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Center of Mathematical Finance 
13 September 2014 
2014/15 Program Overview
About Us 
•One of the leading university school of finance in Russia 
•We help students to build long-term career in finan...
Key Milestones 
•2007-2011: Scientific seminar “Financial Econometrics” at the Faculty of Economics, Moscow State Universi...
Our Team 
•Instructors 
–Andrey Baryshov, PE associate, ex-Summa Capital 
–BugaMandzhieva, PE analyst, Russian Direct Inve...
Our Team 
•Assistants 
–Alexey Slobodenyuk, Graduate student, Financial University under the Government of the RF 
–Alina ...
Our Team 
•Instructors 
–Vladimir Piterbarg,PhD in Math, Dept. of Mathematics at MSU 
–Eugene Lukash, PhD in Math, Dept. o...
Our Team 
•Consultants 
–Vladimir V. Piterbarg,PhD in Math, Managing Director, Head of Global Derivatives at Barclays (Lon...
CMF Graduate Students’ Achievements 
•2011/12 
–Eugene Egorov, Analyst of BigDataDepartment, HCFB 
–Ruslan Akhmedzyanov, I...
What Has Been Changed This Year? 
•New instructors from Goldman Sachs 
•More modeling and valuation materials 
–incl. adap...
Universities’ Financial Communities 
10 
Partnership. Not competition
What? 
Leading educational center in finance 
Leading investment bankers’ network 
Educational program 
Regular program wi...
Quantitative Analysis Program Overview 
•General courses 
–Algorithms Design 
–Algorithmic trading practice 
–Econometrics...
Quantitative Analysis: General Courses (1/5) 
Pair trading 
Cointegration, threshold cointegration. Bayesian methods, nonl...
Quantitative Analysis: General Courses (2/5) 
•Market Risks 
•Panel Data 
•Extreme Value Theory 
•Nonparametric Modeling 
...
Quantitative Analysis: General Courses (3/5) 
•Stochastic Analysis 
–Martingale properties. 
–Brownian Motion 
–Ito Calcul...
Quantitative Analysis: General Courses (4/5) 
•First 3 month: 
•Partnership with DmLabs, elective 
•The most important poi...
Quantitative Analysis: General Courses (5/5) 
•DmLabls 
•Data Mining Track —yes, Data Visualization —may be, Sales —no 
•S...
Financial Analysis Program Overview 
•General courses 
–CFA Level 1 preparation 
–Financial statement analysis 
–Financial...
Financial Analysis: General Courses (1/6) 
•Online tests and classroom concept checking 
•Key topics: 
–Ethics 
–Economics...
Financial Analysis: General Courses (2/6) 
•This core module serves as a solid foundation for understanding transactions i...
Financial Analysis: General Courses (3/6) 
•This module provides you with the skills necessary to build a variety of finan...
Financial Analysis: General Courses (4/6) 
•The module provides the complete toolkit of corporate valuation methodologies ...
Financial Analysis: General Courses (5/6) 
•This module builds on the fundamentals of capital markets to introduce an unde...
Financial Analysis: General Courses (6/6) 
•This module examines how to model and understand the impact of a transaction o...
Financial Analysis: Supplementary Course 
•Industries: 
–Banks 
–Metals&Mining 
–Oil&Gas 
–Retail 
–TMT 
–Transportation 
...
Workshops 
•Overview of financial sector/investment banking 
•Overview of current trends in different industries 
•Banking...
Financial Analysis Program Groups 
•Group 1: 12-weeks intensive program 
–More pre-class/homework materials 
–General cour...
Financial Analysis Program Timetable (1/3) 
Date 
Sub-topics 
4-Oct-14 
Overview of financial sector / investment banking....
Date 
Sub-topics 
Lecture / Workshop 
Fundamental analysis 
4-Oct-14 
Income statement, Working capital, Non-current asset...
Financial Analysis Program Timetable (3/3) 
Date 
Sub-topics 
Lecture / Workshop 
Fundamental analysis 
14-Feb-15 
DCF ana...
Supplementary On-Demand Course: Venture Capital 
•We prepare VC analysts in 3 directions 
–Investment evaluation of startu...
