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> Certificate in Quantitative FinanceJanuary 2005
The demand for education in quantitative financehas never been greater. However, the ability tosupply a high-quality programme to satisfy thatdemand is as limited as ever. In putting togetherthis Certificate, we have focused on finding themost experienced lecturers, and the most relevantand up-to-date content. This is then provided in themost convenient and accessible manner.
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Welcome to the CQF
The demand for education in quantitative finance has never beengreater. However, the ability to supply a high-quality programmeto satisfy that demand is as limited as ever. In putting together thisCertificate we have focused on finding the most experienced
lecturers and the most relevant and up-to-date content. This isthen provided in the most convenient and accessible manner.
Lecturing on the Certificate we have experienced traders, hedgefund managers, researchers and programmers. Each person is atthe top of their field. Many of our lecturers have written the textbooks that define the subject of quantitative finance. Thanks tothese lecturers, the course content is both cutting edge andpractical. And since our lecturers are also active researchers youwill find out about the advantages and pitfalls of models andalgorithms.
I look forward to seeing you as a participant on our Certificateprogramme. If you have any questions, please email me,[email protected].
Paul Wilmott Course Director
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Why Choose the CQF? 04
Lecturer Biographies 05
Course Syllabus 06
Who Should Attend? 08
Case Study Profiles 10
CQF Interview 12
Course Format 14
Distance Learning 14
Additional Modules 16
Examination Assessment 18
PRMIA Exemptions 19
Certificate Enrolment Details 20
Lecture Timetable 21
Contents
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Why Choose the CQF?Course Developers
The Certificate in Quantitative Finance (CQF) has been designed by Dr Paul Wilmott,one of the most experienced and respected trainers in quantitative finance. He has
lectured extensively in both academia and to the banking community and has also
founded a successful university degree course. His association with both the
theoretical aspects of quantitative finance and the real-world application makes
him uniquely able to design and deliver a structured course that meets the needs
of the modern quantitative analyst. His emphasis in the education of practitioners
is making entry into this subject, and progress, as painless as possible. He firmly
believes that the subject can be understood by anyone with a modest background
in mathematics.
The CQF has been designed with the busy, career-minded, goal-orientated,
practitioner in mind. Twenty-four straight-to-the-point formal evening lectures and
other more informal workshops deliver the necessary knowledge base and skillsneeded to succeed in this fast-paced working environment.
In a complex financial world, a detailed understanding of the application of
quantitative techniques is essential. The CQF provides an in-depth coverage of
practical quantitative methods important in todays financial markets.
Paul Wilmott
Dr Paul Wilmott is internationally renowned
as a leading expert on quantitative finance.
His research work is extensive, with over 100
articles in leading mathematical and finance
journals, as well as several internationally
acclaimed books on mathematical modelling
and derivatives, including the best-selling
Derivatives and Paul Wilmott on Quantitative
Finance, both published by John Wiley & Sons.
Paul has extensive consulting experience in
quantitative finance with leading US and
European financial institutions. He has founded
a financial training company and a university
degree course. Paul has lectured at all levels, to
students and to practitioners. He is a Partner in
the New York-based statistical arbitrage hedge
fund Caissa Capital.
"The CQF has been challenging and
rewarding. The standard of lecturing has
been exceptional, with a focus on the key
theoretical concepts in quantitative finance
and their implementation in software"Dr Warren Mellor CQF Delegate
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Espen Haug
Espen Gaarder Haug is a leading expert on
derivatives theory and its practical implications.
Haug is currently working as a proprietary
derivatives trader for J.P. Morgan New York.
Prior to joining J.P. Morgan he worked for
several years as a senior option trader for Paloma
Partners and Amaranth Advisors, a market-
neutral hedge fund based in USA. He has
developed systems and tools for options and
interest rate derivatives for the Chase Manhattan
Bank Derivatives Research and Trading Group
(Europe), and has also worked for several years
in Den Norske Bank. Further, he has published
numerous articles on options and riskmanagement in academic journals and industry
journals. His book The Complete Guide to
Option Pricing Formulas has become a standard
reference among Wall Street professionals.
