CQF Brochure 2013

CERTIFICATE IN

FINANCE

CQF

GLOBAL STANDARD IN FINANCIAL ENGINEERING

CERTIFICATE IN

FINANCE

CQF

cqf.com


E: [email protected] W: cqf.com

7city Learning

LONDON

4 Chiswell Street, London, EC1Y 4UP

t +44 (0) 845 072 7620

NEW YORK55 Broad Street, 3rd Floor, New York, NY 10004

t +1 800 974 0394

SINGAPORE

112 Robinson Road, #03-03 Singapore 068902

t +65 6327 1581

DUBAI

Dubai International Financial Centre, Al Fattan Currency House, Tower 2, Level 7, Office No. 704, PO Box 482058

t +971 800 72489

Contents

3 Introduction4-5 Your CQF Journey6-7 Applicant Profile8 CQF Alumni 9 Program Delivery11 Mathematics for Quantitative Finance Primer12-13 CQF Program Content14-19 Lifelong Learning20-21 CQF Faculty23 How to Apply24-25 FAQs26 Affiliates

Paul Wilmott, Course Founder

Paul Shaw, Course Director

Welcome to our program for practitioner education in quantitative finance. In this brochure you will find details of the Certificate in Quantitative Finance, together with all the supplementary courses in C++, Lifelong Learning and our Trading Simulator which are included in the program. All training is delivered live via international webcast. This global delivery puts us at the forefront for online learning. Our team of lecturers consists of full-time staff chosen for their training skills and dedication to client satisfaction, along with respected and experienced practitioners working in investment banks and hedge funds. Finance is an extremely fast-paced and increasingly sophisticated profession. We can help you and your company stay ahead of the competition. We are proud of the quality and relevance of our quantitative finance program, and we are continually striving to keep it the best in the world.

We look forward to working with you.

A message from the Course Founders

Paul Wilmott Course Founder

Paul Shaw Course Director

CERTIFICATE IN

FINANCE

CQF

3 3


The Certificate in Quantitative Finance (CQF) is a six-month part-time course designed for in-depth training for individuals working in, or intending to move into, derivatives, IT, quantitative trading, insurance or risk management. The CQF is unique in its structured approach and commitment to the field of real world quantitative finance. At all times the program’s focus is on practical implementation of techniques and on the questioning and analysis of models and methods.

The global standard in quantitative finance, the CQF provides analysis of practical quantitative techniques important in today’s, and tomorrow’s, financial landscape.

World Class Quants Qualification

• The CQF is a challenging qualification, career enhancing, well respected and internationally renowned

Part-Time Flexible Learning

• Six-month flexible part-time program delivered twice a year

• All lectures are available streamed over the internet live and recorded. Recorded lectures are available in perpetuity

• Provides an in-depth coverage of practical quantitative methods for today’s financial market

Expert Teaching and Support

• The CQF faculty, led by Dr Paul Wilmott, is a highly acclaimed team of instructors combining leading academics and practitioners specializing in the field of quantitative finance

Lifelong Learning

• CQF alumni benefit from a rapidly expanding continuing professional development program

• Lifelong Learning consists of hundreds of lectures including C++ for financial programming and the Certificate in Mathematical Methods

• CQF alumni membership, all materials and books and access to recordings in perpetuity

Introduction

Name: Anuj Gupta

Previous Qualifications: M.Phil. In Advanced Chemical Engineering, University of Cambridge, UK

Current Position: Director, Equity & Commodity Valuations, UBS

“�The�CQF�not�only�teaches�you�the�mathematics�under-pinning�the�different�financial�models,�it�highlights�their�main�assumptions�and�potential�dangers.�It�has�certainly�helped�me�enhance�my�career�aspirations�while�keeping�abreast�with�cutting�edge�modeling�developments.”

CQF ALUMNI PROFILE

BENEFITS:

4

Your CQF Journey

APP

LY

Apply online now and the Admissions Team will confirm your acceptance to the program within five working days.

Online applicationPR

EPA

RE

The CQF program begins with the Mathematics Primer, 15 hours of intensive training covering all the mathematical preliminaries you need to know before commencing the quantitative finance lectures. See Page 11 for more details.

Detailed study materials

ATTE

ND

The best way to find out more aboutthe CQF is to attend one of ourinformation sessions or live webinars.

• Meet the team

• Discuss details about the course

• Talk to alumni and faculty

• Global information sessions and live webcasts available

• Recorded session available at cqf.com

Ask a question

4 5

E: [email protected] W: cqf.comLE

ARN

The examined part of the CQF program comprises six modules. Each module covers a different aspect of quantitative finance and consists of lectures and discussions. Delegates are encouraged to complete weekly exercises prior to the commencement of the next class. At the end of each module, delegates take a written exam and have to score 60% or above to gain certification in that module. Module 6 is a practical financial engineering project.

