Math in Quant Finance - Examples

Discrete time stochastic processes also use A LOT of Matrices and Linear Algebra (and LA is much more than just matrices)

Another example of the use of Linear Algebra is Multivariate Statistics and Multivariate Probability, Multivariate Regression Analysis, basically ANYTHING MULTIVARIATE USES A LOT OF LINEAR ALGEBRA

Hi Dimitri, I love your videos and I am studying my Financial Engineering degree in Mexico.
Right now I´m developing an Algorithmic Trading Strategy and I would like to contact you for future proyects and job opportunities.
Can you please pass me you e-mail or FB?

Also, great video.

nice real life examples. the first time i worked with NNs i thought it was completely a CS thing but the programmer i was working with didn't know how to take partial derivatives for the gradient when generating the activation function's bias node

at an office i used to work at, they would blindly use Excel's =FORECAST() function to try and obtain the future numbers to get their NPVs, and of course it was hardly ever accurate. had to figure out and explain that the function was utilizing the Holt-Winters exponential smoothing method and most likely with fixed alpha, beta, and gamma values (i couldn't obtain the source of what Excel was using, but through experimentation it seemed like it at the time). so i wrote them my own version with modified level, trend, and seasonal formulas and actual optimized alpha, beta, gamma values. this is why you are so correct about those crappy pre-packaged "models" and actually needing to understand the technicalities underneath the hood!

Thanks a lot for sharing this video!

A very insightful detailed video. Thank you so much.

Hey Dimitri! Great video. I am wondering, what kind of projects can I start on my own, so I can include them on my resume for a quant position?

Hey Dimitri, I understand quantitative finance is a technical job. with a finance undergraduate how did you catch up in the mathematics/stats/programming considering your business degree had little of it?

Great video as always , thank you.

Hello Dimitri, great video thank you for this channel, it is very informative.
I want to get in contact with you and message you as I have a few questions about becoming a quant could you please direct me as to how I can do so thank you very much

Hi Dimitri, I'm an undergrade student in finance and I'm planning to register in a MFE program. I'm currently looking for a book to ''update'' my math skills (Calculus, Linear algebra...) and I've found : A Primer For The Mathematics Of Financial Engineering, by Dan Stefanica. Do you happen to have read this book and/or have any other suggestion?

Hey, thanks for these videos! BTW, a quick question, if punching in numbers into these default formulas in Excel, such as Black Scholes, without understanding and tweaking the underlying assumptions doesn't work in real life, why do so many 'mainstream non-quant MBA type' jobs exist in banking, financial services, insurance etc? In other words, are quant jobs eating into the mainstream finance job market as the years go by?


I'm an ex-software engineer, will be in an MBA program in the near future, so, your insight into the industry's reality will be a major heads up!


Thanks in advance.

has no caption, hard for non english people to learn

Is stat and applied econ. Good path for data science . Quant .......ex or I need dgree in CS or math ..

Hey Dimitri, I am not sure of your journey exactly, but I am just finishing my Financial Economics undergrad, and am really interested in Quant finance since doing Advanced Econometrics as one of my 3rd year modules, whereby we used statistical models to delve into the financial world. In reviewing the quants masters courses, how necessary is it to be from a mathematics background (undergrad) and how much harder will it be for someone like myself who has done Economics BSc previously?

Hi Dimitri, thanks for this video. I’m currently a CompSci background whilst trying to build my math knowledge. Would studying numerical methods (euler’s etc) be useful?

Dimitri, I really appreciate your contents! I would be very grateful to hear your opinion about AI in quantitative finance, are we going to be obsolete in the next decades?

I am a mechanical engineer with 1 year work experience i would like to know if i persue a masters in quantitative finance willl i be able to get a job after i complete???please help

Hi Dimitri,
I'm current a first year college thinking about work as a financial analyst, I'm interesting in both finance, economic, and math. I don't know what undergrad should I take. Should I do an Math/stastitic undergrad, then take a finance or econ master with an CFA, or just pursuing finance? I personally like to work at a bank or wealth management, but the entry is pretty barrier in the future.

