>"Theoretically a relatively smooth transition is possible because there are 'quant developer' jobs out there."
Quant-Developer is a weighted sum of q% quant and d% developer. Ideally you'd like q to be high and d to be small. What happens in practice is that many companies will hire a quant developer, throw 90% of d at you and keep you enticed with some 10% q. This is rather sad, but I have seen this happen to more than half of the graduating class of 2011. Perhaps 5% of my classmates are doing 100% q. Another 20%, including myself, are remarkably lucky to be doing 80%q , 20%d. But the rest of my classmates are stuck with 80%d 20%q, and even the q is watered down cookbook solutions. And this is the case with University of Chicago graduates, so you can imagine what goes on with grads of non-top-10 quant schools. There are companies in the chicago area (morningstar, for eg., and even much of cme) which advertise for quant developers but give you 99%d, 1%q ! What they really want is an sql guy who maintains the securities database and writes stored procedures, but they will go ahead and call you "quant developer" anyways. Its a rather shady practice imo. Sadly, the worst offenders are startups in finance. I spoke to one who asked me a ton of interesting quanty questions straight out of Mark Joshi...but when it came to the actual job I'd be doing, the CTO says (actual quote) "you don't need anything more than mean and variance, we are all generalists here". Then why do you want a guy with a math masters and a cs masters and a quant masters...just hire a high school student.
Your best bet is to stick with IBs & large banks. They have tons of really interesting ( and really hard ) math problems to work on, they aren't going away anytime soon,and they will pick up the tab for your math phd costs ( or lightweight garbage like series 7 and cfa, if pde ain't your thing).
I agree with you about IBs and large banks. We had some really interesting stuff going on to the extent we were leaders in our field. I wouldn't call CFA lightweight though, I found it hard. It was mainly memorisation of boring, boring, boring stuff. Little motivation == hard.
Quant-Developer is a weighted sum of q% quant and d% developer. Ideally you'd like q to be high and d to be small. What happens in practice is that many companies will hire a quant developer, throw 90% of d at you and keep you enticed with some 10% q. This is rather sad, but I have seen this happen to more than half of the graduating class of 2011. Perhaps 5% of my classmates are doing 100% q. Another 20%, including myself, are remarkably lucky to be doing 80%q , 20%d. But the rest of my classmates are stuck with 80%d 20%q, and even the q is watered down cookbook solutions. And this is the case with University of Chicago graduates, so you can imagine what goes on with grads of non-top-10 quant schools. There are companies in the chicago area (morningstar, for eg., and even much of cme) which advertise for quant developers but give you 99%d, 1%q ! What they really want is an sql guy who maintains the securities database and writes stored procedures, but they will go ahead and call you "quant developer" anyways. Its a rather shady practice imo. Sadly, the worst offenders are startups in finance. I spoke to one who asked me a ton of interesting quanty questions straight out of Mark Joshi...but when it came to the actual job I'd be doing, the CTO says (actual quote) "you don't need anything more than mean and variance, we are all generalists here". Then why do you want a guy with a math masters and a cs masters and a quant masters...just hire a high school student.
Your best bet is to stick with IBs & large banks. They have tons of really interesting ( and really hard ) math problems to work on, they aren't going away anytime soon,and they will pick up the tab for your math phd costs ( or lightweight garbage like series 7 and cfa, if pde ain't your thing).