Module One – Basic Building Blocks of Quant Finance

Module Two – Risk and Return

Module Three – Equity, Currency and Commodity Derivatives

Module Four – Interest Rates and Products

Module Five – Credit Products and Risk

Module Six – Advanced Topics

Final Exam for Distinction (Optional) – The final three-hour examination takes place in exam centers worldwide. Delegates who score 80% or above receive a distinction grade.

Fully flexible learning

LIFE

LON

G L

EARN

ING

Alumni Lectures - These frequent lectures are arranged for CQF Alumni, recorded and added to your portal.

Masterclasses - Delve deeper into specific subjects with the CQF’s Masterclasses including lectures from Paul Wilmott, Henriette Prast, Wim Schoutens and Claudio Albanese.

CM2 – The Certificate in Mathematical Methods (CM2) covers a variety of mathematical methods, with special focus on those applicable to real world problems.

C++ – This course features more than 70 hours of tuition and is for both delegates without any C++ experience and those wanting to take their skills to the next level.

JAVA – Introductory Java course specifically designedfor 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 withbasic VBA and works up to the more complex features of VBAusing Windows Excel.

Education for the whole of your career

6

AccentureABN AMRO

Alexia Asset ManagementAbu Dhabi Investment Authority

Bank of America Merrill LynchBank for International Settlements

BanamexBarclays

BNP ParibasBP Gas TradingBritish Energy

CalyonChicago Trading Company

CitadelCitcoCiti

CommerzbankCrédit AgricoleCredit Suisse

DeloitteDerivative Trading Systems Ltd

Deutsche BankDuff & Phelps

EDF TradingErnst and Young

Fidelity InternationalFitch Ratings

GE Capital SolutionsGoldman SachsGordian Knot

HSBC IBHBOS

IBMIntesa San Paolo

ING

JP Morgan

KPMG

Lloyds

Man FinancialMarshall Wace

Mellon Capital Management

Mitsubishi UFJ Securities InternationalMoody’s

Morgan Stanley

Nationwide FinancialNationwide Building Society

Nomura

Och-Ziff Capital

PAAMCO

RBSRWE

Schroders

Thomson ReutersTrafigura

Towers Watson

UBSUnicredit

Watson WyattWells Fargo

Applicant Profile

DELEGATE OCCUPATION

Fund

m

anag

emen

t

Trading

DELEGATE ACADEMIC DISCIPLINE

Physics

A SAMPLE OF COMPANIES CQF DELEGATES COME FROM

CQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a wealth of experience to the program.

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Geographical locations of delegates

NORTH AMERICAUSA New York Chicago San Francisco Boston Washington D.C Los Angeles Florida Houston New Jersey Missouri Texas California Pennsylvania Connecticut Minnesota OregonCanada Toronto Quebec Ontario

SOUTH AMERICABrazil Sao Paulo Rio de Janeiro ChileColumbiaPeruParaguay

EUROPEUnited Kingdom GermanySwitzerlandSwedenNetherlandsFranceRussiaItalyIrelandSpainLuxembourgDenmarkNorwayBelgiumAustriaPoland

MIDDLE EASTIsraelUAESaudi ArabiaQatarLebanonAzerbaijanSyriaBahrainKuwait

AFRICASouth AfricaEgyptMoroccoNigeriaZimbabwe

ASIA PACIFICSingaporeHong KongTokyoIndiaAustraliaMalaysiaVietnam

• 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

KE

Y S

TAT

S

8

CQF Alumni

The CQF alumni community is continually expanding all over the world. The current network consists of over 2000 alumni, an exclusive global community of quantitative practitioners. We invest in the future of the network through a range of events, publications, a directory and a dedicated portal. As a CQF delegate, you will become part of an active community, attending social and educational events.

Amit MarwahaPrevious Qualifications: MBA Finance, University of Texas at Austin Current Position: Associate, Gas Utilities, Citi Group

“�The�CQF�was�a�good�way�of�improving�my�math�while�working�at�the�same�time.�The�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 HalpernPrevious Qualifications: BS Finance, Accounting, NYU Stern School of BusinessCurrent Position: SVP, Commodity Exotic Valuation, LAMCO

“�The�part�time�flexible�structure�was�very�important;�I�did�not�have�the�ability�to�take�a�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 TheodatePrevious Qualifications: BSBA Finance - University of Central Florida, MS Finance - Financial ManagementCurrent Position: AVP/Manager, Independent Price Verification, Interest Rates Derivatives, Bank of America Merrill Lynch

“�If�it�wasn’t�for�the�CQF,�I�would�not�be�in�the�position�I�am�currently.�The�lifelong�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 FragelliPrevious Qualifications: MBA Finance, HEC Paris, France. BA Economics, CFACurrent Position: Quantitative Business Analyst, LCH.Clearnet Ltd

“�The�overall�hands�on�approach�of�the�course�is�very�important,�rather�than�being�totally�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.”