Supplementary On-Demand Course: Venture Capital 
32 
Timetable 
Date 
Sub-topic 
4-Oct-14 
Overview of VC Market / VC Fund...
Master’s Program Overview 
•Specialization: Mathematical methods of analysis of economics 
•Major: Mathematical finance 
•...
How to apply (1/3) 
•Access to Moodle is required 
–Complete application form to receive access: bit.ly/cmf_apply 
–Regist...
How to apply (2/3) 
•Location: Moscow State University, Economic faculty 
–Lecture hall # to be confirmed 
•Start time: Sa...
How to apply (3/3) 
•Location: Moscow State University, Economic faculty 
–Lecture hall # to be confirmed 
•Start time: Sa...
Contact Us 
•VK Group: vk.com/cmf_msu 
•Email: cmf.executive@gmail.com 
•CMF EF MSU webpage: http://www.econ.msu.ru/depart...
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20140913 CMF Fall 2014 Presentation

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20140913 CMF Fall 2014 Presentation

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20140913 CMF Fall 2014 Presentation

  1. 1. Center of Mathematical Finance 13 September 2014 2014/15 Program Overview
  2. 2. About Us •One of the leading university school of finance in Russia •We help students to build long-term career in finance •Well-educated instructors from the largest Russian and International financial companies •Strong relationships with the Moscow State University Economic faculty governance •Communication with the recruiting teams of financial companies 2
  3. 3. Key Milestones •2007-2011: Scientific seminar “Financial Econometrics” at the Faculty of Economics, Moscow State University (EF MSU) •Sep-2012: CMF foundation •Jan-2013: “Financial analysis” program launched •Sep-2013: EF MSU Master’s program “Mathematical Finance” established •Oct-2013: First analyst research competition ‘Russian Buffet” •Feb-2014: “Financial modeling” course added: highly positive feedback from the students •Jun-2014: Summer program 3
  4. 4. Our Team •Instructors –Andrey Baryshov, PE associate, ex-Summa Capital –BugaMandzhieva, PE analyst, Russian Direct Investment Fund –David Aryutunyan, Head of projects, OJSC Sistema –Maxim Loginov, PE analyst, Baring VostokCapital Partners –NickolaySkibnevsky, SberbankCIB IBD Summer Internship –NickolayUdalov, IB analyst, SberbankCIB –RuslanAkhmedzyanov, IB analyst, Goldman Sachs –Tatiana Eliseeva, PE analyst, Da Vinci Capital Financial analysis program (1/2) 4
  5. 5. Our Team •Assistants –Alexey Slobodenyuk, Graduate student, Financial University under the Government of the RF –Alina Matygulina, Graduate student, Plekhanov Russian Economic University –ArtemIsaev, Risk analyst, Alfa Bank –Anton Ivanov, Risk analyst, SberbankCIB –EgorKarpunin, Da Vinci Capital Summer Internship –Ekaterina Velikorosova, MMAE Master’s program, Moscow State University –LucineKhachumova, Consumer industrial products auditor, Deloitte –Marina Israelyan, SberbankCIB MBD Summer Internship –Michael Pavlenko, HF analyst, Cybervest –Nikita Akimov, Co-founder, Eristica –Olga Tyshetskaya, International Economics Master’s program, Moscow State University –YuliaGurvits, MMAE Master’s program, Moscow State University –YuliaShkuridina, MMAE Master’s program, Moscow State University Financial analysis program (2/2) 5
  6. 6. Our Team •Instructors –Vladimir Piterbarg,PhD in Math, Dept. of Mathematics at MSU –Eugene Lukash, PhD in Math, Dept. of Economics at MSU –Alexander Kudrov, PhD in Math, Senior Researcher at CEMI RAS –Andrey Zlotnik, Entrepreneur –Anton Ivanov, MA in Economics, Risk analyst at SberbankCIB –Eugene Egorov, MA in Economics Student, Analyst of BigDataDepartment at HCFB –IlyaZlotnik, PhD in Applied Math, Quant at SDC –JaroslavBologov, PhD candidate in Economics, Risk analyst at FCR Bank •Assistants –ArtemIsaev, M.Sc. In Applied Math, Risk analyst at Alfa Bank –Michael Pavlenko, MA in Economics, HF analyst, Cybervest Quantitative analysis program (1/2) 6
