CERTIFICATE IN                                                                           CERTIFICATE IN                   ...
CERTIFICATE IN   FINANCE CQFA message from the Course FoundersWelcome to our program for practitioner education inquantita...
E: info@cqf.com W: cqf.comIntroductionThe Certificate in Quantitative Finance (CQF) is a six-month part-time course design...
Your CQF Journey                                              APPLY                                                       ...
E: info@cqf.com W: cqf.com                                                                        LIFELONG LEARNINGLEARN  ...
Applicant ProfileCQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a w...
E: info@cqf.com W: cqf.comGeographical locations of delegates     NORTH AMERICA     USA      New York      Chicago      Sa...
CQF AlumniThe CQF alumni community is continually expanding all over the world. The current network consists ofover 2000 a...
E: info@cqf.com W: cqf.comProgram DeliveryThe CQF is at the forefront of interactive online learning and is continually de...
CQF ALUMNI PROFILEName: Bipin PatelPrevious Qualifications: M.Sc., Theoretical Physics, University of PennsylvaniaCurrent ...
E: info@cqf.com W: cqf.comMathematics for Quantitative Finance PrimerThe CQF program begins with the Mathematics Primer; 1...
CQF Program Content                                                    MODULE ONE                                         ...
E: info@cqf.com W: cqf.comMODULE TWO                                                              MODULE THREERisk and Ret...
Lifelong LearningAlumni LecturesThe Alumni Lectures are the biggest component of Lifelong Learning and contains a library ...
E: info@cqf.com W: cqf.com PORTFOLIO MANAGEMENTEquity Portfolio Risk Management (Jason MacQueen)Frankenstein’s Model or th...
CQF ALUMNI PROFILEName: Stewart ButtonPrevious Qualifications: Bachelor of Engineering with First Class Honours, Universit...
E: info@cqf.com W: cqf.comLifelong LearningCertificate in Mathematical Methods (CM2)The Certificate in Mathematical Method...
CQF ALUMNI PROFILEName: Lilan LiPrevious Qualifications: Institut national des Sciences appliquées de Lyon; Diplome d’ingé...
E: info@cqf.com W: cqf.comLifelong LearningTrading SimulatorThe CQF Trading Simulator fully backs up the lecture and works...
CQF FacultyWorld-renowned practioners and respected academicsDr Paul Wilmott                                              ...
E: info@cqf.com W: cqf.comDr Iris Mack                                                      Dr Alonso PeñaIris, PhD, EMBA ...
CQF ALUMNI PROFILEName: Eleanna SkoutaPrevious Qualifications: BSc Honours Computer Science with Artificial Intelligence, ...
E: info@cqf.com W: cqf.comHow to Apply                                                                       Fees and Fina...
FAQs                                              Should I attend the program?                                            ...
E: info@cqf.com W: cqf.comWhat level of mathematics is required?Delegates should have a numerate academic qualification an...
Our Affiliates7city LearningSince its inception in 2000, 7city has become a trusted training provider to financialinstitut...
CERTIFICATE IN   FINANCE CQFA message from the Course FoundersWelcome to our program for practitioner education inquantita...
CERTIFICATE IN                                                                           CERTIFICATE IN                   ...
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CQF Brochure 2013

  1. 1. CERTIFICATE IN CERTIFICATE IN FINANCE FINANCE CQF CQF GLOBAL STANDARD IN FINANCIAL ENGINEERING GLOBAL STANDARD IN FINANCIAL ENGINEERING 7city LearningLONDON NEW YORK SINGAPORE DUBAI4 Chiswell Street, 55 Broad Street, 112 Robinson Road, Dubai International Financial Centre,London, 3rd Floor, #03-03 Singapore Al Fattan Currency House, Tower 2, Level 7,EC1Y 4UP New York, NY 10004 068902 Office No. 704, PO Box 482058t +44 (0) 845 072 7620 t +1 800 974 0394 t +65 6327 1581 t +971 800 72489 E: info@cqf.com W: cqf.com cqf.com
  2. 2. CERTIFICATE IN FINANCE CQFA message from the Course FoundersWelcome to our program for practitioner education inquantitative finance. In this brochure you will find detailsof the Certificate in Quantitative Finance, together with allthe supplementary courses in C++, Lifelong Learning andour Trading Simulator which are included in the program.All training is delivered live via international webcast. Thisglobal delivery puts us at the forefront for online learning.Our team of lecturers consists of full-time staff chosen fortheir training skills and dedication to client satisfaction, alongwith respected and experienced practitioners working in Paul Wilmott, Course Founderinvestment banks and hedge funds. Finance is an extremelyfast-paced and increasingly sophisticated profession. We canhelp you and your company stay ahead of the competition.We are proud of the quality and relevance of our quantitativefinance program, and we are continually striving to keep it thebest in the world.We look forward to working with you.Paul Wilmott Paul ShawCourse Founder Course Director Paul Shaw, Course Director Contents 3 Introduction 4-5 Your CQF Journey 6-7 Applicant Profile 8 CQF Alumni 9 Program Delivery 11 Mathematics for Quantitative Finance Primer 12-13 CQF Program Content 14-19 Lifelong Learning 20-21 CQF Faculty 23 How to Apply 24-25 FAQs 26 Affiliates
  3. 3. E: info@cqf.com W: cqf.comIntroductionThe Certificate in Quantitative Finance (CQF) is a six-month part-time course designed for in-depth trainingfor individuals working in, or intending to move into, derivatives, IT, quantitative trading, insurance orrisk management. The CQF is unique in its structured approach and commitment to the field of real worldquantitative finance. At all times the program’s focus is on practical implementation of techniques and on thequestioning and analysis of models and methods.The global standard in quantitative finance, the CQF provides analysis of practical quantitative techniquesimportant in today’s, and tomorrow’s, financial landscape. BENEFITS: World Class Quants Qualification • he CQF is a challenging qualification, career enhancing, T well respected and internationally renowned CQF ALUMNI PROFILE Name: Anuj Gupta Part-Time Flexible Learning Previous Qualifications: M.Phil. In Advanced Chemical Engineering, • ix-month flexible part-time program delivered twice a year S University of Cambridge, UK • ll lectures are available streamed over the internet live and A recorded. Recorded lectures are available in perpetuity Current Position: Director, Equity Commodity Valuations, • rovides an in-depth coverage of practical quantitative P UBS methods for today’s financial market “ he CQF not only teaches you the T mathematics under-pinning the different Expert Teaching and Support financial models, it highlights their main assumptions and potential dangers. It has • he CQF faculty, led by Dr Paul Wilmott, is a highly T certainly helped me enhance my career acclaimed team of instructors combining leading academics aspirations while keeping abreast with and practitioners specializing in the field of cutting edge modeling developments.” quantitative finance Lifelong Learning • QF alumni benefit from a rapidly expanding continuing C professional development program • ifelong Learning consists of hundreds of lectures including L C++ for financial programming and the Certificate in Mathematical Methods • QF alumni membership, all materials and books and access C to recordings in perpetuity 3