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All classes are recorded and then placed on the CQF Portal. Every delegate is provided with their own online account allowing them to access the 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

Portal

Comprehensive learning portal

Program Delivery

The CQF is at the forefront of interactive online learning and is continually developing new methods and tools as our global audience expands. Currently 82% of our delegates take the program online. We offer a fantastic interactive tablet and comprehensive learning portal giving 24 hour access to all the lectures and materials in perpetuity.

The CQF Companion tablet demonstrates our dedication to deliver innovative solutions for online learning. The portable lightweight tablet device has offline access to our portal and is preloaded with the Mathematics for Quantitative Finance Primer lectures, the VBA lectures and core lecture notes once 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

The CQF Companion Tablet

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

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.

Name: Bipin PatelPrevious Qualifications: M.Sc., Theoretical Physics, University of Pennsylvania

Current Position: VP Global Markets, Prime Services, Risk Analytics, Barclays Capital

CQF ALUMNI PROFILE

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Mathematics for Quantitative Finance Primer

The CQF program begins with the Mathematics Primer; 15 hours of intensive training covering all the mathematical preliminaries you need to know before commencing the CQF lectures. The Primer has been designed to get people back up to speed with their mathematics, 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.

For more information about the Mathematics Primer visit cqf.com/programTerms and Conditions apply, see the website for details

Name: Daniel Rosado

Previous Qualifications: Engineering, Institut National de Sciences Appliquées de Toulouse

Current Position: Vice President, Morgan Stanley

“�In�the�CQF�there�are�delegates�from�all�sorts�of�backgrounds,�some�already�in�quant�finance,�and�some�like�me�who�had�studied�mathematics�some�time�ago�and�had�not�reviewed�much�since.�For�that�purpose�the�maths�primer�is�definitely�a�must�to�catch�up�on�all�your�maths�skills.”

CQF ALUMNI PROFILE

Name: Bipin PatelPrevious Qualifications: M.Sc., Theoretical Physics, University of Pennsylvania

Current Position: VP Global Markets, Prime Services, Risk Analytics, Barclays Capital

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

Probability:• Probability Distribution Function • Cumulative Distribution• Expectation Algebra• Key Discrete and Continuous Distributions

including the Normal Distribution• Central Limit Theorem

Statistics:• General Summary Statistics• Maximum Likelihood Estimator• Regression and Correlation

THIS PROGRAM COVERS THE FOLLOWING:

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CQF Program Content

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.

• Important mathematical tools and results• Taylor series• Ordinary differential equations• Probabilistic concepts• Gaussian, Poisson, Cauchy, Binomial, etc.• Central Limit Theorem• The random behaviour of asset prices• Stochastic calculus and Itô’s Lemma• Transition density functions• Partial differential equations• Applications of multiple integration• Fokker-Planck and Kolmogorov

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• Yield, duration and convexity• Stochastic spot-rate models• Affine stochastic models• Change of numéraire • Heath, Jarrow and Morton• Calibration• Data analysis• Libor Market Model• Cointegration: Modeling long term relationships

MODULE ONE

MODULE FOUR

Name: David Brocas

Previous Qualifications: MSc Geology and Drilling Engineering , Ecole de Mines.

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.”

CQF ALUMNI PROFILE

12 13


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.

Risk and Return

We deal with the classical portfolio theory of Markowitz, the Capital Asset Pricing Model and more recent developments of these theories. We investigate risk and reward, looking at risk management metrics such as VaR. We also see the rudiments of option pricing principles and theory in the binomial model.

• Modern Portfolio Theory• Capital Asset Pricing Model• Value at Risk• Modeling and measuring volatility• Financial markets and products• The binomial model for asset prices• Numerical Methods• Further Itô integration• Martingale theory• Change of numéraire• The Radon-Nikodym derivative• Portfolio Optimization• Fundamentals of Optimization and Application to Portfolio Selection

Credit Products and Risk

Credit risk plays an important role in current financial markets. We see the major products and examine the most important models. The modeling approaches include the structural and the reduced form, as well as copulas.

• Reduced-form model and the hazard rate• Structural default models• Credit risk and credit derivatives• CDS pricing, market approach• Synthetic CDO pricing • Risk of default, structural and reduced form• Copulas• Implementation of copula models• Statistic Methods in Estimating Default Probability

Equity, Currency and Commodity Derivatives

The Black-Scholes theory, built on the principles of delta-hedging and no arbitrage, has been very successful and fruitful as a theoretical model and in practice. The theory and results are explained using different kinds of mathematics to make the delegate familiar with techniques in current use.

• The Black-Scholes model• Hedging and the Greeks• Option strategies• Early exercise and American options• Elementary Monte Carlo simulations • Elementary finite-difference methods• Martingale theory for pricing• Girsanov’s Theorem• Parallels between probabilistic and deterministic methodologies

Advanced Topics

The benefits of new models will be discussed from theoretical, practical and commercial viewpoints. The models derived in earlier parts of the course are only as good as the solution. Increasingly often the problems must be solved numerically. We explain the main numerical methods, and their practical implementation.

