........................................................................................................................7 WHAT YOU NEED TO PROVE.........................................................................................................................8 HOW TO PROVE IT ........................................................................................................................................9 KISSING FROGS ..........................................................................................................................................10 WHEN TO APPLY .......................................................................................................................................11 INTERNSHIPS .............................................................................................................................................. 11 APPLY BEFORE FINISHING YOUR PHD........................................................................................................12 WHEN TO APPLY IF YOURE DOING A MASTERS ........................................................................................12 MAKE SURE YOU CAN BE CONTACTED .......................................................................................................13 GET YOUR CV CHECKED ...........................................................................................................................13 THE KLINGON CV .....................................................................................................................................14 COVERING LETTER.....................................................................................................................................14 FONTS AND LAYOUT ..................................................................................................................................15 PDF ........................................................................................................................................................... 15 DOCUMENT NAME .....................................................................................................................................15 DATES .......................................................................................................................................................15 BE HONEST ................................................................................................................................................16 SHOW THAT YOU CAN DO THINGS ..............................................................................................................17 INTERESTS AND HOBBIES ...........................................................................................................................17 LAST JOB FIRST..........................................................................................................................................17 SUMMER JOBS............................................................................................................................................18 PAUL & DOMINIC ......................................................................................................................................18 MULTIPLE CVS..........................................................................................................................................18 FINDING BANKS .........................................................................................................................................18 DIRECT APPLICATIONS VS HEADHUNTERS ................................................................................................19

INTERVIEWS .............................................................................................................................................20

BE PREPARED ............................................................................................................................................20 SHOW SOME MARKET INSIGHT ...................................................................................................................20 BRAINTEASERS ..........................................................................................................................................21

Straightforward calculation.................................................................................................................21 Lateral thinking....................................................................................................................................21 Open to discussion ...............................................................................................................................21 Off the wall...........................................................................................................................................21 General Probability and Combinatorics..............................................................................................21 Conditional Probability .......................................................................................................................21 NUMBERS ..................................................................................................................................................22 BE CONFIDENT...........................................................................................................................................23 BE PUNCTUAL............................................................................................................................................23 SET TRAPS .................................................................................................................................................24 SHOW YOU CAN DO THINGS .......................................................................................................................24 QUESTIONS FOR THE INTERVIEWER ...........................................................................................................25 GETTING THE MESSAGE ACROSS ................................................................................................................25 FIND OUT MORE ABOUT THE JOB................................................................................................................25

APPEARANCE ...........................................................................................................................................27

NEATNESS IS GOOD....................................................................................................................................27 COLOURS ................................................................................................................................................... 27 JEWELLERY ...............................................................................................................................................27 PERFUME AND AFTERSHAVE ......................................................................................................................28 TRAVELING ISSUES ....................................................................................................................................28 MAKE-UP ................................................................................................................................................... 28

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IGNORE THIS SECTION................................................................................................................................28

WHAT PEOPLE GET WRONG ...............................................................................................................29

WHY YOUR BOSS IS A JERK ........................................................................................................................29 WHY HE ISNT............................................................................................................................................29 QUANTITIATIVE FINANCE IS LIKE SEX BECAUSE... ....................................................................................30 ZEROTH LAW OF HOLES .............................................................................................................................30 SLEEP REGULARLY, SLEEP OFTEN ..............................................................................................................30 MAKE EYE CONTACT .................................................................................................................................31 APPLY FOR THE RIGHT JOB.........................................................................................................................31 SPAM .........................................................................................................................................................31 BARBARIANS .............................................................................................................................................31 READ YOUR CV.........................................................................................................................................31 MOBILE PHONE INTERVIEWS......................................................................................................................32 DONT SEND A BLUE CV............................................................................................................................32 FOCUS .......................................................................................................................................................32 ASKING QUESTIONS ...................................................................................................................................32 BUZZWORDS ..............................................................................................................................................32 NOT KNOWING WHAT YOU DID AT UNIVERSITY.........................................................................................33 BE POLITE..................................................................................................................................................33 BE TRUE TO YOURSELF ..............................................................................................................................33 DO NOT SOUND AS IF YOU WORK FOR ACCENTURE....................................................................................34 INTERVIEW OVERLAP.................................................................................................................................34 ODD QUESTIONS........................................................................................................................................35

SPOTTING BAD JOBS ..............................................................................................................................26

WHO WILL INTERVIEW YOU...............................................................................................................37

