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I've been reading John Hull book (Options, Futures and Other Derivatives) mostly on curiosity. I've read other books about financial markets in the past (like Elder's Trading for Living and the novel Reminiscences of a Stock Operator). But I'm really hooked by the John Hull book.

My background is mostly scientific computing: number crunching, visualization and image processing. Mostly in C++, with some C, Fortran, Python, Ruby here and there.

I've been thinking on moving on to quantitative finance - I'd like to do that. What would be the best way to start? Any tips?

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What is your educational background? Have you ever done AI programming in C++? I know that neural networks are used a lot. –  Jetti Nov 16 '10 at 18:48
@Jetti I have done extensive machine learning work both with Neural networks and SVM. My educational background is materials science. –  Vitor Nov 16 '10 at 19:24
I dare you to read "Fooled by Randomness" - it is only 200 pages. Also, prepare to work with your keyboard bolted to the floor, if you know what I mean. My friends and I have worked in finance, several have left to pursue more meaningful careers. –  Job Feb 16 '11 at 2:17
@Job Now it's too late, I already got a new job =) Fortunately, the company have an excellent work life balance and a very good climate. It has been interesting and very enjoyable, at least util now. –  Vitor Feb 16 '11 at 2:29
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2 Answers

up vote 2 down vote accepted

R, matlab, K, Excel, and C/C++/Java are the most common languages used in quantitative finance. It really depends on where you want to go.

Given that your question is about starting a career in quantitative finance, what is your background (school, degree, programming experience, math background, etc.)

The Hull book is an introductory primer to the field. I recommend something more advanced, either in mathematics (for example, methods of mathematical finance by shreve and karatzas) or in programming (there was a book by jarrow which went over finite difference methods)

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@Foh Bah I feel at ease with Finite Differences since I have a good background in scientific computing (my formal background is materials science). I've developed software (scientific, GIS, ...) through all of my career. I'll take a look at the the Shreve and Karatzas book, thank you. Is K really common? I have a thing for APL and derivatives. –  Vitor Feb 21 '11 at 2:13
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A lot of this work is done in SAS so you might consider learning that. You might have to move to a transition job first, for example focusing on business intelligence technology to get close to a group doing this kind of work and then moving over as you learn their business and can demonstrate these skills.

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I haven't heard of many "Quants" using SAS. I know they use C++ <en.wikipedia.org/wiki/Computational_finance>; –  Jetti Nov 16 '10 at 18:45
Yeah they do use it for linear regression analysis and related functions. The exact description and tools probably varies pretty widely - in my company the quants don't use C++. –  Jeremy Nov 16 '10 at 19:39
When I was contracting at a mortgage company, the more creative work was done in SAS. I was involved in turning it into a C++ executable, something we could actually deploy to multiple systems and run in a reasonable period of time. –  David Thornley Nov 16 '10 at 21:08
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