• Exotic options• Static hedging• Deterministic volatility and calibration• Stochastic volatility and jump diffusion• Non-probabilistic volatility models• Correlation, problems and solutions• 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

MODULE TWO

MODULE FIVE

MODULE THREE

MODULE SIX

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Lifelong Learning

Alumni Lectures

The Alumni Lectures are the biggest component of Lifelong Learning and contains a library of over 600 hours of lectures on every conceivable finance subject. Delivered by some of the most eminent practitioners and academics, the content is ever expanding as additional lectures continually take place. When you start the CQF they are offered to you at no extra cost, in perpetuity.

Please see below for a small selection of the Alumni Lectures:

CREDIT

The Pricing of CDO’s Using Levy Copulas (Wim Schoutens)Jumps in Credit Risk Modeling and Intensity Models: Theory, Calibration, Pricing (Wim Schoutens)Copula and Implementing CDO Pricing (Siyi Zhou)CDOs, Correlation Products and Dangers Therein (Paul Wilmott)Copulas and CDO Implementation (Siyi Zhou)Correlation Sensitivity and State Dependence (Paul Wilmott and Siyi Zhou)Structural Models (Alonso Pena)Introduction to Credit Derivatives (Moorad Choudhry)Credit Default Swaps (Alonso Pena)Advanced Credit Derivatives (Seb Lleo)

EQUITY

The Feedback Effect of Hedging in Illiquid Markets (Paul Wilmott)Dividend Modeling and Option Pricing (Some Practitioners’ Models and a New Model) (Ralf Korn)Pricing a Class of Options via Moments and SDP Relaxations (Milhail Zervos)Black-Scholes Model (Paul Wilmott)Binomial Model (Paul Wilmott)Random Behaviour of Assets (Paul Wilmott)The “Non-Greek” Non-Foundation of Derivative Pricing (Elie Ayache)Exotic Options (Paul Wilmott)Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation (Wim Schoutens)The Life of a Fundamental Analyst (Anneke Minnema)A Market Impact Model that Works (Dan di Bartolomeo)Optimal Execution of Portfolio Transactions: A Review (Ekaterina Kochieva)

FIXED INCOME

Black 76 (Espen Haug)The Market Price of Risk (Paul Wilmott)Managing Smile Risk (Pat Hagan)Advanced BGM (Peter Jaeckel)The Heath, Jarrow and Morton Model (Paul Wilmott)Probabilistic Methods for Interest Rates (Seb Lleo)Fixed Income Modeling (Lecture I - IV) (Claudio Albenese)

RISK MANAGEMENT

Understanding the Financial Markets in the Subprime Era (Bill Ziemba)Classic Quant Mistakes (Paul Wilmott)Long Short Portfolio Optimization Under Mean-Variance-CVaR Framework (Gautam Mitra)Validation of Derivatives Pricing Models (Dario Cziraky)Trading Derivatives: Real Markets, Real Model, Real Smiles (Nasir Afaf)Scenarios and Risk Control for Hedge Funds (Bill Ziemba)The Scandal of Prediction (audio only) (Nassim Nicholas Taleb)That’s No Way to Run an Economy (Aaron Brown)Infinite Variance (Seb Lleo)CrashMetrics (Paul Wilmott)

MATHEMATICS

Derivatives and Stochastic Control (Paul Wilmott)Can You Feel the Heat? Inverse Problems in Finance (Andreas Binder)Differential Equations (Riaz Ahmad)Martingales (Riaz Ahmad)Stochastic Calculus (Riaz Ahmad)Linear Algebra (Riaz Ahmad)Black Scholes, Mathematical Methods and Intro to Numerical Methods (Riaz Ahmad)Methods for Quant Finance: I & II(Riaz Ahmad)Martingales and PDEs: Which, When and Why (Seb Lleo)

NUMERICAL METHODS

Software Issues in Wavelet Analysis of Financial Data (Robert Tong)VBA Workshop (Mike Staunton)An Introduction to Spreadsheet Risk (Grenville Croll)Monte Carlo Simulation and Early Exercise (Paul Wilmott)Finite Difference Model (Paul Wilmott)Monte Carlo Simulations (Paul Wilmott)Numerical Integration (Paul Wilmott)Convertible Bond Coding Workshop (Paul Wilmott)VG Modeling (Paul Wilmott)

14 15


Please see below for a selection of the Masterclasses:

PORTFOLIO MANAGEMENT

Equity Portfolio Risk Management (Jason MacQueen)Frankenstein’s Model or the Perfect Union? (Richard Young and Jason 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 Portfolio Selection (Seb Lleo)

