SYS 4581

This class is hard, material-wise and because of the fact that it is only once a week for 2:30 hours. I would advise against taking it unless you are really interested in finance. Also the class has implicit prereqs of Calc 3, prob, stat, and linear algebra, although you dont really need to use them for graded material. Thompson is a pretty cool guy and definitely knows what he is talking about/ has great experience in the field. This class is what you make of it. Prepare well and stay involved in the material each week and you should do extremely well. Have trouble paying attention and keeping up and you will inevitably not do that well.

Professor Thompson is really legit when it comes to knowing a lot about financial markets and actual real investing. He structures the course well and you cover a lot of material (FI, utility theory, dynamic programming, option pricing, equity factor models, and risk management). I would definitely recommend having a decent math/finance background before taking this class. You will need to use linear algebra, Lagrange multipliers, and need to understand stats to some degree. The book isn't that great and has a lot of typos, but Professor Thompson's slide decks will teach you what you need for the course. You get out what you put in terms of learning from this class. His assignments and tests usually aren't as difficult as the material could be. Also you can still learn a lot if you are from the Comm school or not. Grading is roughly equally split between 4 HW assignments, a midterm, a final project, and a final exam.

Thompson is an MD at Blackstone, and has led a credit team at Citadel in the past. He's very qualified and knows a lot about quantitative finance. The only problem is he is very bad at teaching. He often drones on about a topic for 30 minutes when it could've been explained clearly in 5 minutes. As a result, he fell very far behind in his lectures. He also has an extremely monotone voice and thus lectures are very boring. The class only meets once a week for 2.5 hours since he works in New York during the week, so you have to suffer for 150 minutes with one of the driest lecturers. Basically everyone is on their computer doing other things while he drones on.

The class itself is quite tough. The textbook isn't very good and the problem sets can take a long time. The tests are also tough; the midterm average was a 71 and the final exam was arguably harder than the midterm. A lot of interesting topics are covered though, so if you're looking to get into quantitative finance you should take this course.