Peter Jckel
Dr Peter Jckel received his DPhil from Oxford
University in 1995. In 1997, he moved into
quantitative analysis and financial modelling when
he joined Nikko Securities. Following that he
worked as a quantitative analyst in the Quantitative
Research Centre of the enlarged Royal Bank of
Scotland Group where his primary responsibilities
were independent model validation and
derivatives modelling research. Peter is now the
Global Co-Head of Financial Engineering at
Commerzbank Securities. His present role involves
the mathematical analysis of equity, credit, and
interest rate derivatives, the design of numerical
methods for pricing and risk calculations, and
many other aspects of financial engineering such
as fundamental research into new modelling
approaches and related mathematical issues. Peter
is the author ofMonte Carlo Methods in Finance,
published by John Wiley & Sons.
Lecturer BiographiesMike Staunton
Dr Mike Staunton is a visiting lecturer in
Numerical Methods at City University Business
School in London. He has taught spreadsheet
modelling to executives and graduate students
since 1985, including for many years an annual
programme on Equity Portfolio Management in
Geneva. He is the co-author, along with Mary
Jackson, ofAdvanced Modelling in Finance
using Excel and VBA, published by John Wiley in
2001. He is also Director of the London Share
Price Database at London Business School and,
together with Elroy Dimson and Paul Marsh, has
written Triumph of the Optimists: 101 Years of
Global Investment Returns, published by
Princeton University Press in 2002.
Nick Mayor
Nick Mayor is manager for the Lansdowne
Partners UK Equity Fund. The fund is the largest
UK-only hedge fund portfolio, and the first to
surpass the milestone of $1bn of net assets. Prior
to joining Lansdowne Partners, Nick worked as a
senior economic consultant with London
Economics. He has over five years experience in
the financial industry, previously working in
retail, internet, pharmaceutical and telecoms
equity research with ABN AMRO. He has anMPhil in Economics and a BA in Philosophy,
Politics and Economics, both from Oxford
University, and has published several key papers
within the domain of equity valuation.
David Epstein
David Epstein is a marketer/structurer for the
Risk Solutions team at Credit Agricole Indosuez
(CAI), providing structured solutions for
corporates and financial institutions. Prior to
joining CAI, David worked as a Quantitative
Analyst at Credit Agricole Lazard Financial
Products (CAL FP) Bank, developing models and
pricing tools for structured finance, equity and
fund-of-funds derivatives. He is a visiting
research fellow at the Oxford Centre for
Industrial and Applied Mathematics (OCIAM),
Oxford University and holds a DPhil in applied
mathematics from Oxford University, where he
specialised in the application of uncertain
parameter theory to financial modelling.
Elie Ayache
Elie Ayache graduated from Ecole Polytechnique
in 1987. He then held a position at Banque
Indosuez in Paris as one among the first option
traders on the floor of MATIF. In 1990, Elie, co-
founded Transoptions Finance, a subsidiary of
Credit Agricole, which specialised in option
market making. He personally stood on the floor
of LIFFE, in the Bund option pit, until 1995. From
1996 to 1998, Elie headed the R&D of Dexia
Asset Management in Paris, where he developedderivatives pricing models. In 1998, Elie created
ITO33, a software company specialising in
mathematical models and numerical solutions for
derivative instruments, particularly Convertible
Bonds and volatility smiles.
Riaz Ahmad
Dr Riaz Ahmad received his PhD in Mathematics
from University College London, having
graduated with a degrees and masters in
Mathematics from Kings College and Imperial
College respectively. Prior to being appointed as
full time Course Director of the CQF, Riaz was a
postdoctoral fellow in Mathematics at Oxford
University. He was also the assistant academic
director of the Universitys MSc Mathematical
Finance Program. Riaz oversees the Quantitative
Finance Series and consults on mathematical
finance issues to City Institutions.