  4. 4. Your CQF Journey APPLY PREPAREATTEND Online application Apply online now and the Admissions Team will confirm your acceptance to the program within five working days. Ask a question Detailed study materialsThe best way to find out more about The CQF program begins with thethe CQF is to attend one of our Mathematics Primer, 15 hours ofinformation sessions or live webinars. intensive training covering all the• Meet the team mathematical preliminaries you need to know before commencing the• Discuss details about the course quantitative finance lectures. See Page 11• Talk to alumni and faculty for more details.• lobal information sessions and live G webcasts available• ecorded session available at cqf.com R 4
  5. 5. E: info@cqf.com W: cqf.com LIFELONG LEARNINGLEARN Fully flexible learningThe examined part of the CQF program comprises six modules.Each module covers a different aspect of quantitative finance andconsists of lectures and discussions. Delegates are encouraged Education for the whole of your careerto complete weekly exercises prior to the commencement of thenext class. At the end of each module, delegates take a written Alumni Lectures - These frequent lectures are arranged forexam and have to score 60% or above to gain certification in that CQF Alumni, recorded and added to your portal.module. Module 6 is a practical financial engineering project. Masterclasses - Delve deeper into specific subjects with theModule One – Basic Building Blocks of Quant Finance CQF’s Masterclasses including lectures from Paul Wilmott,Module Two – Risk and Return Henriette Prast, Wim Schoutens and Claudio Albanese.Module Three – Equity, Currency and Commodity Derivatives CM2 – The Certificate in Mathematical Methods (CM2) coversModule Four – Interest Rates and Products a variety of mathematical methods, with special focus on thoseModule Five – Credit Products and Risk applicable to real world problems.Module Six – Advanced Topics C++ – This course features more than 70 hours of tuition andFinal Exam for Distinction (Optional) – The final three-hour is for both delegates without any C++ experience and thoseexamination takes place in exam centers worldwide. Delegates wanting to take their skills to the next level.who score 80% or above receive a distinction grade. JAVA – Introductory Java course specifically designed for quants. Trading Simulator – The Trading Sim allows delegates to try out new ideas in a realistic setting, incorporating real-time events based on live data. Visual Basic for Applications – This course starts with basic VBA and works up to the more complex features of VBA using Windows Excel. 5
  6. 6. Applicant ProfileCQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a wealthof experience to the program. ing Phy Trad sics nt me na nd ma Fu ge DELEGATE DELEGATE ACADEMIC OCCUPATION DISCIPLINE A SAMPLE OF COMPANIES CQF DELEGATES COME FROM Accenture EDF Trading Mitsubishi UFJ Securities International ABN AMRO Ernst and Young Moody’s Alexia Asset Management Morgan Stanley Abu Dhabi Investment Authority Fidelity International Fitch Ratings Nationwide Financial Bank of America Merrill Lynch Nationwide Building Society Bank for International Settlements GE Capital Solutions Nomura Banamex Goldman Sachs Barclays Gordian Knot Och-Ziff Capital BNP Paribas BP Gas Trading HSBC IB PAAMCO British Energy HBOS RBS Calyon IBM RWE Chicago Trading Company Intesa San Paolo Citadel ING Schroders Citco Citi JP Morgan Thomson Reuters Commerzbank Trafigura Crédit Agricole KPMG Towers Watson Credit Suisse Lloyds UBS Deloitte Unicredit Derivative Trading Systems Ltd Man Financial Deutsche Bank Marshall Wace Watson Wyatt Duff Phelps Mellon Capital Management Wells Fargo 6
  7. 7. E: info@cqf.com W: cqf.comGeographical locations of delegates NORTH AMERICA USA New York Chicago San Francisco MIDDLE EAST Boston EUROPE Israel Washington D.C United Kingdom UAE ASIA PACIFIC Los Angeles Germany Saudi Arabia Singapore SOUTH Switzerland Florida AMERICA Qatar Sweden Hong Kong Houston Brazil Lebanon Netherlands Tokyo New Jersey Sao Paulo Azerbaijan France India Missouri Rio de Janeiro Syria Russia Australia Texas Chile Bahrain Italy Malaysia California Columbia Kuwait Ireland Vietnam Pennsylvania Peru Connecticut Spain Paraguay AFRICA Minnesota Luxembourg South Africa Oregon Denmark Egypt Canada Norway Morocco Toronto Belgium Nigeria Quebec Austria Zimbabwe Ontario PolandKEY STATS • 86% of applicants work in the financial sector • 90% of delegates work full time for the duration of the program • 82% of delegates take the program online 7
  8. 8. CQF AlumniThe CQF alumni community is continually expanding all over the world. The current network consists ofover 2000 alumni, an exclusive global community of quantitative practitioners. We invest in the future of thenetwork through a range of events, publications, a directory and a dedicated portal. As a CQF delegate, youwill become part of an active community, attending social and educational events. Amit Marwaha Previous Qualifications: MBA Finance, University of Texas at Austin Current Position: Associate, Gas Utilities, Citi Group “ he CQF was a good way of improving my math while working at the same time. The T CQF has definitely had an impact on my job. The CQF has given me the information, the tools and the knowledge necessary to speak to clients and price assets in an effective manner.“ Joseph Halpern Previous Qualifications: BS Finance, Accounting, NYU Stern School of Business Current Position: SVP, Commodity Exotic Valuation, LAMCO “ he part time flexible structure was very important; I did not have the ability to take a T full time program at the time, so the CQF fit my schedule perfectly. The online delivery was very good; it allowed me to rewind and go forward as needed and to review sessions again if necessary.” Joseph Ivens Theodate Previous Qualifications: BSBA Finance - University of Central Florida, MS Finance - Financial Management Current Position: AVP/Manager, Independent Price Verification, Interest Rates Derivatives, Bank of America Merrill Lynch “ f it wasn’t for the CQF, I would not be in the position I am currently. The lifelong I learning was very important to me – it’s been two years since I completed the CQF – and every time there is a new product in the market you will get an email from the CQF telling you that there is a new lecture on that topic. The CQF keeps you updated with market development.’’ Henrique Fragelli Previous Qualifications: MBA Finance, HEC Paris, France. BA Economics, CFA Current Position: Quantitative Business Analyst, LCH.Clearnet Ltd “ he overall hands on approach of the course is very important, rather than being totally T theoretical without any link to reality, the course is really close to what we do on a daily basis. I thought it was really good value for my time and a good investment.” 8
