For reasons I’ll explain another time, in Fall 1995 I was Vice Provost at Polytechnic University and getting pretty stressed out trying to tell the Provost and President how to do their jobs. Around Thanksgiving I had dinner with a friend who had abandoned academic mathematics to become the sole quant at a interest rate derivatives subsidiary of a large Japanese bank. He mentioned how he was looking for a second quant and how he didn’t even care if it was someone who took a leave of absence from their faculty position (normally, this is frowned upon). I immediately said I was interested. I went through some perfunctory interviews and got the job.
I had a blast. My friend was really really smart and brought me up to speed pretty quickly. I learned to code in C++ and implement various math finance models, nothing fancy. The highlight was a credit risk model, where we avoided using Monte Carlo and instead used convolution to add a bunch of random variables. But my friend did not get along at all with the guy who ran the company or all the other senior VPs. He thought they were all idiots and had a hard time not letting that show.
After about 5 months, I decided that I wanted to return back to being professor. But one day, before I told anyone about my decision, I show up to work and find my friend grabbing stuff off his desk. He whispers to me, “I’ve been fired”. The head of the company calls me in and tells me I’m the new head of research. The next day I go to his office and announce I’m quitting to go back to the university. He yells at me for a while, and then he offers me a part time gig as a consultant. He still needs me because he has to have a quant, if only for regulatory reasons. He asks me how much I want to be paid. I name a number. That night I realized that I had underpriced myself by a factor of two. So the next day I go back and tell him I want my bonus and my rate will be twice what I had said the day before. He says yes to all of it.
So I helped them interview, hire, and train two new quants (recent physics PhDs from UChicago), which I found pretty amusing because the new hires had more experience than I did. Anyway, I did a great job, because both are still working there today. One of them is now the head trader after previous guy retired.
As a professor, I’m allowed to do one day of consulting per week. So for a few years after that I would show up every Friday and help them. After a year or two, they didn’t really need me, but they seemed to like having me around, just in case. So I would just hang out and distract them from their work. The money I made helped pay for life in NYC as a professor. Finally, during one of the financial crises (I forget which one), the company needed to lay off people, and they noticed they were paying this consultant to do nothing. And that was the end of that.