Dr Paul Wilmott Espen Gaarder Haug Dr Peter Jckel Dr Mike Staunton
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The CQF Programme consists of six
modules. Each module covers a
different aspect of quantitative finance
and comprises a lecture, discussions
and computer workshops. Delegates
will be required to complete a written
exam on completion of each module to
gain certification in that module.
1. Basic Building Blocks of FinanceTheory and Practice
It will be necessary to bring all students up to
the same technical level. Most students will befamiliar with the contents of this first module,
but any gaps in a students background will
be identified and appropriate private study
recommended. We introduce the rules of
applied It calculus as a modelling framework.
Simple stochastic differential equations and their
associated Fokker-Planck and Kolmogorov
equations are introduced. The random nature
of asset price movements is considered.
Discrete-time random walks are introduced and
the continuous-time lognormal random walk is
obtained by rescaling and passing to a limit.
o Mathematics preliminaries: Review of ordinary
calculus, Taylors theorem in one and several
variables, ordinary differential equations and
the diffusion equation.
o Fokker-Planck and Kolmogorov equations:
similarity solutions.
o Probability preliminaries: Review of discrete
and continuous random variables, transition
density functions, moments and important
distributions, the Central Limit Theorem.
o Applied It calculus: Discrete-time random
walks, continuous Wiener processes via
rescaling and passing to the limit, quadraticvariation, elementary It integrals and
Its lemma.
o The random nature of prices: Examination of
data, unpredictability, the need for probabilistic
models, drift and volatility.
2. Risk and Return
This unit deals with the classical portfolio theory
of Markowitz, the Capital Asset Pricing Model,
more recent developments of these theories,
also option types and strategies.
o Simulations: The lognormal random walk,
probability density functions.
o Risk and reward: Measuring return,
expectation and standard deviation.
o Modern Portfolio Theory (Markowitz):
Expected returns, variances and covariances,
benefits of diversification, the opportunity set
and the efficient frontier, the Sharpe ratio, and
utility functions.
o Capital Asset Pricing Model: Single-index
model, beta, diversification, optimal portfolios,
the multi-index model.
o Value at risk: Profit and loss for simpleportfolios, tails of distributions, Monte Carlo
simulations and historical simulations, stress
testing and worst-case scenarios.
o Financial markets and products: Bonds,
equities, currencies, commodities and indices.
o Introducing futures, forwards and options:
Simple contingent claims, definitions and uses.
o Review of option strategies: Building up special
payoff structures using vanilla calls and puts,
horizontal, vertical and diagonal spreads.
o Review of options as speculative investments:
Taking a view, gearing, strategies that benefit
from moves in the asset or in volatility.o The binomial model: Up and down moves,
delta hedging and self-financing replication, no
arbitrage, a pricing model, risk-neutral
probabilities.
3. Equity, Currency andCommodity 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
student familiar with techniques in current use.
o The Black-Scholes model: A stochastic
differential equation for an asset price, the
delta-hedged portfolio and self-financing
replication, no arbitrage, the pricing partial
differential equation and simple solutions.
o The greeks: delta, gamma, theta, vega and rho
and their uses in hedging.
o Risk-neutrality: Fair value of an option as an
expectation with respect to a risk-neutral
density function.
o Early exercise: American options, elimination
of arbitrage, modifying the binomial method,
gradient conditions, formulation as a free-
boundary problem.
o Elementary numerical analysis: Monte Carlo
simulation and the explicit finite-difference
method.
o Value at Risk: Portfolios of derivatives.