  9. 9. E: info@cqf.com W: cqf.comProgram DeliveryThe CQF is at the forefront of interactive online learning and is continually developing new methods andtools as our global audience expands. Currently 82% of our delegates take the program online. We offer afantastic interactive tablet and comprehensive learning portal giving 24 hour access to all the lectures andmaterials in perpetuity.PortalAll classes are recorded and then placed on theCQF Portal. Every delegate is provided with theirown online account allowing them to accessthe following:• live lectures• recorded core lectures• annotated class notes• stimulating exercises• sample code and spreadsheets• recorded additional/non-examined classes• Lifelong Learning library• upload tool for modular exams• modular exam marks and feedback• dedicated CQF Forum Comprehensive learning portalThe CQF Companion TabletThe CQF Companion tablet demonstrates ourdedication to deliver innovative solutions for onlinelearning. The portable lightweight tablet device hasoffline access to our portal and is preloaded withthe Mathematics for Quantitative Finance Primerlectures, the VBA lectures and core lecture notesonce the program has started.Key features of the tablet:• Live 1-2-1 interactive lecturer support• Mathematics Primer lectures and lecture notes• VBA lectures• Whiteboard facility• Access to CQF Forum CQF interactive tablet The CQF tablet and online meeting system has been a revolutionary tool in supporting delegates and maximizing contact with faculty. This virtual environment allows delegates to discuss ideas, ask questions and interactively work on mathematics using the whiteboard facility. Randeep Gug, CQF Lecturer 9
  10. 10. CQF ALUMNI PROFILEName: Bipin PatelPrevious Qualifications: M.Sc., Theoretical Physics, University of PennsylvaniaCurrent Position: VP Global Markets, Prime Services, Risk Analytics, Barclays Capital Professionally, I can say that the CQF was the best thing I did to give my career the boost that it needed. It enabled me to articulate myself with confidence in the area of derivatives pricing and calculation of risk for exotic instruments across multiple asset classes.
  11. 11. E: info@cqf.com W: cqf.comMathematics for Quantitative Finance PrimerThe CQF program begins with the Mathematics Primer; 15 hours of intensive trainingcovering all the mathematical preliminaries you need to know before commencing theCQF lectures. The Primer has been designed to get people back up to speed with theirmathematics, since the vast majority of delegates describe themselves as mathematically“rusty” before they begin.If you are similarly rusty, do not worry, the Primer is the perfect solution. THIS PROGRAM COVERS THE FOLLOWING: Calculus and Differential Equations Refresher Calculus: • Functions and limits • Differentiation and integration • Complex numbers • Functions of several variables Differential Equations: • First order equations • Second and higher order equations Linear Algebra and Probability Refresher Linear Algebra: • Matrices and Vectors • Systems of linear equations • Eigenvalues and eigenvectors CQF ALUMNI PROFILE Probability: • Probability Distribution Function Name: Daniel Rosado • Cumulative Distribution Previous Qualifications: • Expectation Algebra Engineering, Institut National de Sciences • ey Discrete and Continuous Distributions K Appliquées de Toulouse including the Normal Distribution Current Position: • Central Limit Theorem Vice President, Morgan Stanley Statistics: “n the CQF there are delegates from all sorts I • General Summary Statistics of backgrounds, some already in quant finance, and some like me who had studied • Maximum Likelihood Estimator mathematics some time ago and had not • Regression and Correlation reviewed much since. For that purpose the maths primer is definitely a must to catch up on all your maths skills.” For more information about the Mathematics Primer visit cqf.com/program Terms and Conditions apply, see the website for details 11
  12. 12. CQF Program Content MODULE ONE Basic Building Blocks of Finance Theory and Practice We introduce the rules of applied Itô calculus as a modeling framework. Simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations. • mportant mathematical tools and results I • Taylor series • Ordinary differential equations • Probabilistic concepts • aussian, Poisson, Cauchy, Binomial, etc. G • Central Limit Theorem • he random behaviour of asset prices T • Stochastic calculus and Itô’s Lemma • Transition density functions • Partial differential equations • Applications of multiple integration • Fokker-Planck and Kolmogorov MODULE FOUR Interest Rates and Products This module reviews the plethora of interest rate models used within the industry. We discuss the implementation and limitations of these models and the need for a more sophisticated framework in order to understand these processes. Many of the ideas seen in the equity-derivatives world are encountered again here but in a more complex form. • Fixed-income products CQF ALUMNI PROFILE • Yield, duration and convexity • Stochastic spot-rate models • Affine stochastic models Name: David Brocas • Change of numéraire • Heath, Jarrow and Morton Previous Qualifications: • Calibration MSc Geology and Drilling Engineering , • Data analysis Ecole de Mines. • Libor Market Model • ointegration: Modeling long term relationships C Current Position: Structuring Analyst, BP Gas Trading “I really liked the mix between the theory and practical exercises. Everything I learned during the CQF I could apply it straight away in my day-to-day job. I feel much more confident communicating results to traders and explaining how the models I am using work.” 12