  7. 7. Our Team •Consultants –Vladimir V. Piterbarg,PhD in Math, Managing Director, Head of Global Derivatives at Barclays (London) –EvgenePogrebnyak, PhD in Economics, Managing Director at VEB –PavelKoryakin, PhD in ApliedMath, CEO at IT Global LLC –Michael Nechaev, PhD in Math, Managing Director at NASDAQ OMX (Stockholm) –AndreySelivanov, PhD in Math, Head of Market Risk, GazpromExport •Partners –International Laboratory of Quantitative Finance at HSE –Data Mining Lab (St. Petersburg) Quantitative analysis program (2/2) 7
  8. 8. CMF Graduate Students’ Achievements •2011/12 –Eugene Egorov, Analyst of BigDataDepartment, HCFB –Ruslan Akhmedzyanov, IB analyst, Goldman Sachs –Valery Ivanov, Business analyst, Google •2012/13 –Alexey Pogrebnyak, Quantitative analyst, OtkritieBank –Alexey Shabarshin, Founder, CashYou –Anton Ivanov, Risk analyst, SberbankCIB –ArtemIsaev, Risk analyst, Alfa Bank –BugaMandzhieva, PE analyst, RDIF –NickolayUdalov, IB analyst, SberbankCIB –Nikita Akimov, Co-founder, Eristica –Tatiana Eliseeva, PE analyst, Da Vinci Capital •2013/14 –ArtemDrofa, SberbankCIB FI Summer Internship –EgorKarpunin, Da Vinci Capital Summer Internship –Maxim Popov, CIB IBD Summer Internship –NickolaySkibnevsky, CIB IBD Summer Internship –Nikita Lebedev, SberbankCIB IBD Summer Internship –Marina Israelyan, SberbankCIB MBD Summer Internship –RamilNafikov, SberbankCIB FI Summer Internship •2014/15 –? 8
  9. 9. What Has Been Changed This Year? •New instructors from Goldman Sachs •More modeling and valuation materials –incl. adapted AMT and BIWS materials •More in-depth workshops •Data Mining Lab online courses •Communication with Bulge Bracket recruiting teams 9
  10. 10. Universities’ Financial Communities 10 Partnership. Not competition
  11. 11. What? Leading educational center in finance Leading investment bankers’ network Educational program Regular program with pre-class/ online / home works Event-driven program Minimal entry requirements Selected CFA L1 study sessions No Advanced knowledge of finance/ valuation Recommended Required / strongly recommended Specialization Focus on acquiring basic technicalskills Focus on networking events and in-depth modeling workshops Workshops/ Case studies Prepared casestudies based on the study program Case studies based on precedent deals CMF MSU vs. IB Club MSU 11 Complements.Not substitutes We strongly recommend to use a unique opportunity to combine theoretical and practice experience by applying for both programs
  12. 12. Quantitative Analysis Program Overview •General courses –Algorithms Design –Algorithmic trading practice –Econometrics –Stochastic analysis and financial mathematics –Fixed income and Derivatives –Computational Methods –Data mining (feat. Data Mining Lab) –Scientific seminar •Workshops –Risk management –Programming 12
  13. 13. Quantitative Analysis: General Courses (1/5) Pair trading Cointegration, threshold cointegration. Bayesian methods, nonlinear regression (kernel and polinominalestimators) Asset Selection Optimal portfolios, mean-reverting assets Oil Futures Modellingoil-futures, trading strategies Stopping times Pair trading, mean-reverting strategies, momentmstrategies Causality analysis Exchange rates Patterns recognition 13 Algorithms design and Algorithmic trading practice
  14. 14. Quantitative Analysis: General Courses (2/5) •Market Risks •Panel Data •Extreme Value Theory •Nonparametric Modeling •Classification Trees •Nonparametric Classification •Copulas •GeneralLinearModels •SplineApproximation •Wavelet Analysis •Multivariate Adaptive Regression Splines •Independent Components Analysis •Projection Pursuit Regression •Kernel regression 14 Econometrics
  15. 15. Quantitative Analysis: General Courses (3/5) •Stochastic Analysis –Martingale properties. –Brownian Motion –Ito Calculus –DoobDecomposition –GirsanovTheorem –KolmogorovEquation and Feynman–Kacformula •Financial Mathematics –Risk-neutral pricing Derivatives –Binominal and Black-Scholesmodels –Call, Put-options, Greeks –American options 15 Stochastic analysis and Financial mathematics