Volatility, Advanced Modeling with PC Workshops, 2 daysPaul Wilmott

VG Modeling: Pricing Financial Derivatives in Equity and Credit Risk, 2 daysWim Schoutens

Exotic Equity Derivatives, Pricing and Hedging, 2 daysPaul Wilmott

Behavioral Science in Finance: Phenomena, Diagnosis, Therapy, 1 dayHenriette Prast

Operator Methods in Fixed Income and Credit, 2 daysClaudio Albanese

Intraday High-Frequency Trading: From Empirical Evidence to Quantitative Optimization, 1 dayCharles-Albert Lehalle

Alumni Masterclasses

Name: Elias John Kies

Previous Qualifications: HBBA, Business, Wilfrid Laurier University

Current Position: Director of Analytics, Edgar Online Inc

“��I�had�a�firm�grasp�on�market�fundamentals�yet�yearned�for�a�deeper�technical�perspective�to�analyze�the�increasingly�complex�capital�markets;�the�CQF�filled�this�gap�perfectly.�The�value�of�the�CQF�increases�everyday�as�extra�lectures�are�continually�added.�I�highly�recommend�the�CQF�to�any�serious�investment�professional.”

CQF ALUMNI PROFILE

16

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.

Name: Stewart ButtonPrevious Qualifications: Bachelor of Engineering with First Class Honours, University of Tasmania, Australia.

Current Position:Risk Management IS&D, Rabobank International

CQF ALUMNI PROFILE

16 17


Lifelong Learning

Certificate in Mathematical Methods (CM2)

The Certificate in Mathematical Methods (CM2) is an intensive program covering a variety of mathematical methods, with special focus on those which are applicable to real-world problems. Through the recorded lectures delegates will learn topics that are normally covered in the first two years of a university mathematics degree.

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.


Advanced Calculus

• Complex Numbers

• Vector algebra

• Matrix algebra

• Ordinary differential equations

• Infinite Series

• Functions

• Calculus for several variables

• Vector calculus

Linear Algebra

• Linear equations

• Vector spaces

• Linear mappings

• Eigenvalues and eigenvectors

• Gram-Schmidt process

Introduction to Probability

• Introduction

• Random Variables

• Continuous Random Variables

• Multivariate Random Variables

Numerical Analysis I

• Errors

• Roots of equations

• Interpolation

• Numerical Linear Algebra

• Integration

• Differential Equations

Complex Variables

• Basic Properties

• Elementary Functions

• Complex Differentiation

• Complex Integration

• Infinite Series

• The Theory of Residues

• Zeros of polynomials

• Conformal Mapping

Differential Equations

• Fourier Series

• Variation of parameters

• Linear ordinary differential equations

• Non-linear ordinary differential equations

Mathematical Methods

• Elliptic Equations and related methods

• Mathematics of Hyperbolic Equations

Advanced Mathematical Methods

• Asymptotic expansions of integrals

• Non-linear ordinary differential equations

• Integral Equations & Boundary Value Problems

Transform Methods

• Laplace and Fourier transforms

• Applications

Numerical Analysis II – Finite Difference Methods

• Parabolic equations

• Hyperbolic equations

• Elliptic equations

Analysis

• Number systems

• Continuity

• Sequences

• Differentiation and Integration

• Uniform Convergence

• Power series

Group Theory

• Subgroups

• Finite groups and Group tables

• The groups

• Lagrange’s theorem

• Permutation groups

• Isomorphism

• Isometry and Matrix Groups

• The Dihedral group

• Cyclic groups

• Direct Products and Finitely Generated Abelian Groups

• Coset groups

The CM2 course syllabus includes the following topics:

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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.

Name: Lilan LiPrevious Qualifications: Institut national des Sciences appliquées de Lyon; Diplome d’ingénieur - Master of Engineering

Current Position: Analytics Developer, JP Morgan

CQF ALUMNI PROFILE

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Lifelong Learning

Trading Simulator

Practical Computational Finance C++

Visual Basics for Applications

Java

The CQF Trading Simulator fully backs up the lecture and workshop lessons so that delegates can try out new ideas in a realistic setting, incorporating real-time events based on live data from the ever fluctuating marketplace. The solution is easy to access as it is internet-based and will run in your browser.

The vast majority of professional software development in quant finance is in C++. To be an effective member of a quant team you need to write high-quality code, and you must also be able to understand the C++ written by others. By the end of this syllabus you will be able to take important pricing models, and translate them into working C++ code. Starting with elementary C++, 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 the realities of programming in banks.

This course starts with basic VBA and works up to the more complex features of VBA using Windows Excel. This simple programming language is a powerful component of Excel and is used across all major investment banks. While prior experience in VBA is not a requirement of the CQF, delegates will use Excel and VBA in class. These lectures support the Mathematics Primer in preparing for the CQF.

