Math for Quant Dev

Math for Quant Dev - Example

Рет қаралды 12,547

9 ай бұрын

There is a lot of confusion around what is "quant" and what is "quant dev." When I explain quant dev is responsible for implementing models, people correct me and say that is really just "ML Ops" or "Dev Ops." What really separates a quant dev is the depth of math understanding. For quantitative finance optimization of implementation through mathematical simplification is critical. Solely relying on software and hardware optimization can only take you so far.
Another important difference is "quant" vs "quant dev." Quants build models and do not need efficiency of runtime however they do need efficiency in model development time. Quants focus on building models whereas quant devs focus on optimizing those models.
Today's example is a simple real world example for loans (credit risk). The goal is to get the ratio of principal to payment amount without calculating an amortization table. Amortization tables are the correct way of calculating these numbers from financial theory however it is inefficient when this scales to a large number of loans. A new table would need to be created for loan. Just imagine how much memory and processing power you would need to do say 100,000 loans. This is very inefficient. The computer science path would be to run this in parallel however it is cheaper to use a simplified math equation though I would argue it is more challenging to find equations that to simple do computer science optimization. Math typically reduces the probability of a bug (coding issue) as well and can be ran in almost any environment.
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Пікірлер: 32

@daymaker_trading 9 ай бұрын

This was a super interesting talk! Real life example in math, and in context when it's easy to imagine how it would look like in code -- very valuable, especially to 'visualize' possible work scenario in real setting. Thank you so much!

@tvstation8102 9 ай бұрын

This was fun to play with! Please post more videos like this, its enjoyable to turn them into homework assignments.

@vyompatel4517 9 ай бұрын

Could you create a video for Math topics for Quant Devs specifically?

@xkr2 9 ай бұрын

Nice video. I was chilling WFH and tuned into this video. LOL couldn't help but get that pen and paper and find that formula. Stopped after I managed to find some geometric progression for the principal portion of PMT after the first few time periods with some factorization/term arrangement. Gotta get back to work now! Also, yes totally agree with the pandas/python part. Yes numpy does help most times to speed up things. But it's absolutely never gonna beat a C++ solution when things are needed at a larger scale.

@MungusMctavish 9 ай бұрын

Brilliant stuff, thanks Dimitri.

@alan713812 9 ай бұрын

Thanks for the lecture, Dimitri!

@jasdeepsinghgrover2470 9 ай бұрын

This is really amazing! But thankfully this recurrence wasn't that hard. Have you encountered cases where you had to use PDE for recurrence or generating functions?

@sentralorigin 9 ай бұрын

the math skills are particularly useful for problems that don't have closed-form solutions and aren't able to use a CAS like Wolfram or Matlab to solve it

@ScienceMasterHK 9 ай бұрын

Incredible explanation!

@ctolcode 9 ай бұрын

@Dimitri Bianco, how long do you give this employee to figure out a new mathematical model? I'm very interested in doing the quantitative developer path. But I think it would take me a week to solve such a problem.

@minymaker 9 ай бұрын

How useful is a worker who can do both QR and QD? I’m in the industry now going back for a PhD in math. I have this very strong background in programming and would like a future position that is able to utilize all my skills

@letsfaceit9187 9 ай бұрын

Hi thank you so much for the content . I am a data specialist in the South African banking industry and I have an interview for ‘Manager, Finance, Digital and e-Commerce with Quantitative Analysis ‘ also within the banking industry I have no finance or quantitative analysis knowledge 😂, can you please give me some tips to prepare for the interview? What questions can I expect?

@joensson1543 9 ай бұрын

Hi! I have a question as I am condsidering what I courses to take in my masters. I have take some masters courses and am condsidering taking measure theory to be able to understand more of the theory. I noticed that it might be useful while doing a course in Copulas, especially for d>2. What do you think? Best regards

@DimitriBianco 9 ай бұрын

I would take measure theory. Without it, it is very hard to grasp some ideas with a deep understanding.

@dingzhong410 9 ай бұрын

Great video Dimitri. I work it out as: 1/((1+r)^(n-i)-1). where i is the i-th month. Very interesting problem!

@tvstation8102 9 ай бұрын

I'm a bit confused as to the ask....does the function return a vector of I values, with a ratio for each month in the term?

@dingzhong410 9 ай бұрын

@@tvstation8102 My understanding is that it returns the value for that specific month. When called, the function passes in the months you want to know. That said, the core to the problem is to work out the math expression. How the construction of the function can be modified easily.

@tvstation8102 9 ай бұрын

@@dingzhong410 I came up with (1+r)^(-n+i-1), or 1/((1+r)^((n-i)+1)) when I took the reciprocal. Any chance you misplaced a negative sign?

@dingzhong410 9 ай бұрын

@@tvstation8102 Hi station, mine have the "-1" outside the power while your (+1) is inside the power. So there seems more than a negative sign that is different. Unfortunately I can't find the draft paper I used on that day. Did you check the special case with your formula? For example, setting n-i=1 which is the last month. In the last month you pay off both the principal and interest which is easy to calculate.

@OskarBienko 9 ай бұрын

Could you explain how did you end up with this functional form?

@Sau_UNCCMathFin 9 ай бұрын

Why ask the quant dev team to build the equation? Couldn’t the model dev team build it themselves, and ask quant dev to further optimise it and let them stay on the software side. Thanks, the video is quite informative.

@MegaMilkGaming 9 ай бұрын

Should I get a masters in computer science or Quantitative Finance if I want to be a quant dev? Or maybe just get a minor in statistics?

@paulcampos-oe9ml 9 ай бұрын

Im wondering the same thing. I have an undergrad in Finance/Econ and now I’m taking the quantitative classes required for the Masters.

@DimitriBianco 9 ай бұрын

I would look for program who specialize more in quant dev. Baruch and Fordham both have more of a quant dev focus. If you research more you should find other programs as well. CS isn't a bad degree as long as you try and take a finance course and some math along with it.

@emmanuelameyaw3314 9 ай бұрын

Is that finance or quant finance?

@DimitriBianco 9 ай бұрын

Quant finance which is just math and stats being applied to traditional finance.

@lebronjames8507 9 ай бұрын

Thank u for this God bless ya✝️💯‼️

@DimitriBianco 9 ай бұрын

Thanks! I'm trying to mix up the content a bit and do some more applied examples.

@AB608052 4 ай бұрын

I would love to be a quant. How else are you supposed to pay for the math?

@hackerborabora7212 9 ай бұрын

Pls do videos about models build 🙏🙏

@DimitriBianco 9 ай бұрын

Start with these if you haven't seen them. kzfaq.info/sun/PLBfqPS8Xvt2CM-uGVHCXuEhv8XjVoVu8_&si=nKu-mpIH6q07wAfX

@vincentchong1219 Ай бұрын

The explanation is such a failure . It cannot succintly say what is the objective here. The amortization table is fine. But after that, there is such a disjoint and mumbling with no concrete explanation of what is the objective and solution.