QUANT PREJUDICES ...................................................................................................................................37 THE PURE MATHEMATICIAN QUANT...........................................................................................................37 KEY AREAS TO BRUSH UP ON .....................................................................................................................37 THE APPLIED MATHEMATICIAN QUANT......................................................................................................38 FINAL TRICK ..............................................................................................................................................38

HR INTERVIEW ........................................................................................................................................39

AUDIT ........................................................................................................................................................ 39 EXAMPLES .................................................................................................................................................39 AND THEN WE HID THE DRUGS UNDER OUR MOTHERS BED... ...................................................................40 BACKGROUND CHECKS .............................................................................................................................40

THE DIFFERENT TYPES OF MATHEMATICS SEEN IN FINANCE...............................................41

FINANCIAL MODELING...............................................................................................................................41 MODELING APPROACHES ...........................................................................................................................41 USEFUL TOOLS ..........................................................................................................................................41

Probabilistic ......................................................................................................................................... 41 Deterministic ........................................................................................................................................ 41 Discrete/Continuous ............................................................................................................................42 Simulations ........................................................................................................................................... 42 Discretization methods.........................................................................................................................42 Approximations ....................................................................................................................................42 Asymptotic analysis..............................................................................................................................42 Green's functions .................................................................................................................................42

READING LIST ..........................................................................................................................................43

BACKGROUND ...........................................................................................................................................43

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INTRODUCTORY ......................................................................................................................................... 44 ADVANCED/RESEARCH LEVEL ...................................................................................................................45

WHAT YOU MUST KNOW ......................................................................................................................46

WHAT YOU MUST HAVE CODED UP ..................................................................................................47

KEY AREAS................................................................................................................................................47 FINITE-DIFFERENCE METHODS ...................................................................................................................47 NUMBER OF DIMENSIONS...........................................................................................................................47 FUNCTIONAL FORM OF COEFFICIENTS ........................................................................................................48 BOUNDARY/FINAL CONDITIONS .................................................................................................................48 DECISION FEATURES..................................................................................................................................48 PROGRAM OF STUDY FOR FINITE-DIFFERENCE METHODS ...........................................................................49 MONTE CARLO METHODS ..........................................................................................................................50 PROGRAM OF STUDY FOR THE MONTE CARLO PATH-SIMULATION METHODS.............................................51 NUMERICAL INTEGRATION ........................................................................................................................52 PROGRAM OF STUDY FOR NUMERICAL QUADRATURE ................................................................................52 SUMMARY OF NUMERICAL METHODS .......................................................................................................53

PROGRAMMING SKILLS .......................................................................................................................54

C++ ...............................................................................................................................................................56

NUMERICAL ALGORITHMS .........................................................................................................................56 READING LIST FOR C++ .............................................................................................................................57 A FEW BASIC C++ QUESTIONS ...................................................................................................................58

Casting Off...........................................................................................................................................61

DEALING WITH OFFERS .......................................................................................................................62

THE TIPPING POINT ...................................................................................................................................62 WHAT IS AN OFFER? ..................................................................................................................................62 PROCESS ....................................................................................................................................................62 TURNING DOWN OFFERS ............................................................................................................................63 SPOTTING BAD JOBS...................................................................................................................................64 OBJECTIVE INFORMATION .........................................................................................................................64 IT ..............................................................................................................................................................66

BEING FOREIGN.......................................................................................................................................67

WE DONT CARE ........................................................................................................................................67 VISAS ........................................................................................................................................................67

BEING OLDER ...........................................................................................................................................68

HOW OLDER PEOPLE FAIL.........................................................................................................................68 EQUAL OPPORTUNITIES .............................................................................................................................69

DEALING WITH HEADHUNTERS ........................................................................................................70

WARNING ..................................................................................................................................................70

HOW TO SPOT A GOOD HEADHUNTER.........................................................................................................70

HOW TO SPOT A BAD HEADHUNTER ...........................................................................................................70

MULTIPLE APPLICATIONS ..........................................................................................................................71

CARPET BOMBING .....................................................................................................................................71

NAMES ......................................................................................................................................................72

MULTIPLE TARGETS...................................................................................................................................72

EXCLUSIVES ..............................................................................................................................................73

MULTIPLE OFFERS .....................................................................................................................................73

SEE IT FROM THEIR SIDE ............................................................................................................................73

AUCTIONS .................................................................................................................................................74

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