The CQF program also provides an introductory Java course specifically designed for quants. In seven interactive lessons, each lasting about one hour, you will be taken from a basic “Hello Quant World” program all the way through to a Black-Scholes charting GUI calculator, which prices call and put options and which creates optional windows with zoomable payoff diagrams. After completing the lessons, you will be able to expand your Java skills into virtually any direction that you need, particularly within the financial arena.

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 mode

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Dr Paul Wilmott Paul is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modeling and derivatives, including the best-selling ‘Paul Wilmott on Quantitative Finance’. Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a volatility arbitrage hedge fund and a university degree course. Paul has lectured at all levels, to students and to practitioners.

Dr Riaz AhmadRiaz is Head of CQF Faculty and teaches Mathematical Finance, C++ programming and Mathematical Methods based courses. Riaz is an Applied Mathematician with teaching and research interests in the mathematical and computational aspects of financial derivatives. In particular, stochastic volatility and jump diffusion models, exotic options and interest rate modeling. At the MSc, MBA and executive education levels, Riaz has lectured in Mathematical Finance at University College London (UCL), Oxford University (Mathematical Institute), Lahore University of Management Sciences (LUMS) and Institute of Business Administration (IBA), Karachi.

Dr Espen Gaarder HaugEspen has worked in derivatives trading and research for more than 20 years. He worked as a proprietary option trader at J.P. Morgan in New York, and as an option trader for two multibillion dollar hedge funds, Amaranth and Paloma Partners. Before that, he worked for Tempus Financial Engineering, and as an option market maker in Chase Manhattan Bank (now J.P. Morgan Chase) and Dennorske Bank. He has been involved in almost every option market, including equity, currency, fixed income, energy and commodities. Espen has a PhD degree from the Norwegian University of Science and Technology, and is currently a professor of Finance at the Business School of the Norwegian University of Life Science.

Neil GrahamNeil joined Barclays International in 1985 initially in the foreign exchange, money markets and derivatives operations areas before moving to the trading room in 1991. Here, his roles included both inter-bank and sales positions in spot and forward FX, money markets and treasury derivatives. After leaving Barclays in 1995, Neil became a local on the London International Financial Futures and Options Exchange (LIFFE)

trading own account positions in interest rate, bond and equity derivatives. At 7city, Neil is Head of Financial Product Training, designing and delivering a range of product courses for investment houses, data agencies and software houses in the US, UK and Europe.

Dr Sébastien LleoSébastien is a professor of finance at Reims Management School in France, a lecturer on the Certificate in Quantitative 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 College London in the UK. Before that, he worked seven years in the investment industry in Canada and held consulting positions. He holds a PhD in mathematics from Imperial College London (UK), an MBA from University of Ottawa (Canada), and an MSc in Management from Reims Management School (France).

Dr Randeep GugRandeep is the Head of CQF Business, Co-head of 7city’s Business School as well as a lecturer on the Certificate in Quantitative Finance (CQF). Prior to joining 7city, Randeep 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 Exchange (NSE). More recently he has spent time teaching mathematics at all levels. He is a qualified teacher, holds a 1st class honours degree and a PhD for research in semiconductor physics. He is a CQF Alumnus, achieving a distinction on the program and his current interests are based around improving and promoting the teaching and learning of Quant Finance.

Dr Richard Vladimir DiamondRichard advises family offices on private equity, asset allocation, investment performance and effectiveness of hedges. Richard designs and executes trades – his specialties are volatility 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. Since 2005, he has been teaching in operations management, statistics and financial mathematics, recently at Cass Business School, City University and Regent’s College. In 2011, he completed a postgraduate certificate in learning and teaching at University College London, conducting a two-year advanced study of threshold concepts in quantitative finance. Richard achieved Fellowship recognition from The Higher Education Academy in the UK. Richard is a CQF alumnus.

CQF Faculty

World-renowned practioners and respected academics

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Dr Iris MackIris, PhD, EMBA earned a Harvard doctorate in Applied Mathematics and a London Business School MBA. Iris is also a former Derivatives Quant/Trader who has worked in financial institutions in the U.S., London, Asia and the Caribbean. In addition to conducting lectures on Energy Derivatives for the Certificate in Quantitative Finance Program, she is an Energy Derivatives and Quantitative Investment consultant for 7city in Singapore. Iris serves on a National Academy of Sciences Research Advisory Board. In addition, she serves on the Advisory Boards of the Women Mentor Women Foundation and the I Can Still Do That Foundation. Iris has been an astronaut semi-finalist, one of Glamour Magazine’s “Top 10” college students, one of Glamour’s “Top 10” working women, an investment banker, an Enron Energy Trader and an MIT professor.

Dr Peter JäckelPeter is the founder and Managing Director of OTC Analytics. He received his DPhil in Physics from Oxford University in 1995. Peter migrated into quantitative analysis and financial modeling in 1997 when he joined Nikko Securities. When Nikko closed down its European operations in 1998, he changed to NatWest, which later became part of the Royal Bank of Scotland group. In 2000, he moved to Commerzbank Securities’ product development group, and headed up the team jointly 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 author of the book Monte Carlo Methods in Finance (2002).