Course Syllabus
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4. Interest Rates and Products
This module starts with a review of fixed-incomeproducts and the simple but useful concepts of
yield, duration and convexity, showing how they
can be used in practice. The limitations of this
approach and the need for a more sophisticated
theory are explained. Many of the ideas seen in
the equity-derivatives world are encountered
again here but in a more complex form.
o Fixed-income products: Fixed and floating
rates, bonds, swaps, caps and floors.
o Yield, duration and convexity: Definitions, use
and limitations, bootstrapping to build up the
yield curve from bonds and swaps.
o Stochastic interest rate models, one and two
factors: Transferring ideas from the equity
world, differences from the equity world,
popular models, data analysis.
o Calibration: Fitting the yield curve in simple
models, use and abuse.
o Convertible bonds: Conversion, callability,
putability, random factors.
5. Advanced Topics I
The lognormal random walk and the Black-Scholes
model have been very successful in practice. Yetthere is plenty of room for improvement. The
benefits of new models will be discussed from
theoretical, practical and commercial viewpoints.
When pricing complex products it is necessary to
be able to correctly value vanilla products. Modern
models adopt frameworks that ensure that basic
products are perfectly calibrated initially.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.
o Non-probabilistic models: Uncertainty in
parameter values versus randomness in variables,
non-Brownian processes, nonlinear equations.o Static hedging: Hedging exotic target contracts
with exchange-traded vanilla contracts, optimal
static hedging.
o Stochastic volatility: Modelling and empirical
evidence, pricing and hedging, mean-variance
analysis.
o Jump diffusion: Discontinuous price paths, the
Merton model, jump distributions,
expectations and worst-case analysis.
o Fixed income: Use of Black-Scholes-like
models and assumptions in the fixed-income
world, pros and cons.
o Monte Carlo simulations: Use for option pricing,
speculation and scenario analysis, differences
between equity/currency/commodity and the
fixed-income worlds, accuracy, variance
reduction, bootstrapping.
o Finite-difference methods: Crank-Nicolson,
and Douglas multi-time level methods,
convergence, accuracy and stability.
o Quasi-Monte Carlo methods: Low-discrepancy
series for numerical quadrature, Halton, Sobol,
Faure and Haselgrove methods.
6. Advanced Topics II
Uncertainty plays an important role in asset
allocation, deciding the "optimal" composition
of a portfolio of investments and other
investment decisions, from deciding when to
start an advertising campaign for a new product,
to deciding whether to close down an oil well.
We study the products exposed to credit risk,
model the risk of default as well as the perceived
risk of default. Other incomplete markets are
examined and modelled.
o Credit risk and credit derivatives: Products
and uses.
o Transition matrices: Modelling change of
rating, dynamics.
o Incomplete markets: Energy and weather
derivatives.
o Real Options: The use of Real Options as an
investment decision tool and the estimation
of the parameters used in these models.
o Heath, Jarrow and Morton: Modelling the
evolution of the forward rate curve, principal
component analysis.
o Brace, Gatarek and Musiela: The evolution
of forward rates continued, the discrete-
maturity case.
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The Certificate will be of special interest to individuals working in:
o Derivatives
o Risk Management
o Structuring
o Tradingo Fund Management
o IT
o Investment Banking
o Hedge Funds
o Financial Software
o Consulting
If you have any questions about your eligibility for the programme, please call
+44 (0)20 7796 1910 and we will be happy to talk with you in greater detail.
Who Should Attend?The typical participant will be a market practitioner currently
employed in a bank or other financial institution. However,
the course is also suitable for graduate students wishing to
enter the financial markets. Some mathematical experience
and knowledge of the financial markets is useful.
Candidate Selection
Delegates should have a numerate academic qualification, which may
include one of the following:
o Degree in physics, mathematics, chemistry, engineering, econometrics or
computer science
o Master of Business Administration
You should also have familiarity with spreadsheets and computational
problem solving.
Delegates wishing to apply for the programme will be required to submit a
completed application form together with a CV, detailing their academic andprofessional experience. Application forms can be requested by contacting
[email protected]. Early application is strongly recommended due to
the restricted number of delegates allowed on to each programme.