  13. 13. E: info@cqf.com W: cqf.comMODULE TWO MODULE THREERisk and Return Equity, Currency and Commodity DerivativesWe deal with the classical portfolio theory of Markowitz, the The Black-Scholes theory, built on the principles of delta-Capital Asset Pricing Model and more recent developments hedging and no arbitrage, has been very successfulof these theories. We investigate risk and reward, looking and fruitful as a theoretical model and in practice. Theat risk management metrics such as VaR. We also see the theory and results are explained using different kinds ofrudiments of option pricing principles and theory in the mathematics to make the delegate familiar with techniquesbinomial model. in current use.• Modern Portfolio Theory • The Black-Scholes model• Capital Asset Pricing Model • Hedging and the Greeks• Value at Risk • Option strategies• Modeling and measuring volatility • Early exercise and American options• Financial markets and products • Elementary Monte Carlo simulations • The binomial model for asset prices • Elementary finite-difference methods• Numerical Methods • Martingale theory for pricing• Further Itô integration • Girsanov’s Theorem• Martingale theory • Parallels between probabilistic and deterministic methodologies• Change of numéraire• The Radon-Nikodym derivative• Portfolio Optimization• Fundamentals of Optimization and Application to Portfolio SelectionMODULE FIVE MODULE SIXCredit Products and Risk Advanced TopicsCredit risk plays an important role in current financial The benefits of new models will be discussed frommarkets. We see the major products and examine the most theoretical, practical and commercial viewpoints. Theimportant models. The modeling approaches include the models derived in earlier parts of the course are only asstructural and the reduced form, as well as copulas. good as the solution. Increasingly often the problems must be solved numerically. We explain the main numerical• Reduced-form model and the hazard rate methods, and their practical implementation.• Structural default models• Credit risk and credit derivatives • Exotic options• CDS pricing, market approach • Static hedging• Synthetic CDO pricing • Deterministic volatility and calibration• Risk of default, structural and reduced form • Stochastic volatility and jump diffusion• Copulas • Non-probabilistic volatility models• Implementation of copula models • Correlation, problems and solutions• Statistic Methods in Estimating Default Probability • Hidden risks in CDOs, and solutions • Monte Carlo methods, Brownian bridge, advanced schemes • Quasi-Monte Carlo methods, Sobol’, and more • Finite-difference methods, multi factor, implicit, Crank-Nicolson • Speculation and risk management using energy derivatives Modules One to Five are examined at the end of each respective module. All delegates have to complete a project for Module 6. This is a practical programming project which is set during the second half of the course, designed to ensure delegates apply their theoretical knowledge to real-life problems that they can then take back to the workplace. 13
  14. 14. Lifelong LearningAlumni LecturesThe Alumni Lectures are the biggest component of Lifelong Learning and contains a library of over 600 hoursof lectures on every conceivable finance subject. Delivered by some of the most eminent practitioners andacademics, the content is ever expanding as additional lectures continually take place. When you start theCQF they are offered to you at no extra cost, in perpetuity.Please see below for a small selection of the Alumni Lectures: CREDIT RISK MANAGEMENTThe Pricing of CDO’s Using Levy Copulas (Wim Schoutens) Understanding the Financial Markets in the Subprime EraJumps in Credit Risk Modeling and Intensity Models: Theory, (Bill Ziemba)Calibration, Pricing (Wim Schoutens) Classic Quant Mistakes (Paul Wilmott)Copula and Implementing CDO Pricing (Siyi Zhou) Long Short Portfolio Optimization Under Mean-Variance-CVaRCDOs, Correlation Products and Dangers Therein (Paul Wilmott) Framework (Gautam Mitra)Copulas and CDO Implementation (Siyi Zhou) Validation of Derivatives Pricing Models (Dario Cziraky)Correlation Sensitivity and State Dependence Trading Derivatives: Real Markets, Real Model, Real Smiles(Paul Wilmott and Siyi Zhou) (Nasir Afaf)Structural Models (Alonso Pena) Scenarios and Risk Control for Hedge Funds (Bill Ziemba)Introduction to Credit Derivatives (Moorad Choudhry) The Scandal of Prediction (audio only) (Nassim Nicholas Taleb)Credit Default Swaps (Alonso Pena) That’s No Way to Run an Economy (Aaron Brown)Advanced Credit Derivatives (Seb Lleo) Infinite Variance (Seb Lleo) CrashMetrics (Paul Wilmott) EQUITY MATHEMATICSThe Feedback Effect of Hedging in Illiquid Markets (Paul Wilmott)Dividend Modeling and Option Pricing (Some Practitioners’ Derivatives and Stochastic Control (Paul Wilmott)Models and a New Model) (Ralf Korn) Can You Feel the Heat? Inverse Problems in FinancePricing a Class of Options via Moments and SDP Relaxations (Andreas Binder)(Milhail Zervos) Differential Equations (Riaz Ahmad)Black-Scholes Model (Paul Wilmott) Martingales (Riaz Ahmad)Binomial Model (Paul Wilmott) Stochastic Calculus (Riaz Ahmad)Random Behaviour of Assets (Paul Wilmott) Linear Algebra (Riaz Ahmad)The “Non-Greek” Non-Foundation of Derivative Pricing Black Scholes, Mathematical Methods and Intro to Numerical(Elie Ayache) Methods (Riaz Ahmad)Exotic Options (Paul Wilmott) Methods for Quant Finance: I II(Riaz Ahmad)Advanced Equity Models: Pricing, Calibration and Monte Carlo Martingales and PDEs: Which, When and Why (Seb Lleo)Simulation (Wim Schoutens)The Life of a Fundamental Analyst (Anneke Minnema) NUMERICAL METHODSA Market Impact Model that Works (Dan di Bartolomeo)Optimal Execution of Portfolio Transactions: A Review Software Issues in Wavelet Analysis of Financial Data(Ekaterina Kochieva) (Robert Tong) VBA Workshop (Mike Staunton) FIXED INCOME An Introduction to Spreadsheet Risk (Grenville Croll) Monte Carlo Simulation and Early Exercise (Paul Wilmott)Black 76 (Espen Haug) Finite Difference Model (Paul Wilmott)The Market Price of Risk (Paul Wilmott) Monte Carlo Simulations (Paul Wilmott)Managing Smile Risk (Pat Hagan) Numerical Integration (Paul Wilmott)Advanced BGM (Peter Jaeckel) Convertible Bond Coding Workshop (Paul Wilmott)The Heath, Jarrow and Morton Model (Paul Wilmott) VG Modeling (Paul Wilmott)Probabilistic Methods for Interest Rates (Seb Lleo)Fixed Income Modeling (Lecture I - IV) (Claudio Albenese) 14
  15. 15. E: info@cqf.com W: cqf.com PORTFOLIO MANAGEMENTEquity Portfolio Risk Management (Jason MacQueen)Frankenstein’s Model or the Perfect Union? (Richard Young andJason MacQueen)The Polphemus Perspective – Use of Single Factor Risk Models(Jason MacQueen)Risk Decomposition and Risk Budgeting (Jason MacQueen)Reverse Optimization for Portfolio Rebalancing (Jason MacQueen)ICA and Hedge Fund Returns (Andrew Robinson)Beyond Black-Litterman (Attilio Meucci)Symmetric Downside Sharpe Ratio (Bill Ziemba)Investment Lessons From Blackjack And Gambling (Paul Wilmott)Fundamentals of Optimization and Application to PortfolioSelection (Seb Lleo) Alumni Masterclasses Please see below for a selection of the Masterclasses: Volatility, Advanced Modeling with PC Workshops, 2 days Paul Wilmott VG Modeling: Pricing Financial Derivatives in Equity and Credit Risk, 2 days Wim Schoutens CQF ALUMNI PROFILE Exotic Equity Derivatives, Pricing and Hedging, Name: Elias John Kies 2 days Paul Wilmott Previous Qualifications: HBBA, Business, Wilfrid Laurier University Behavioral Science in Finance: Phenomena, Diagnosis, Therapy, 1 day Current Position: Director of Analytics, Edgar Online Inc Henriette Prast “ had a firm grasp on market fundamentals I Operator Methods in Fixed Income and Credit, yet yearned for a deeper technical 2 days perspective to analyze the increasingly Claudio Albanese complex capital markets; the CQF filled this gap perfectly. The value of the CQF increases Intraday High-Frequency Trading: From Empirical everyday as extra lectures are continually Evidence to Quantitative Optimization, 1 day added. I highly recommend the CQF to any Charles-Albert Lehalle serious investment professional.” 15
