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Total Posts: 16
Joined: Oct 2013
Posted: 2013-12-21 02:08
How do the following compare? What are the main differences and distinctions between them?
quantitative finance
mathematical finance
computational finance
financial engineering



Total Posts: 250
Joined: Jun 2004
Posted: 2014-01-07 08:03
Views and definitions will differ on these of course, but here are a few brush strokes:

Econometrics involves the analysis of statistical data, and I usually associate it with time series analysis, but there are cross-sectional models as well. Tools used include R, SAS, or SPSS, and are backward-looking. Econometrics answers questions like "How often does an increase in volatility precede a 10%+ drop in the index?", or "How do average temperatures affect coffee prices?"

Quantitative finance and Mathematical finance are more theoretical, do not necessarily rely on historical data, and use models to answer forward-looking questions like "What will the price of this option be in 3 months if rates move up 20bps?" Tools may include pen and paper, Mathematica, or what I describe as computational finance.

Computational finance is what I call "coming up with numerical solutions to problems in Quant / Math finance". Methods include monte carlo, finite differences, and binary trees, and tools include C++ and Matlab.

Financial engineering can include any of the above terms, but I also use it to describe the practice of creating actual financial products using one or more of the above disciplines, for example, deciding whether a company should buy back shares and issue convertible debt, or packaging debt into a CDO or bond repack structure. There is also a negative connotation of financial engineering that involves creative accounting and capital structuring for less honest purposes, but I am a firm believer than financial engineering is a net good just as automotive engineering is a net good.


Total Posts: 15
Joined: Nov 2013
Posted: 2014-02-16 20:06
Econometrics is a very broad subject. It is, indeed, closed related with statistics, but not the same thing. The main objective of econometrics is to give empirically content to economic and financial theory. It uses statistical methods to study and test the theory.
Time series analysis is not the dominant field, even for the financial applications. For instance, Fama-French is mainly a cross-section model.
It is not only backward-looking, as great deal of econometricians are interested in forward-looking prediction.
The major tool for econometric analysis is Matlab. Ox metrics, R, eviews, Stata are also broadly used. But SAS and SPSS are tools for statistics.
In sum, any economic or financial model can be subject of econometrics analysis, as long you have data. Hence any of the other courses should and could be complemented with econometrics for empirical modelling. Unless you are willing to use an atheoretical empirical approach as statistical machine learning.
For financial applications there a vast range of econometric models, such as: Cross-sections, linear time-series, panel data (CS+TS), structural models, Vector auto-regressions, error-corretion models, cointegration, unit roots, simulation-based models, xARCH, STAR, markov chain monte carlo, duration models, extreme value, kalman filter, generalized methods of moments and so on...


Total Posts: 1
Joined: Dec 2014
Posted: 2015-01-10 17:12
I myself study econometrics and operations as a bachelors degree. we started of with basic courses in Analysis linear algebra and probability theory as well as macro and micro economics and finance. In the second year we treat topics like game theory, linear and nonlinear (mathematical) programming, network flows, regression analysis and more sophisticated statistical tool, decisions under uncertainty, and time series related models as well as cross-sectional data models. after my semester abroad I will cover courses On algorithms and allocations and (dynamic) modeling.
Taken together it is a very mathematical based course with some economics and finance. On the computational side we get introductions mathematica, stata and AIMMS, however several courses require/teach the use of c++ focusing on object oriented implementations with no focus on graphics or other more system specific content.
here you can find an overview of the program:
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