  16. 16. Quantitative Analysis: General Courses (4/5) •First 3 month: •Partnership with DmLabs, elective •The most important points and cases for all •Next: •Partnership with DmLabs, close or less •Focus on financial cases 16 Data mining
  17. 17. Quantitative Analysis: General Courses (5/5) •DmLabls •Data Mining Track —yes, Data Visualization —may be, Sales —no •Sunday Hackathons: Intro from company —doing —discussion the best solution •Stepic—user leaving prediction •Delloite—regular partner of DmLabs •Jetbrains—new for both us and them •Odnoclasniki—like prediction •Siemens —tbd •TUM/fortiss—Human Brain Project •…and even more •Step-by-Step every Wednesday evening: •cleaning&imputation—working with data •supervised ML •predictive model design •unsupervised ML •Data Analysis framework 17 Data mining
  18. 18. Financial Analysis Program Overview •General courses –CFA Level 1 preparation –Financial statement analysis –Financial modeling –Valuation principles –Deal financing –Deal structuring •Supplementary course –Fundamental analysis •Workshops 18
  19. 19. Financial Analysis: General Courses (1/6) •Online tests and classroom concept checking •Key topics: –Ethics –Economics –Quantitative methods –Financial statement analysis –Corporate finance –Portfolio management –Equity investments –Fixed income –Derivatives –Alternative investments CFA Level 1 preparation 19
  20. 20. Financial Analysis: General Courses (2/6) •This core module serves as a solid foundation for understanding transactions in both financing and M&A context. It provides you with essential financial statement analysis skills, in preparation for modeling, valuation and deal structuring. •We'll start out by looking at companies’ financial statements and building a 3-statement model from the ground up, going through the Income statement, Balance sheet, and Cash flow statement, and then linking them together. •Key topics: –Income statement –Current assets and working capital –Non-current assets –Debt and equity –Cash flow statement –Earnings per share Financial statement analysis 20
  21. 21. Financial Analysis: General Courses (3/6) •This module provides you with the skills necessary to build a variety of financial models. Cutting edge techniques are used to help build accurate, flexible and user friendly models. •The entire course is based on a case study of selected companies, using real company filings •Key topics: –Financial modeling fundamentals –Three statement modeling –Integrity and error checking –Financial modeling and forecasting –Financial modeling from scratch Financial modeling 21
  22. 22. Financial Analysis: General Courses (4/6) •The module provides the complete toolkit of corporate valuation methodologies as they are currently used by bankers. •In this course, we'll begin our discussion of valuation with an overview of how we use public company comparables, precedent transactions, and discounted cash flow analysis to value a company. •Key topics: –Valuation overview –Common stock comparisons –DCF analysis –Present value of future stock price –Consolidating financial statements –Merger plans –Pulling the analysis together Valuation principles 22
  23. 23. Financial Analysis: General Courses (5/6) •This module builds on the fundamentals of capital markets to introduce an understanding of the key products, issuers and investors for each product discussed •Key topics: –Capital markets fundamentals –Equity capital markets –Fixed income fundamentals –Debt capital markets –Credit analysis fundamentals –Credit comparables Deal financing 23
  24. 24. Financial Analysis: General Courses (6/6) •This module examines how to model and understand the impact of a transaction on the financial statements of a company. It then assesses the appropriate structuring of the transaction •In this course, you'll learn how to build an advanced LBO model that incorporates all 3 financial statements, pro-forma balance sheet adjustments, and several tranches of debt from the revolver to PIK notes. •Key topics: –Leveraged buyout analysis –LBO modeling Deal structuring 24