  16. 16. CQF ALUMNI PROFILEName: Stewart ButtonPrevious Qualifications: Bachelor of Engineering with First Class Honours, University of Tasmania, Australia.Current Position:Risk Management ISD, Rabobank International The CQF has helped me ‘look inside’ the world of financial markets, derivatives and risk management systems to gain an insight which would not be possible through practice alone. The course has given me the tools to price financial instruments and systematically manage market and credit risk confidence. 16
  17. 17. E: info@cqf.com W: cqf.comLifelong LearningCertificate in Mathematical Methods (CM2)The Certificate in Mathematical Methods (CM2) is an intensive program covering a variety of mathematicalmethods, with special focus on those which are applicable to real-world problems. Through the recordedlectures delegates will learn topics that are normally covered in the first two years of a universitymathematics degree. The CM2 course syllabus includes the following topics: Advanced Calculus Complex Variables Transform Methods • Complex Numbers • Basic Properties • aplace and Fourier transforms L • Vector algebra • Elementary Functions • pplications A • Matrix algebra • Complex Differentiation Numerical Analysis II – • Ordinary differential equations • Complex Integration Finite Difference Methods • Infinite Series • Infinite Series • arabolic equations P • Functions • The Theory of Residues • yperbolic equations H • Calculus for several variables • Zeros of polynomials • lliptic equations E • Vector calculus • Conformal Mapping Analysis Linear Algebra Differential Equations • umber systems N • Linear equations • Fourier Series • ontinuity C • Vector spaces • Variation of parameters • equences S • Linear mappings • Linear ordinary differential equations • ifferentiation and Integration D • Eigenvalues and eigenvectors • on-linear ordinary differential N • niform Convergence U • Gram-Schmidt process equations • ower series P Introduction to Probability Mathematical Methods Group Theory • Introduction • lliptic Equations and related E • ubgroups S • Random Variables methods • inite groups and Group tables F • Continuous Random Variables • athematics of Hyperbolic M Equations • he groups T • Multivariate Random Variables • agrange’s theorem L Advanced Mathematical Methods • ermutation groups P Numerical Analysis I • symptotic expansions of integrals A • somorphism I • Errors • on-linear ordinary differential N • sometry and Matrix Groups I • Roots of equations equations • he Dihedral group T • Interpolation • ntegral Equations Boundary I • yclic groups C • Numerical Linear Algebra Value Problems • irect Products and Finitely D • Integration Generated Abelian Groups • Differential Equations • oset groups C The motivating factor for designing the CM2 has been the overwhelming interest from past delegates for acquiring a greater knowledge for the classical branches of mathematical methods which have a wide range of ‘real world’ applications. Paul Shaw, Course Director 17
  18. 18. CQF ALUMNI PROFILEName: Lilan LiPrevious Qualifications: Institut national des Sciences appliquées de Lyon; Diplome d’ingénieur -Master of EngineeringCurrent Position: Analytics Developer, JP Morgan The Lifelong Learning for me is very important; the CQF is outstanding compared to alternatives. Personally I will continue learning from the masterclasses and extra lectures because for me learning is the key and I enjoy doing it all the time. 18
  19. 19. E: info@cqf.com W: cqf.comLifelong LearningTrading SimulatorThe CQF Trading Simulator fully backs up the lecture and workshop lessons so that delegates can try out new ideas in a realisticsetting, incorporating real-time events based on live data from the ever fluctuating marketplace. The solution is easy to access asit is internet-based and will run in your browser. Core Features: • Equity, FX, Money Markets, Fixed Income • Instructor generated scenarios • Structured teaching approach • Interactive parameter setting • A range of option greeks • Fundamentalist and technicalist strategies • Multiple interaction types • Single or multi-player modePractical Computational Finance C++The vast majority of professional software development in quant finance is in C++. To be an effective member of a quant teamyou need to write high-quality code, and you must also be able to understand the C++ written by others. By the end of thissyllabus you will be able to take important pricing models, and translate them into working C++ code. Starting with elementaryC++, these sessions will cover both the principles and practicalities of producing robust code in a quant finance environment.Uniquely, this course covers the pitfalls and problems that you will face in debugging and faulty design, equipping you for therealities of programming in banks.JavaThe CQF program also provides anintroductory Java course specificallydesigned for quants. In seven interactivelessons, each lasting about one hour, youwill be taken from a basic “Hello QuantWorld” program all the way through to aBlack-Scholes charting GUI calculator, whichprices call and put options and which createsoptional windows with zoomable payoffdiagrams. After completing the lessons,you will be able to expand your Java skillsinto virtually any direction that you need,particularly within the financial arena.Visual Basics for ApplicationsThis course starts with basic VBA and works up to the more complex features of VBA using Windows Excel. This simpleprogramming language is a powerful component of Excel and is used across all major investment banks. While prior experiencein VBA is not a requirement of the CQF, delegates will use Excel and VBA in class. These lectures support the MathematicsPrimer in preparing for the CQF. 19