Professor Moorad ChoudhryMoorad is Treasurer, Corporate Banking Division at The Royal Bank of Scotland. He was previously Head of Treasury at Europe Arab Bank, Head of Treasury at KBC Financial Products, and vice-president in structured finance services at JPMorgan Chase Bank. Moorad is Visiting Professor at the Department of Mathematical Sciences, Brunel University and Visiting Teaching Fellow at the Department of Management, Birkbeck, and University of London. He is a Fellow of the Chartered Institute for Securities & Investment, and a member of the Board of Governors of the ifs-School of Finance.

Dr Alonso PeñaAlonso is SDA Professor at the SDA Bocconi School of Management in Milan. He has worked as a quantitative analyst in the Structured Products group for Thomson Reuters Risk and for Unicredit Group in London and Milan. He holds a PhD degree from the University of Cambridge on finite element analysis and is also a CQF alumnus. He has lectured and supervised graduate & post-graduate students from the universities of Oxford, Cambridge, Bergamo, Pavia, Castellanza and the Politecnico di Milano. His area of expertise is the pricing of financial derivatives, in particular structured products. Dr Peña has been awarded the Robert J Melosh Medal: First Prize for the Best Student Paper on Finite Element Analysis, Duke University, USA; and the Rouse Ball Travelling Studentship in Mathematics, Trinity College, and Cambridge.

Dr Siyi ZhouSiyi is an Associate Lecturer for the CQF. He teaches applied quantitative finance in volatility arbitrage, stochastic interest rate models and credit derivative pricing and risk management. Before joining 7city CQF faculty, Siyi worked as a senior risk analyst in a city based consulting firm to provide constructive solutions to leading banks and insurance companies. He has worked on many projects in counterparty credit risk and market risk management. Currently he is working at Moody’s Analytics based in London.

Dominic ConnorDominic 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, secure networks for the British government, reviewed C++ compilers for PC Magazine, and debugged operating systems for IBM and Microsoft. At some point he has written code for every major environment including Windows, OS/2, Reuters, Bloomberg, VMS, AS/400, DOS, VM and Unix.

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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.

Name: Eleanna Skouta Previous Qualifications: BSc Honours Computer Science with Artificial Intelligence, City University, London

Current Position: Financial Engineer

CQF ALUMNI PROFILE

22 23


How to Apply

We aim to make applying for the CQF as easy as possible. Should you have any questions about the application process, send us an e-mail or give us a call.

For more information on fees and financing visit cqf.com/admissions/fee-table For Pre-Application Steps visit:

cqf.com/admissions/pre-application-steps

Fees and Financing

The CQF fees cover:

• 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.

Thomson Reuters Scholarship

The Thomson Reuters Scholarship will be awarded to one applicant per course from the Americas, whereby 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 course start date.

The Wiley Scholarship

The Wiley Scholarship will be awarded to one applicant per course from Asia, whereby 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 course start date.

Wilmott ScholarshipFor those who are unemployed, full-time students or living in a developing country on a low income, the Wilmott Scholarship covers a portion of the tuition fees.

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Apply online at cqf.com/admissions, or e-mail [email protected] and we will e-mail or post an application form to you.

The CQF Admissions Department will come back to you within five business days indicating whether you have been granted preliminary acceptance onto the course, and the time-scale within which you must make your decision on the offer. We might also invite you to be interviewed over the phone by a Course Director.

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 to pay a non-refundable deposit which will entitle you to reserve a place on the program and get access to preliminary course materials and lectures, including the CQF Tablet and Mathematics Primer.

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.

Once you pay the balance of the course you will be able to secure your place on the program.

24

FAQs

Name: Iain Adams

Current Position: Risk Manager, Barclays Capital

“�The�CQF�is�a�well-designed�course:�topics�are�carefully�chosen�for�their�practical�relevance,�and�then�explained�fully�and�rigorously.�Paul�Wilmott�is�a�talented�and�enthusiastic�teacher,�exactly�what�you�need�to�motivate�you�for�an�evening’s�work�after�a�long�day�in�the�office.�The�CQF’s�industry�recognition�has�since�been�of�great�professional�benefit.”

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?

The course is delivered twice a year, commencing in January and in June.

Is it possible to complete selected modules?

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.

Can I get help with funding?

We offer the Thomson Reuters, Wiley and Wilmott Scholarships, which provide funds to enable certain individuals in specific situations to attend the Certificate in Quantitative Finance. These Awards will be made at the discretion of the Scholarships Committee to outstanding candidates who meet the scholarship requirements and who, in the opinion of the committee, are deserving and will gain the most from the program.

CQF ALUMNI PROFILE

24 25


What level of mathematics is required?