  25. 25. Financial Analysis: Supplementary Course •Industries: –Banks –Metals&Mining –Oil&Gas –Retail –TMT –Transportation •Key topics: –Industry profile –Value chain analysis –Company profile –Industry specific valuation metrics Fundamental analysis 25
  26. 26. Workshops •Overview of financial sector/investment banking •Overview of current trends in different industries •Banking applications overview (Capital IQ, BBG, Factiva, Thomson Research) •Presentation/soft skills •Valuation best practices •Presentation/soft skills •Overview of buy and sell-side M&A process •IPO process •Interview tips/Interview preparation •ECM/DCM/Credit agencies overview •Regulation/legislation: Russian securities market information requirements, M&A process in Russia 26
  27. 27. Financial Analysis Program Groups •Group 1: 12-weeks intensive program –More pre-class/homework materials –General courses only (ex. CFA preparation) –Preparation for the Bulge Bracket off-cycle interview sessions starting on Dec-2014 –Computer classroom with BBG Professional installed •Group 2: 24-weeks in-depth program –All courses and workshops –Preparation for the summer interview sessions starting on Mar-2015 –Lecture hall: laptops are required 27
  28. 28. Financial Analysis Program Timetable (1/3) Date Sub-topics 4-Oct-14 Overview of financial sector / investment banking. Income statement, Working capital, Non-current assets, Debt and equity, Cash flow statement, EPS 11-Oct-14 Financial modelingfundamentals, Three statement modeling, Integrity and error checking 18-Oct-14 Financial modelingand forecasting. Financial modelingfrom scratch 25-Oct-14 Valuation overview, Common Stock Comparisons. Deal comparison. Industry specific valuation metrics 1-Nov-14 DCF analysis 8-Nov-14 DCF analysis. Pulling the analysis together 15-Nov-14 Consolidating financial statements, Merger plans 22-Nov-14 Equity / Debt capital markets 29-Nov-14 Interview tips / Interview sessions 6-Dec-14 Workshop / Case study 13-Dec-14 Workshop / Case study 20-Dec-14 Final exam 12-weeks program: Oct-14 / Dec-14 28 Finding Key Financial Figures topics Modeling the Businesstopics Valuation Principles topics Financing the Deal topics
  29. 29. Date Sub-topics Lecture / Workshop Fundamental analysis 4-Oct-14 Income statement, Working capital, Non-current assets Overview of Financial Sector / Investment Banking 11-Oct-14 Debt and equity, Cash flow statement, EPS Industries presentation, Key templates 18-Oct-14 Financial modelingfundamentals, Three statement modeling, Integrity and error checking Overview of trends in different industries (Equity research presenters) 25-Oct-14 Financial modeling and forecasting Industry profile 8-Nov-14 Financial modeling and forecasting Value chain analysis 15-Nov-14 Valuation overview, Common Stock Comparisons Banking applications overview (Capital IQ, BBG, Factiva, Thomson Research) 22-Nov-14 Common Stock Comparisons Company profile 29-Nov-14 Present value of future stock price, Deal comparison Industry specific valuation metrics 6-Dec-14 Workshop / Case study 13-Dec-14 Workshop / Case study 20-Dec-14 Mid-term exam Financial Analysis Program Timetable (2/3) 24-weeks program: Oct-14 / Dec-14 29 Finding Key Financial Figures topics Modeling the Businesstopics Valuation Principles topics
  30. 30. Financial Analysis Program Timetable (3/3) Date Sub-topics Lecture / Workshop Fundamental analysis 14-Feb-15 DCF analysis 21-Feb-15 DCF analysis Valuation best practices 28-Feb-15 Consolidating financial statements, Merger plans Final analyst report preparation 14-Mar-15 Consolidating financial statements, Merger plans Overview of buy and sell-side M&A process 21-Mar-15 Valuation issues, Pulling the analysis together Final analyst report preparation 28-Mar-15 Case study 4-Apr-15 Capital markets fundamentals, Equity capital markets IPO process 11-Apr-15 Fixed income fundamentals, Debt capital markets for issuers Interview tips / Interview preparation 18-Apr-15 Credit analysis fundamentals, Credit comparables Final analyst report & presentation 25-Apr-15 Leveraged buyout analysis ECM / DCM / Credit agencies overview 16-May-15 LBO modeling Regulation / legislation: Russian securities market information requirements, M&A in Russia 23-May-15 Final case study 30-May-15 Final exam 24-weeks program: Feb-15 / May-15 30 Valuation Principles topics Financing the Deal topics Structuring the Deal topics