  20. 20. CQF FacultyWorld-renowned practioners and respected academicsDr Paul Wilmott trading own account positions in interest rate, bond and equity derivatives. At 7city, Neil is Head of Financial Product Training,Paul is internationally renowned as a leading expert on designing and delivering a range of product courses forquantitative finance. His research work is extensive, with investment houses, data agencies and software houses in themore than 100 articles in leading mathematical and finance US, UK and Europe.journals, as well as several internationally acclaimed bookson mathematical modeling and derivatives, including thebest-selling ‘Paul Wilmott on Quantitative Finance’. Paul hasextensive consulting experience in quantitative finance with Dr Sébastien Lleoleading US and European financial institutions. He has founded Sébastien is a professor of finance at Reims Managementa volatility arbitrage hedge fund and a university degree course. School in France, a lecturer on the Certificate in QuantitativePaul has lectured at all levels, to students and to practitioners. Finance (CQF) at 7city in the UK and a visiting lecturer at the Frankfurt School of Finance and Management in Germany. Previously, he held a research position at Imperial CollegeDr Riaz Ahmad London in the UK. Before that, he worked seven years in the investment industry in Canada and held consulting positions.Riaz is Head of CQF Faculty and teaches Mathematical Finance, He holds a PhD in mathematics from Imperial College LondonC++ programming and Mathematical Methods based courses. (UK), an MBA from University of Ottawa (Canada), and an MScRiaz is an Applied Mathematician with teaching and research in Management from Reims Management School (France).interests in the mathematical and computational aspects offinancial derivatives. In particular, stochastic volatility and jumpdiffusion models, exotic options and interest rate modeling.At the MSc, MBA and executive education levels, Riaz has Dr Randeep Guglectured in Mathematical Finance at University College London Randeep is the Head of CQF Business, Co-head of 7city’s(UCL), Oxford University (Mathematical Institute), Lahore Business School as well as a lecturer on the Certificate inUniversity of Management Sciences (LUMS) and Institute of Quantitative Finance (CQF). Prior to joining 7city, RandeepBusiness Administration (IBA), Karachi. worked in a variety of roles. He spent five years working in the Equities division at Salomon Smith Barney and later traded futures and options on the Indian National Stock ExchangeDr Espen Gaarder Haug (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honoursEspen has worked in derivatives trading and research for degree and a PhD for research in semiconductor physics. He ismore than 20 years. He worked as a proprietary option trader a CQF Alumnus, achieving a distinction on the program and hisat J.P. Morgan in New York, and as an option trader for two current interests are based around improving and promotingmultibillion dollar hedge funds, Amaranth and Paloma Partners. the teaching and learning of Quant Finance.Before that, he worked for Tempus Financial Engineering, andas an option market maker in Chase Manhattan Bank (now J.P.Morgan Chase) and Dennorske Bank. He has been involved inalmost every option market, including equity, currency, fixed Dr Richard Vladimir Diamondincome, energy and commodities. Espen has a PhD degree Richard advises family offices on private equity, asset allocation,from the Norwegian University of Science and Technology, and investment performance and effectiveness of hedges. Richardis currently a professor of Finance at the Business School of the designs and executes trades – his specialties are volatilityNorwegian University of Life Science. regimes modeling and VIX futures arbitrage. He earned his doctorate from the University of Southampton, studying complexity and project risk of IT operations in banking. SinceNeil Graham 2005, he has been teaching in operations management, statistics and financial mathematics, recently at Cass BusinessNeil joined Barclays International in 1985 initially in the foreign School, City University and Regent’s College. In 2011, heexchange, money markets and derivatives operations areas completed a postgraduate certificate in learning and teachingbefore moving to the trading room in 1991. Here, his roles at University College London, conducting a two-year advancedincluded both inter-bank and sales positions in spot and study of threshold concepts in quantitative finance. Richardforward FX, money markets and treasury derivatives. After achieved Fellowship recognition from The Higher Educationleaving Barclays in 1995, Neil became a local on the London Academy in the UK. Richard is a CQF alumnus.International Financial Futures and Options Exchange (LIFFE) 20
  21. 21. E: info@cqf.com W: cqf.comDr Iris Mack Dr Alonso PeñaIris, PhD, EMBA earned a Harvard doctorate in Applied Alonso is SDA Professor at the SDA Bocconi School ofMathematics and a London Business School MBA. Iris is also a Management in Milan. He has worked as a quantitativeformer Derivatives Quant/Trader who has worked in financial analyst in the Structured Products group for Thomsoninstitutions in the U.S., London, Asia and the Caribbean. In Reuters Risk and for Unicredit Group in London and Milan.addition to conducting lectures on Energy Derivatives for the He holds a PhD degree from the University of Cambridge onCertificate in Quantitative Finance Program, she is an Energy finite element analysis and is also a CQF alumnus. He hasDerivatives and Quantitative Investment consultant for 7city lectured and supervised graduate post-graduate studentsin Singapore. Iris serves on a National Academy of Sciences from the universities of Oxford, Cambridge, Bergamo, Pavia,Research Advisory Board. In addition, she serves on the Castellanza and the Politecnico di Milano. His area of expertiseAdvisory Boards of the Women Mentor Women Foundation is the pricing of financial derivatives, in particular structuredand the I Can Still Do That Foundation. Iris has been an products. Dr Peña has been awarded the Robert J Meloshastronaut semi-finalist, one of Glamour Magazine’s “Top 10” Medal: First Prize for the Best Student Paper on Finite Elementcollege students, one of Glamour’s “Top 10” working women, Analysis, Duke University, USA; and the Rouse Ball Travellingan investment banker, an Enron Energy Trader and an Studentship in Mathematics, Trinity College, and Cambridge.MIT professor. Dr Siyi ZhouDr Peter Jäckel Siyi is an Associate Lecturer for the CQF. He teaches appliedPeter is the founder and Managing Director of OTC Analytics. quantitative finance in volatility arbitrage, stochastic interestHe received his DPhil in Physics from Oxford University in rate models and credit derivative pricing and risk management.1995. Peter migrated into quantitative analysis and financial Before joining 7city CQF faculty, Siyi worked as a senior riskmodeling in 1997 when he joined Nikko Securities. When Nikko analyst in a city based consulting firm to provide constructiveclosed down its European operations in 1998, he changed solutions to leading banks and insurance companies. He hasto NatWest, which later became part of the Royal Bank of worked on many projects in counterparty credit risk and marketScotland group. In 2000, he moved to Commerzbank Securities’ risk management. Currently he is working