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"I completed my BSc in Electrical Engineering two years ago. My thesis consisted of predicting
share prices in the stock market by means of a multilayer neural network. This combined with
my interest in numerical methods, PDE and ODE, led me to the field of derivatives. Before I
started the CQF course my knowledge in this field was limited. Today, and only after three
months of taking part in the programme, my knowledge base has been greatly enhanced. All
the course material is well explained and easy to follow and there is always a workshop (Excel
and VBA Simulations) after each session. In fact putting theory into practice is what I value the
most, and the CQF definitely provides that experience. The quality of the teaching is high - all
the lecturers are Quant professionals at the top of their field. The online experience is excellent
and very convenient, especially for someone like me who cannot attend every session."
Victor Gonzalez CQF Delegate
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Dominic Boachie
Academic background: BSc Maths and
Computing MSc Decision Science
Current position and responsibilities:
Systems Analyst: Involved in the analysis and
design of application systems to suit business
requirements.
What were your key objectives when
enrolling on to the CQF programme?
Strengthen my knowledge in finance. To aid
my progression into the role of a Quantitative
Analyst or similar. To have a deeper
understanding of derivative products and
how they are modelled.
What advice would you give to
potential delegates looking to apply
for a place on the CQF?
Delegates should brush up on their maths,before starting- especially Integration and
differentiation and solving second order
differential equations. It is a very intensive
course, so they should ensure they can make
time to do the weekly homework and
monthly exam.
Case Study Profiles
Harish Vaghjiani
Academic background: BSc Physics,
Queen Mary College, University of London
1989 PhD Physics, Imperial College,
University of London 1993
MSc Mathematical Trading & Finance,
City University Business School 1999
Current position and responsibilities:
Quantitative Analyst, Nomura Credit
Derivatives.
What were your key objectives when
enrolling on to the CQF programme?
One of the main reasons was to elevate my
career prospects within the field of quantitative
finance. I expected the course to be taught by
lecturers that are able to deliver complex
finance concepts in an accessible and
transparent manner, designed for people with
a practical outlook at applying financial models.
Paul Wilmotts lectures and practical sessions
achieved this.
What have been the benefits of
attending the programme?
In my opinion this course played a key part in
securing my current position as a quantitative
analyst on Nomuras Credit Derivatives desk.
The fact that I was awarded a Wilmott
Scholarship helped too. To mention a few
benefits, l have achieved a strong working
knowledge of Stochastic Calculus, Monte-
Carlo and Finite Difference techniques, andthe confidence to apply them.
What advice would you give to
potential delegates looking to apply
for a place on the CQF?
If you are committed to a career in quantitative
finance this course is a must. Be prepared to
devote a significant amount of time to each
module to get the best out of this well
structured course.
Stephane Junod
Academic background: Degree in
Econometrics and Economics 1994 Master in
Banking and Finance 1995; Lausanne
Business School
Professional qualification:
Member of the IAFE
Current position and responsibilities:
Deutsche Bank Global Equity Derivatives
Director Exotic Structuring Team Responsible
for pricing, structuring and innovation for
Equity, Funds and Hybrid underlyings.
What were your key objectives when
enrolling on to the CQF programme?
Get a better mathematical background to
enable me to read/understand advanced
papers and to implement more advanced
models.
What have been the benefits of
attending the programme?
Broader understanding of the underlying
mathematics of different models. A clear
understanding of different models and their
implementations. The programme provides
me with the tools to dig further.
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John Webb
Academic background: Leeds University
BSc Physics PhD Physics
Current position and responsibilities:
Quantitative Analyst (portfolio planning):
Analysis and management of the credit risk
portfolio for the Corporate Banking division
of Barclays Bank PLC
What were your key objectives when
enrolling on to the CQF programme?
To gain a better and more in-depth
understanding of quantitative finance and its
application in modern banking, to enable me to
further pursue a career in quantitative finance.
What have been the benefits of
attending the programme?
