[neko_ranger]

I wonder how fun being a modern quant really is. It seems like one of those things that sounds more fun in your head, but the reality is different. Kinda like "studying physics", going pro in a sport, or becoming a rockstar. People see the end result and don't see how much work it takes to get there or what the day to day is really like

[Agingcoder]

Im reasonably familiar with the exotics quant space.

It’s essentially IT/data work - the days of sophisticated maths are mostly gone. There always was a lot of code, but these days for most people there’s little to no new maths.

From what I’ve seen, post-2008 the job changed significantly, with more IT, less maths, more standardization - basically the job moved from bespoke everything to super industrialized. You’ll be able to have your model work for one underlying and one product, but what’s really useful is for lots of underlyings and many products - and that’s very hard.

That being said, and that’s important, you must understand the maths behind, otherwise you won’t be able to do anything useful.

[lordnacho]

I started my career in derivatives. Mostly vanilla, but I did have a look in the exotics.

Intellectually, it's interesting when you start. There's all these weird payoffs that you are introduced to, and it feels like a game.

The thing is, there's a limit to how exotic things can get. People have already figured out how to price most of the things you can imagine, including all the things that customers normally ask for. Most of the day goes on looking after your hedges, basically implementing the model.

It's like a zoo. When you arrive there's a bunch of different, interesting animals. After a while, you've met them all. There's no new animals, just variations of existing ones.

However the thing that is really an issue is how the business works. Over time I came to the conclusion that the quants in the derivs space are really secondary to the salespeople. How important is the quant who can get the price right to within 1%, when the sales guy can talk the customer into overpaying by 5%? Sometimes it feels like the customer is not even shopping the structure around at all, he just feels comfortable with his sales guy and is willing to hand over a few million bucks of customer money with barely any thought.

[credit_guy]

> but these days for most people there’s little to no new maths.

You are right. For most people there's little to no new maths.

But not for all. There's still plenty of good quality math to be done in the exotics space. However, there's a bit of Catch 22 that prevents people from doing new math: all the big shops have had exotics libraries since before 2008, and because of the exotics hiatus between about 2008 and maybe 2013, the research momentum was lost. After that, most quants in the space were happy to find ways to use the old stuff, and apply small tweaks at the margins. Most small shops use vendor models (Numerix, Murex) or open source (QuantLib), and people who use vendor solutions or open source are not looking for cutting edge stuff.

But there's still good math left out there.

[curiousgal]

There's definitely room for new math but , at least for banks, the process of getting your fancy model validated by internal model validation teams and regulators is so time and energy consuming that most people don't want to bother with using all the fancy math they could use and instead rely on simplifications and simple extensions.

[bee_rider]

What happened? Is this a case of the actual job changing, or just title inflation? I’d expect the quants to be the ones doing the math and implementing the kernels…

[mikert89]

theres math, its mostly about pulling in obscure data sources, rank and file in alot of hedge funds dont even get to see what actually makes money

[7777777phil]

I always wanted to be a quant, until I actually was a quant (internship). The division of labour in modern banks / market markets is so high that the scope of an individual’s work becomes much less than you would expect.

[mathisfun123]

i don't know what the point of this book is - there's nothing rockstar about being a quant. not only do not all quants "generate alpha", even the ones that do are just overworked data scientists. ask anyone that actually works in the industry - fancy math is no longer a thing ("exotic option pricing"). so would "how i became an accountant" be just as interesting? how about (more accurately) would "how i became a data scientist"?

[609venezia]

> ask anyone that actually works in the industry - fancy math is no longer a thing

Huh? What happened? This is a very interesting claim I would love to hear elaborated

[highfrequency]

Good instinct. A lot of the day to day is debugging nitty things, reconciling small differences in results, trying not to make dumb mistakes. Almost all attempts to do very smart theoretical novel work fail, often because of extremely mundane engineering and data issues.

[Rzor]

>Almost all attempts to do very smart theoretical novel work fail,

Unless you happen to be in a place like RenTech, perhaps?

[conformist]

Imo the fun quant stuff these days is about predicting returns and not pricing derivatives. As others have said here, the pricing part is mostly commoditised and more about managing software.

[mhh__]

Yes although if you are predicting the returns swaps and options and so on then you need to be able to do both

[mhh__]

What kind of quant?

Trading huge equity portfolios and getting paid a lot? Pretty fun

Pricing structured products all day in a bank that charges you for lunch? Not great

[altmanaltman]

I don't think quants actually trade, though? Like the division of labor usually separates research, code, and trading. Unless you start your own sole prop quant trading shop, which is fun but unless you're the next Jim Simons it can be pretty hard to do it profitably.

[gosub100]

and I wonder how much of your success / failure is luck vs advanced-anything. You could wager 7-figure bankrolls in vegas on blackjack or baccarat and _possibly_ double or triple it. Doesn't mean your equation-solving had anything to do with it (in fact it expressly doesn't in that case).

[TacticalCoder]

> and I wonder how much of your success / failure is luck vs advanced-anything

Well take someone who YOLO on a 0 DTE option and makes 80x (not unheard of) vs someone who wins the same amount over, say, four years and 8 000 trades... Well it's not impossible that the YOLOer is more skilled and has an edge (while also being a degen but that's not the point): it is just very unlikely.

Thousands, tens of thousands, hundreds of thousands of trades is not the same as "gambling one night in Vegas".

[KellyCriterion]

Strictly wrong:

- a casino is a random game

- stock market is a game of incomplete informatoin

The one cant related to the other by whatever equation.