at Moody’s Analyticsproduct development group, and headed up the team jointly based in London.with a co-head from 2003. From September 2004 to May 2008,he was with ABN AMRO as Global Head of Credit, Hybrid,Inflation, and Commodity Derivative Analytics. Peter is the Dominic Connorauthor of the book Monte Carlo Methods in Finance (2002). Dominic has been programming in C and C++ since the 1980s when he graduated from Queen Mary College London. He has built trading systems for bond and equity markets, secureProfessor Moorad Choudhry networks for the British government, reviewed C++ compilersMoorad is Treasurer, Corporate Banking Division at The Royal for PC Magazine, and debugged operating systems for IBM andBank of Scotland. He was previously Head of Treasury at Microsoft. At some point he has written code for every majorEurope Arab Bank, Head of Treasury at KBC Financial Products, environment including Windows, OS/2, Reuters, Bloomberg,and vice-president in structured finance services at JPMorgan VMS, AS/400, DOS, VM and Unix.Chase Bank. Moorad is Visiting Professor at the Department ofMathematical Sciences, Brunel University and Visiting TeachingFellow at the Department of Management, Birkbeck, andUniversity of London. He is a Fellow of the Chartered Institutefor Securities Investment, and a member of the Board ofGovernors of the ifs-School of Finance. 21
  22. 22. CQF ALUMNI PROFILEName: Eleanna SkoutaPrevious Qualifications: BSc Honours Computer Science with Artificial Intelligence, City University, LondonCurrent Position: Financial Engineer Such an intensive course can only be possible because of the technical expertise of the lecturers, who are leaders in their field. This knowledge could be brought back to the comfort of my own time schedules by accessing the online content. This has been proven invaluable, since I can revisit any lecture, or even access an extensive library of archived extra material. 22
  23. 23. E: info@cqf.com W: cqf.comHow to Apply Fees and FinancingWe aim to make applying for the CQF as easy as The CQF fees cover:possible. Should you have any questions about theapplication process, send us an e-mail or give us a call. • Tuition • Examination • CQF Tablet • Course reading material • Mathematics Primer course • Alumni Lectures and Masterclasses • C++ Programming course • Access to CQF Alumni Network A number of scholarships are available to assist with the support of tuition fees for select delegates. Candidates wishing to apply for a scholarship will need to be able to demonstrate why they will benefit from taking the CQF and why they should be worthy recipients of the discounted tuition.1. Apply online at cqf.com/admissions, or e-mail info@cqf.com and we will e-mail or post an application form to you. Thomson Reuters Scholarship The Thomson Reuters Scholarship will be awarded to one applicant per course from the Americas, whereby2. The CQF Admissions Department will come back to you within five business days indicating whether you have been granted preliminary acceptance onto the course, the recipient will have his/her course tuition 100% waived. All applications and supporting documents must be submitted at least two months prior to the and the time-scale within which you must make your course start date. decision on the offer. We might also invite you to be interviewed over the phone by a Course Director.3. You will then be required to fill out a short enrollment form, accepting your place on the CQF. As part of completing this enrollment form, you will be required The Wiley Scholarship The Wiley Scholarship will be awarded to one to pay a non-refundable deposit which will entitle you applicant per course from Asia, whereby the recipient to reserve a place on the program and get access to will have his/her course tuition 100% waived. All preliminary course materials and lectures, including the applications and supporting documents must be CQF Tablet and Mathematics Primer. submitted at least two months prior to the course start date.4. You will also be required to complete a Maths Aptitude Indicator before the course begins. This will indicate to us what areas of mathematics are your strongest and weakest. You may complete this test up to one week after taking the Mathematics Primer. Wilmott Scholarship For those who are unemployed, full-time students or5. Once you pay the balance of the course you will be able to secure your place on the program. living in a developing country on a low income, the Wilmott Scholarship covers a portion of the tuition fees. For more information on fees and financing visit cqf.com/admissions/fee-table For Pre-Application Steps visit: cqf.com/admissions/pre-application-steps 23
  24. 24. FAQs Should I attend the program? The Certificate will be of special interest to those working in: • Derivatives • Risk Management • Structuring • Trading • Fund Management • IT Investment • Banking • Hedge Funds • Financial Software • Consulting • Universities • Regulation • Insurance How long is the course? The examined core part of the course is six months long, but this is only part of the CQF package. Before the CQF starts there is the Mathematics Primer, and after a delegate has passed their exams and completed the project there is a huge library of Alumni Lectures as part of Lifelong Learning for CQF Alumni. What happens if I fail an exam? If a delegate is struggling with a module they are encouraged to contact us as soon as possible so that a member of the CQF faculty can give them extra help and support. If a delegate fails one of the modules the CQF faculty will meet and review their position. On the basis of this meeting they will then recommend the delegate either retakes the examination or defers to the next program using this extra time to revise the relevant topics. There is no cost to defer the CQF program. When does the course start?CQF ALUMNI PROFILE The course is delivered twice a year, commencing in January and in June.Name: Iain AdamsCurrent Position: Is it possible to complete selected modules?Risk Manager, Barclays Capital The CQF is designed to be taken as one complete and interdependent program. It is not possible to take individual modules independent of the program.“ he CQF is a well-designed course: topics T are carefully chosen for their practical relevance, and then explained fully and Can I get help with funding? rigorously. Paul Wilmott is a talented and We offer the Thomson Reuters, Wiley and Wilmott Scholarships, which enthusiastic teacher, exactly what you provide funds to enable certain individuals in specific situations to attend need to motivate you for an evening’s work the Certificate in Quantitative Finance. These Awards will be made at the after a long day in the office. The CQF’s discretion of the Scholarships Committee to outstanding candidates who industry recognition has since been of meet the scholarship requirements and who, in the opinion of the committee, great professional benefit.” are deserving and will gain the most from the program. 24