The CQF has given me an in-depth
understanding of the core principles ofquantitative finance in a relatively short time.
The practical application of the material
taught in the course has given me the level of
confidence that I needed to feel able to apply
what I have learned through the CQF into a
live business environment.
What advice would you give to
potential delegates looking to apply
for a place on the CQF?
If you are serious about a career in
quantitative finance and want to cover the
core principles of the subject in-depth and ina short time, then you should seriously
consider applying for a place on the CQF.
Andrea Germani
Academic background: Business in
Economics, Universita Bocconi, Milano 1999
Current position and responsibilities:
Head of Derivatives Unit, Banca Popolare
di Lodi
What were your key objectives when
enrolling on to the CQF programme?
I have always been very interested in the
quantitative approach to finance. The quality
of the CQF lecturers and syllabus was a very
important feature in deciding to apply for the
CQF. My objective is to understand the risk
and pricing of derivatives and to obtain the
tools to understand the next generation of
derivatives.
What have been the benefits of
attending the programme?The programme is very practical and I think
this is a key factor of the course. The tutors
are very supportive and always try to provide
solutions to problems, however difficult. Paul
Wilmott is a great tutor and the lessons are
always clear and interesting.
What advice would you give to
potential delegates looking to apply
for a place on the CQF?
Delegates should have a basic understanding
of derivatives and mathematics. The CQF will
provide the tools for practitioners who want
both a technical and intuitive understanding
of derivatives.
Peter Sime
Academic background: MA Mathematics
Oxford 1976 MSc Econometrics, Birkbeck 1980
Professional qualification:
Member of the Institute of Chartered
Accountants in England and Wales Member
of the Securities Institute.
Current position and responsibilities:
Director of Compliance, Wachovia Bank
What were your key objectives when
enrolling on to the CQF programme?
To apply my mathematics background to the
area of derivatives.
What have been the benefits of
attending the programme?
Achieved a much deeper understanding of
many aspects of derivatives. Brought my
mathematics back up to date.
What advice would you give to
potential delegates looking to apply
for a place on the CQF?
Ensure that your calculus is up to date and that
you have sufficient time to fully complete the
coursework.
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CQF InterviewSbastien Lleo, MBA, CFA, FRM, PRMCQF Delegate
Sbastien is a senior investment analyst and attended the CQF programme
from Ontario, Canada through 7C-Live!
Q: Why did you apply for a place on the CQFprogramme?
"I applied to the CQF because of my interest in financial engineering and
quantitative finance. Knowing the work of several course directors, I was
certain the course would be extremely well taught and include both a
presentation of the essential theoretical background and a discussion of the
latest techniques and approaches."
Q: What prior knowledge do you consider necessary tocomplete the course?
"I consider that some knowledge of elementary calculus and linear algebra as
well as a basic understanding of finance theory are a prerequisite for the course.
Of course, knowledge in vector calculus, differential equations, probability
theory, mathematical statistics and an understanding of asset valuation and
financial economics are a definitive plus. However, a lot can be picked up along
the way. So I would tend to say that this course assumes very little in terms of
prior knowledge in the field of quantitative finance. All it takes, really, is an
appetite for the field and some affinity with numbers and mathematics."
Q: How practical is the CQF?
"The CQF achieves a rare feat. I t simultaneously provides critical insights intothe theory of quantitative finance and very practical considerations regarding
the implementation of techniques and methods."
Q: What do you expect the programme will provideyou with?
"I expect to gain a fundamental understanding of the theory and practice of
quantitative finance. By this, I mean that the knowledge and insight gained
should withstand the test of time, fads and fashions, and provide me with a
deep understanding of the underlying assumptions and building blocks of
quantitative finance."
Q: As a distance learning delegate, how have youfound the course delivery?
"The course delivery is outstanding. Jonathan Shaw, in charge of technology-
related aspects, is doing a remarkable job to ensure that the distant learners
have as good a course experience as the delegates present in the classroom.