Delegates should have a numerate academic qualification and should have familiarity with spreadsheet and computational problem-solving. Delegates who 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 is available. Class sizes are restricted and places are awarded on a first-come, first-served basis, provided a delegate’s application has been approved and the Mathematics Aptitude Indicator has been completed successfully.

How long will it take to receive a decision on my application?

We endeavor to make a decision within five business days of a complete application being received.

When do I need to submit the Mathematics Aptitude Indicator?

We advise all delegates to complete the application form first and submit this for Course Director approval. They should then start working through the Mathematics Aptitude Indicator, complete and return it by email before the start of the course. Delegates are welcome to delay handing in the test until after the Mathematics Primer.

What equipment do I need to view the webcast?

To view the webcast live or recorded, delegates will need a computer with a sound card and a speaker. Delegates will also need broadband internet 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 course in six months?

The majority of delegates complete the CQF in six months. However it is possible for delegates to defer their completion of the CQF to the next program (there is no charge for doing this).

Name: John Foxworthy

Previous Qualifications: BA Economics / International Area Studies, UCLA

Current Position: Confidential

“�Regardless�of�your�experience�in�quantitative�finance,�the�CQF�is�the�best�choice�to�advance�your�quantitative�finance�career.�The�CQF�combines�the�correct�mix�of�theoretical�and�practical�approaches�to�quantitative�finance,�beginning�with�fundamentals�and�first�principles�that�can�be�applied�to�all�the�asset�classes,�then�moving�into�more�specialized�topics.”

CQF ALUMNI PROFILE

26

Our Affiliates

7city LearningSince its inception in 2000, 7city has become a trusted training provider to financial institutions around the globe. At its training centers in London, New York, Singapore and Dubai and via its cutting edge virtual learning portals, 7city is proud to work with over 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 users comprised of both practitioners in financial services and academics involved in research and 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 coursework is eligible for 40 CE credits (equivalent to two years recommended minimum) and will be automatically recorded in CFA Institute members’ CE Diaries.

PRMIAThe Professional Risk Managers International Association (PRMIA) seeks to provide the highest standard of support and resources to its members in risk management and financial engineering. PRMIA has granted all CQF holders exemptions to the PRM qualification for Exam I – Finance Theory, Financial Instruments and Markets, and Exam II – Mathematical Foundations and Risk Measurement.

WolframWolfram Research is one of the world’s most respected software companies - as well as a powerhouse of scientific and technical innovation. A wide range of companies rely on Mathematica to maintain their competitive edge in a sector which is consistently changing 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 publishes books authored by various CQF faculty members, including the founder Dr. Paul Wilmott and Dr. Espen Gaarder Haug and works in conjunction with the program to ensure the delivery of quality learning and teaching resources.

NAGThe Numerical Algorithms Group (NAG) delivers trusted, high quality numerical computing software and high performance computing (HPC) services and prides itself on 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 of users, companies, and learning institutions as well as numerous independent software vendors. NAG regularly works in conjunction with the CQF Program to deliver topical and informative events and masterclasses.

Contents

3 Introduction4-5 Your CQF Journey6-7 Applicant Profile8 CQF Alumni 9 Program Delivery11 Mathematics for Quantitative Finance Primer12-13 CQF Program Content14-19 Lifelong Learning20-21 CQF Faculty23 How to Apply24-25 FAQs26 Affiliates

Paul Wilmott, Course Founder


Welcome to our program for practitioner education in quantitative finance. In this brochure you will find details of the Certificate in Quantitative Finance, together with all the supplementary courses in C++, Lifelong Learning and our Trading Simulator which are included in the program. All training is delivered live via international webcast. This global delivery puts us at the forefront for online learning. Our team of lecturers consists of full-time staff chosen for their training skills and dedication to client satisfaction, along with respected and experienced practitioners working in investment banks and hedge funds. Finance is an extremely fast-paced and increasingly sophisticated profession. We can help you and your company stay ahead of the competition. We are proud of the quality and relevance of our quantitative finance program, and we are continually striving to keep it the best in the world.

We look forward to working with you.

A message from the Course Founders

Paul Wilmott Course Founder

Paul Shaw Course Director

CERTIFICATE IN

FINANCE

CQF

CERTIFICATE IN

FINANCE

CQF


CERTIFICATE IN

FINANCE

CQF

cqf.com



7city Learning

LONDON

4 Chiswell Street, London, EC1Y 4UP

t +44 (0) 845 072 7620

NEW YORK55 Broad Street, 3rd Floor, New York, NY 10004

t +1 800 974 0394

SINGAPORE

112 Robinson Road, #03-03 Singapore 068902

t +65 6327 1581

DUBAI

Dubai International Financial Centre, Al Fattan Currency House, Tower 2, Level 7, Office No. 704, PO Box 482058

t +971 800 72489

CQF Brochure 2013

Documents

Transcript of CQF Brochure 2013