  25. 25. E: info@cqf.com W: cqf.comWhat level of mathematics is required?Delegates should have a numerate academic qualification and should havefamiliarity with spreadsheet and computational problem-solving. Delegateswho feel their mathematics is a little rusty are encouraged to attend our pre-course Mathematics Primer (see page 11) prior to commencing the CQF.This program is offered to CQF delegates at no extra cost.How do I apply?Simply go to cqf.com/admissions, where an online application form isavailable. Class sizes are restricted and places are awarded on a first-come,first-served basis, provided a delegate’s application has been approved andthe Mathematics Aptitude Indicator has been completed successfully. CQF ALUMNI PROFILEHow long will it take to receive a decision onmy application? Name: John FoxworthyWe endeavor to make a decision within five business days of a completeapplication being received. Previous Qualifications: BA Economics / International Area Studies, UCLAWhen do I need to submit the Mathematics Current Position:Aptitude Indicator? ConfidentialWe advise all delegates to complete the application form first and submit this “ egardless of your experience in Rfor Course Director approval. They should then start working through the quantitative finance, the CQF is the bestMathematics Aptitude Indicator, complete and return it by email before the choice to advance your quantitative financestart of the course. Delegates are welcome to delay handing in the test until career. The CQF combines the correct mixafter the Mathematics Primer. of theoretical and practical approaches to quantitative finance, beginning withWhat equipment do I need to view the webcast? fundamentals and first principles that can be applied to all the asset classes, thenTo view the webcast live or recorded, delegates will need a computer moving into more specialized topics.”with a sound card and a speaker. Delegates will also need broadbandinternet access.Can I sample a webcast?Absolutely, go to cqf.com/program and request a recording.How long will I have access to the recorded lectures?Delegates have access to the recorded lectures in perpetuity.What happens if I am unable to complete the coursein six months?The majority of delegates complete the CQF in six months. However it ispossible for delegates to defer their completion of the CQF to the nextprogram (there is no charge for doing this). 25
  26. 26. Our Affiliates7city LearningSince its inception in 2000, 7city has become a trusted training provider to financialinstitutions around the globe. At its training centers in London, New York, Singaporeand Dubai and via its cutting edge virtual learning portals, 7city is proud to work withover 20,000 delegates each year. The CQF is one of 7city’s flagship courses.WilmottWilmott is the leading resource for the Quantitative Finance community with active userscomprised of both practitioners in financial services and academics involved in researchand teaching. It is led by Dr Paul Wilmott, founder and course director of the CQF.The CFA InstituteThe CFA has a commitment to continuing education (CE) and as such, CQF courseworkis eligible for 40 CE credits (equivalent to two years recommended minimum) and will beautomatically recorded in CFA Institute members’ CE Diaries.PRMIAThe Professional Risk Managers International Association (PRMIA) seeks to providethe highest standard of support and resources to its members in risk management andfinancial engineering. PRMIA has granted all CQF holders exemptions to the PRMqualification for Exam I – Finance Theory, Financial Instruments and Markets, and ExamII – Mathematical Foundations and Risk Measurement.WolframWolfram Research is one of the world’s most respected software companies - as wellas a powerhouse of scientific and technical innovation. A wide range of companies relyon Mathematica to maintain their competitive edge in a sector which is consistentlychanging and the CQF is proud to offer this software to its delegates and alumni.WileyWiley is a leading global publisher of scientific and technical information. It publishesbooks authored by various CQF faculty members, including the founder Dr. PaulWilmott and Dr. Espen Gaarder Haug and works in conjunction with the program toensure the delivery of quality learning and teaching resources.NAGThe Numerical Algorithms Group (NAG) delivers trusted, high quality numericalcomputing software and high performance computing (HPC) services and prides itselfon decades of research and developments which form the foundation of its powerful,flexible and accurate software. The software is relied upon by tens of thousands ofusers, companies, and learning institutions as well as numerous independent softwarevendors. NAG regularly works in conjunction with the CQF Program to deliver topicaland informative events and masterclasses. 26
  27. 27. CERTIFICATE IN FINANCE CQFA message from the Course FoundersWelcome to our program for practitioner education inquantitative finance. In this brochure you will find detailsof the Certificate in Quantitative Finance, together with allthe supplementary courses in C++, Lifelong Learning andour Trading Simulator which are included in the program.All training is delivered live via international webcast. Thisglobal delivery puts us at the forefront for online learning.Our team of lecturers consists of full-time staff chosen fortheir training skills and dedication to client satisfaction, alongwith respected and experienced practitioners working in Paul Wilmott, Course Founderinvestment banks and hedge funds. Finance is an extremelyfast-paced and increasingly sophisticated profession. We canhelp you and your company stay ahead of the competition.We are proud of the quality and relevance of our quantitativefinance program, and we are continually striving to keep it thebest in the world.We look forward to working with you.Paul Wilmott Paul ShawCourse Founder Course Director Paul Shaw, Course Director Contents 3 Introduction 4-5 Your CQF Journey 6-7 Applicant Profile 8 CQF Alumni 9 Program Delivery 11 Mathematics for Quantitative Finance Primer 12-13 CQF Program Content 14-19 Lifelong Learning 20-21 CQF Faculty 23 How to Apply 24-25 FAQs 26 Affiliates
  28. 28. CERTIFICATE IN CERTIFICATE IN FINANCE FINANCE CQF CQF GLOBAL STANDARD IN FINANCIAL ENGINEERING GLOBAL STANDARD IN FINANCIAL ENGINEERING 7city LearningLONDON NEW YORK SINGAPORE DUBAI4 Chiswell Street, 55 Broad Street, 112 Robinson Road, Dubai International Financial Centre,London, 3rd Floor, #03-03 Singapore Al Fattan Currency House, Tower 2, Level 7,EC1Y 4UP New York, NY 10004 068902 Office No. 704, PO Box 482058t +44 (0) 845 072 7620 t +1 800 974 0394 t +65 6327 1581 t +971 800 72489 E: info@cqf.com W: cqf.com cqf.com

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