I think it was a wonderful challenge to open such an ambitious programme to
distance learners right from the first year. This demonstrates 7city Learning
and Dr Paul Wilmotts professionalism and commitment to the programme."
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Q: How have you coped with the monthly exams?
"The programme is fast paced, with one module a month and homework todo every week. However, it is not too difficult to deal with monthly exams. To
the contrary, it keeps delegates focused on the learning process and ensures
no one will be left behind after the end of a module."
Q: What are the best parts of the programme?
"The best part of the programme is the programme itself. The course is very
well structured and organized, the lectures are captivating and the lecturers
are amazing. The homework is not a mere repeat of the topics tackled in
class, but expand on the subject and give us the opportunity to acquire
depth and breadth. The cycle of monthly modules and monthly exams keep
the delegates focused on the learning process. Finally, the 7city team
deserves to be congratulated on its professionalism and the level of serviceprovided. All this makes of the CQF an outstanding programme."
Q: Who would you recommend the course for?
"I would essentially recommend this course to anyone interested in the
application of quantitative techniques to solve financial problems whether
their background is in science and engineering or in economics and finance.
The course is designed to be accessible."
Q: How does the CQF compare with the otherprogrammes you have completed?
"The CQF is entirely designed around the field of quantitative finance and
is taught by a faculty of experts. These two characteristics, no matter how
simplifying they are, help distinguish it from other programmes available.
The possibility of taking the entire course as a distance learner is another
unique feature of the programme."
"The CQF has been challenging and rewarding. The standard
of lecturing has been exceptional, with a focus on the key
theoretical concepts in quantitative finance and their
implementation in software - the practical implementation
of quantitative techniques is treated as importantly as the
underlying theory. The exercises and exams for each module
rally the best out of the delegates."
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Recorded Sessions
Each weekly lecture and workshop is recorded and can be accessed via
7C-online accounts (provided to all delegates upon enrolment). All
delegates have unlimited access to 7C-online for session-by-session
playbacks. Delegates unable to attend a live classroom lecture enjoy the fullsupport of 7C-online to ensure they keep up to speed with each module.
In addition to recorded sessions, 7C-online stores the following for delegate
access:
o Programme syllabus
o Lecture notes by session
o Weekly exercises and solutions
o Module exam papers and related solutions
o Excel spreadsheets and VB programmes
Distance Learning
The CQF is also delivered as a distance-learning programme via 7C-Live.
Distance-learning delegates conference into lectures and workshops and
participate alongside classroom delegates. They enjoy the same level of
interaction with the tutor. 7C-Live integrates data, voice, and video within a
standard web browser so CQF course directors can hold real-time tutorials over
the Internet with delegates using virtually any desktop, laptop, or wireless
handheld device.
Course lecturers maintain a two-way dialogue with delegates to ensure
questions are addressed during the session.
Previous course delegates from locations throughout the world, including
New York, Hong Kong, Toronto, Paris, Milan, Munich and Frankfurt, have
attended live weekly lectures over the internet to complete each module of
the CQF.
Distance-learning delegates receive exactly the same pre- and post-course
reading materials, are expected to complete weekly exercises and are
subject to the same compulsory modular exams as classroom delegates.
Course FormatThe CQF Programme is based around a series of 24
compulsory formal lectures given by experienced
practitioners and trainers. Delegates are given homework at
the end of each lecture and an examination at the end of
each module. In addition to these lectures, delegates are
provided with other workshop-style sessions on
spreadsheets, Visual Basic, advanced mathematical
methods, problem solving and examination preparation and
follow up. Delegates may also elect to join an additional
C++ Programming module (see page 17).
Lectures are held in London at the 7city offices close to
Bank underground station. Lectures commence at 6pm and
last two-and-a-half hours.