  31. 31. Supplementary On-Demand Course: Venture Capital •We prepare VC analysts in 3 directions –Investment evaluation of startup industry companies –Structuring and packaging the startups for the investor –Simulation of the real VC Fund •Instructors –Alexey Shabarshin, Founder, CashYou –Pavel Bartev, Director of the Department, Skolkovo –EgorKarpunin, Da Vinci Capital Summer Internship 31 Course overview and our team
  32. 32. Supplementary On-Demand Course: Venture Capital 32 Timetable Date Sub-topic 4-Oct-14 Overview of VC Market / VC Fund work principles, Portfolio Manager role, the roles of the team, KPI settings 11-Oct-14 Financial modeling fundamentals, VC evaluation secrets, checking VC Fund perfomance 18-Oct-14 Presentation of Teams portfolio company, Working with professional associate of the real Fund 25-Oct-14 Industry specific valuation metrics 1-Nov-14 Open workshop with professional legal specialist 8-Nov-14 New methods in Startup valuation 15-Nov-14 Presentation of Teams portfolio company, Working with professional associate of the real Fund 22-Nov-14 Presentation of Teams portfolio company, Working with professional associate of the real Fund 29-Nov-14 Presentation of Teams portfolio company, Working with professional associate of the real Fund 6-Dec-14 Open Workshop with VP of leading Russian VC Fund 13-Dec-14 Open Workshop with Fund and Startup representatives 20-Dec-14 VC Fund Results:Final Tests and interviews Introduction Valuation of the Startup sessions VC Fund simulations Deal Structuring in VC Market topics
  33. 33. Master’s Program Overview •Specialization: Mathematical methods of analysis of economics •Major: Mathematical finance •2013/14 group: 11 students (out of 25 on the program) •2014/15 group: interviews with the potential students to be conducted until the end of September •About EF MSU Master’s programs –http://www.econ.msu.ru/programms/masters/ •About Mathematical methods of analysis of economics sub-program –http://www.econ.msu.ru/students/mag/curricula/mmae/ Moscow State University, Economic faculty 33
  34. 34. How to apply (1/3) •Access to Moodle is required –Complete application form to receive access: bit.ly/cmf_apply –Registration closes on Monday, 15 September, 23.00 •Test closes on Thursday, 18 September, 23.00 •Attempts allowed: 1 •General session: 100 questions, time limit –150min •Financial Analysis session: 60 questions, time limit –90min •Quantitative Analysis session: 60 questions, time limit –90min •Excel and financial calculator are permitted •Results on Friday, 19 September 1 round: online test 34
  35. 35. How to apply (2/3) •Location: Moscow State University, Economic faculty –Lecture hall # to be confirmed •Start time: Saturday, 20 September, 12.00 •General session: 100 questions, time limit –150min •Financial Analysis session: 60 questions, time limit –90min •Quantitative Analysis session: 60 questions, time limit –90min •Laptop/phone/any other devices are prohibited •Any calculators are permitted •No IRR/bond yield calculation questions •Results on Friday, 26 September 2 round: classroom test 35
  36. 36. How to apply (3/3) •Location: Moscow State University, Economic faculty –Lecture hall # to be confirmed •Start time: Saturday, 27 September, 12.00 •Your background review •Technical questions •Soft skills / motivation questions •Recent Russian and global M&A/IPO deals •Key topics to prepare –Financial Analysis program: bit.ly/cmf_topics_f –Quantitative Analysis program: bit.ly/cmf_topics_m 3 round: interview questions 36
  37. 37. Contact Us •VK Group: vk.com/cmf_msu •Email: cmf.executive@gmail.com •CMF EF MSU webpage: http://www.econ.msu.ru/departments/CMF/ 37

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