SciComp - Futures Volatility Surface Calibrator

Global Derivatives and Risk Management Paris

The only civilised way of getting to Paris from London is by train, unless you want your luggage stolen by the malicious morons at British Airways. That gave time for me to have breakfast with Dan Stefanica of Baruch, for breakfast. A growing issue in MFE programs is quality control, not only of the content but of the students. As in my review of his book, the cost and commitment required for a MFE program does not always mean that the “right” people are takes these courses. Dan is pretty hard line in only letting in those who he figures will actually make it out the other side. That’s not uniformly true, I hear tales of MFEs where 1/3 of the students drop out (after they’ve paid of course)

Refunds ? no.

On the evening before the main conference a a random subset of us met up for a pre conference glass and meal. The excuse being that we wanted to chat about how MFE programs should be evolving in the new market reality. This started off at the Eiffel Tower, as we (Aaron Brown, Bruno Dupire, Peter Carr, Jim Gatheral, were both educated and entertained by Bloomberg where we mixed cocktails with talks on volatility trading. Mostly. The talks were in French, which added to the learning experience in a new and interesting way.We then departed for Devez, a decent restaurant, where Paul Barden and Peter Jaeckel joined us, and just as my day started, we drifted into the difference between what sort of people are attracted into MFE programs, and the ones that do it. The variance is really large, as evidenced by the drop out rate at some places (though not on Peter Carr’s Courant program either). One idea that emerged was some sort of filter based upon what banks want to hire. Although that obviously includes maths ability, it helps if you can actually apply that; which requires real human beings to evaluate. The nature of MFEs is that >80% of students are not doing it for pure intellectual curiosity or a desire to make the world a better place, but to improve their career options. There is also some vague support for a common entrance exam not unlike that used for people applying to MFE programs. A hard problem that needs to be overcome is that now the labour market for quants is very international, it’s simply not possible to do a fair or accurate assessment of a student based upon your knowledge of where they studied. The number of universities in the world defeats that idea completely.