Quantcast Master’s Series: Jack Jacquier, Imperial College London

This episode of Quantcast Master’s Series – part of the Tomorrow’s Quants project – welcomes Jack⁤ jacquier,director of the Master’s​ in Mathematics and Finance at Imperial College,London (ICL).

Imperial’s program strikes a ⁢balance between ‌the teaching of modelling foundations and applications,something it has in common with many programmes in quantitative finance.

Jacquier is confident the programme dose⁤ not compromise either aspect, and recalls the ‌words of ​the late Mark Davis, who launched ‌it in the early 2000s: “It’s the most theoretical and the most⁤ practical at the same time.”

The programme⁣ sits within the ​mathematics department and most lecturers are thus mathematicians and probabilists,inclined to rigorous,theoretical‍ teaching.

The connection with⁤ the industry is multifaceted. Visiting professors are almost a third of the teaching staff, ⁣and include renowned quants who have distinguished ‍themselves​ for the quality of their quantitative research. They include the likes of Alexei ⁢Kondratyev head of risk at⁢ SW7 Group, Gordon Lee, head ‌quant at Bank of New​ York, Vladimir Lucic head quant ​at Marex ​Solutions and Vladimir Piterbarg head quant⁣ at Natwest Markets. the ​alumni network is very active and benefits from its London base – the faculty cultivates ⁤numerous collaborations with financial institutions, such as the CFM -‍ Imperial Institute of Quantitative⁣ finance.

The ‌programme differs from many others that⁤ have a ​sole director: ICL has three, who juggle ‍teaching, managing admissions, deciding the programme’s ​modules and ​selecting lecturers.

Changes in the curriculum are therefore debated among the directors, who are focused on keeping it in line with industry demands. “Ten-to-15 years ago, ⁤we were very ‍focused​ on pricing derivatives, ⁣numerical methods