Quantcast Master’s Series: Dan Stefanica and Jim Gatheral

Baruch College leaders on how they manage the top-ranked quant finance master’s programme

In this, the first episode of the Quantcast Master’s Series – a central component of Risk.net’s Tomorrow’s Quants project – our guests are Dan Stefanica, director of the Master of Financial Engineering programme at Baruch College of the City University of New York, and Jim Gatheral, presidential professor of volatility modelling at the college.

For the past two years, the programme has held top spot in the Risk.net Quant Finance Master’s Guide, distinguishing itself for the quality of its faculty, the high average salary of its graduates and its immaculate placement rate, among other metrics.

Stefanica, who has managed the program for more than two decades, explains that in 2022 he introduced a new admission process – something he terms a quant background assessment – designed to test candidates on maths, statistics and finance, in one fell swoop.

Quantcast – a Risk.net Cutting Edge podcast · Masters series: Dan Stefanica and Jim Gatheral 14/11/25

 

As reported in recent editions of the Quant Finance Master’s Guide, Baruch has, over the past three years, received on average more than 400 applications per year. Fewer than 6% of candidates are selected to enrol. To maintain such high selectivity, Baruch stopped using GRE and Gmat scores – the Graduate Record Examinations and Graduate Management Admission tests used by many colleges – because for the top distribution of students, Stefanica found, these tests were not sophisticated enough to rank candidates: they would all emerge with top marks.

Stefanica and Gatheral also address the use of large language models (LLMs) during the podcast, explaining that students are encouraged to use them for coding. As Stefanica says, nobody needs to learn coding from scratch these days.

“Our students, no matter what job they end up doing, will spend a significant amount of their time coding,” adds Gatheral. “We don’t teach coding but every assignment we give involves coding.”

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Stefanica says: “What is happening now because of LLMs is that everyone is coding more and more efficiently... every quant has become a better coder.” So, what financial institutions need is high-calibre, senior quants who can debug and understand the output of a LLM-generated code. The flip side of this is that, now, fewer quant developers seem to be required – a trend he observes having started as early as 2023.

Another trend Stefanica notes is the growing time and hurdles candidates have to go through to obtain their visa to study in the US, which pushed Baruch to anticipate application deadlines earlier and allow foreign students more time.

For a long time now, Gatheral has been the star name of the faculty. It’s a role that squarely fits his ambitions – it combines his passions for teaching and for conducting research in volatility modelling “free of commercial constraints”. Gatheral is one of the pioneers of rough volatility modelling, one of the most significant innovations in the field of the past two decades.

In this podcast, he shares his experience, the results of his latest research projects and what has motivated him to start new projects over his career. Drawing from it, he dispenses advice to young aspiring quants, whose careers will depend not only on hard work, he says, but also on the people who will help their growth in their formative years.

To hear the full interview, listen in the player above, or download. Future podcasts in our Quantcast series will be uploaded to Risk.net. You can also visit the main page here to access all tracks, or go to Spotify, Amazon Music or the iTunes store to listen and subscribe.