What is better a degree in computer science or Electrical engineering. I will end up in Rutgers, depending on the networking market, which major will help me the most.

isnt accounting always a good asset to have?

hi, I am a software engineering bachelor degree student and I want to crash into finance (especially quantitative fin). Which major basic math&statistics should I cover? I am trying to find an answer for my question everywhere. Thank you!

I love your videos man! I’m in my second year undergrad studying financial mathematics and I am really enjoying learning all of the calculus, algebra, programming etc and I’m hoping to do a Masters in Quantitative Finance or Financial Engineering. Your videos are really informative and also encouraging so thank you for your contribution!

Tensor has special transformational properties though... Not just a matrix.

To begin study of pricing derivatives you should have the following prerequisites satisfied before you walk into the door.

Calculus III (multivariable)
Multivariable-calculus based statistics; typically a junior level math course.

Do you do neural network and durbin Watson with pen and paper on the job? I dont think so. You need to understand the math behind it, but I doubt people do these stuff with pen and paper.

Sorry if this is unclear but, when moddelling, is that model produced by ACTUALLY doing the relevant maths manually (and not just when explaining the maths to colleagues like you said), or are you using a computer for the maths involved with producing the model. For example, if producing a model involves taking the derivative, are you doing that yourself on manually, or do you just let the computer do it by telling it which operations to execute? I suppose in essence what I'm asking is whether its the understanding of the math operations that is more important than being able to do those operations themselves, because in the job, the computer is actually doing the operations (not just crunching numbers, but doing the algebra/calculus/whatever else too). Thanks.

Great content, do you do private tutoring? What resources do you recommend for beginners, thanks!

Hey Dimitri, been watching your videos for a while now, and I’m loving them. I currently do an undergrad in Electrical and Electronic Engineering, i have taken a couple of classes so I am fairly proficient in Linear Algebra, ODEs, Differential Equations, but I am interested in the world of Quantitative Finance, as I love math, finance and programming. I do quite of programming on my course and by the side, but I worry that my math skills aren’t exactly up to standard to work in quant finance. I need to brush up on stats and PDEs, amongst other things. What good books or websites would you recommend for learning those sort of Math skills please? Thanks!

Hi Dimitri, great video! Practical illustrations made it a bit clearer for people like me who are not sure about the level of depth in math required to switch from traditional finance to quant. It clarifies to what extent the imposter syndrome is justified :). Having work experience of more than 10 years in traditional banking and theoretical knowledge from CFA and MBA, I got bored there and started studying Statistics and Data science online program from MITx a year ago (so that my brain is not degrading too much in banks bureaucracy). After I finish it in April of this your, planning to dive deeper into financial engineering, with guidance from your videos. You are doing a good job at guiding people who lack intellectual challenges and got bored with the bureaucracy of traditional finance!
P.S. It is an awesome idea to publish the list of books on fancyquantnation because before i was making screenshots of your videos at moments when you recommended those books :)

Hey, do you mind revealing where you studied for your undergrad and masters?

I got pretty excited when saw the title of this video when you said "advaned mathematics ". I suppose advaned is in the eyes of beholder. The math you need for neural networks is basically high school math. As far as linear algebra, i guess matrix vector is considerd ljnear algebra, but there are a more inferesting applications like matrix decompostion, dimension reduction or eigenvalue problems. Do you think the quants in Renaissance technologies also use such basic math?

If you make more videos about ideas in programming some Algo Trading ideas, and Python, MQL4/5, you will have much more subscribers, and viewers.

It hurt my head when I discovered that the function to standardize data can be different between libraries because some use sample variance and others use population variance.

This is the work done in a good stats degree

do you need to be an olympian level math guy to do quant?

Im trying to break into quantitative finance more on the trading side of things. I'm starting my undergrad next year and thinking about double majoring in Applied Mathematics and Financial Economics. The school Im going to allows applied math majors to "specialize" in financial engineering in the undergrad. Do you think the double major is necessary or am i making the right decision?