The Certificate comprises of the following elements
o Part-time evening course, consisting of 24 formal lectures, one per week
for six months
o Weekly workshops
o Avoidance of day release to attend courses
o City of London course location
o Lectures from a highly acclaimed team of instructors combining leading
academics and practitioners
o Coherent learning objectives, from fundamental concepts through to thelatest advances
o Innovative and relevant technical course content
o Computer workshops, putting theory into practice
o Emphasis on the implementation of models and algorithms
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o Delegates can see the tutor and classroom presentation
simultaneously.
o 7C-Live! allows easy orientation and ensures delegates
receive a strong classroom experience.
o Classroom presentation technology allows clear annotation of
course notes.
o Delegates follow step-by-step construction of Excel and VBA models.
o Each model solution is posted to 7C-online.
o Delegates can review models via recorded playbacks.
o Delegates conference into each lecture to participate alongside
classroom delegates.
o Course instructors maintain two-way dialogue with delegates to
ensure questions are addressed during the session.
o Delegates receive personal usernames and passwords for
access to 7C-online.
o Lecture notes for all sessions are stored in 7C-online.
o 7C-online allows full accessibility to exercises, exams and
solutions for each session and module.
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Mathematics for
Quantitative FinanceThe mathematics primer is divided into two
modules, each module delivered via a one-day
programme:
o Module M1:Calculus and Differential
Equations Refresher
o Module M2:Linear Algebra and
Probability Refresher
Mathematics finance is now a pre-requisite for
City practitioners and this primer provides a
refresher course.
Module M1: Calculus Refresher
Fuctions of a single variable:
o Ordinary calculus
o Ordinary differential equations
o Solution methods
o Basic numerical integration
o Simple integral equations
Functions of two or more variables:
o Partial differential calculus
o Partial differential equations
o Classification
o The diffusion equation
o Solution methods
o Basic numerical methods
Matrices:
o Matrix manipulation
o Eigenvalues and eigenvectors
o Exponentiation
Module M2: Probability Refresher
Elementary probability theory:
o Distributions, discrete and continuous
o First and second moments (mean and variance)
o Higher moments (skew and kurtosis)
o Important distributions
o Several variables
o Moment generating function
o Central limit theorem
Elementary statistics:
o Data representation
o Regression
o Maximum likelihood estimation
Random walks:
o Trinomial
o Transition probability density functions
o Deterministic equations from
random behaviour
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"I would highly recommend the course to delegates
considering undertaking the CQF."
Dr Warren Mellor CQF Delegate
Additional Modules
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C++ for Quantitative
FinanceSoftware development in C++ is one of the key
technologies employed by global financial
institutions, particularly due to its support of
object-oriented programming. This has resulted
in a minimum requirement for all quantitative
professionals to have a solid core background in
C++ modelling.
The C++ programme is a self-contained course
taking delegates from simple programming
examples through to basic object-oriented
applications, with real-world examples from the
quantitative finance arena to illustrate the
powerful nature of this language. The course
assumes no previous knowledge of C/C++,
although familiarity with basic high-level
language programming concepts is considered
an advantage.
Variables, types and Expressions:
o Identifiers
o Data Types
o Declarations
o Constants and Enumerations
o Assignment and Expressions
Branch and loop statements:
o Boolean Values
o Expressions and Functions
o For', 'While' and 'Do....While' Loops
o Multiple selection and Switch statements
o Blocks and Scoping
Functions and Procedural abstraction:
o User-defined functions
o Value and Reference parameters
o Polymorphism and Overloading
o Procedural abstraction and good
programming style
o Splitting programs into different files
Files and streams:
o Input and Output using files and streams
o Streams as arguments to functionso Input and Output using ''
Arrays and Strings:
o Declaring arrays and strings
o Arrays as parameters
o Sorting arrays
o Two-dimensional arrays
o String manipulation
Pointers and linked lists:
o Declaring pointers
o The '*','&','new'and 'delete'operators
o Pointer arithmetic
o Automatic and dynamic variables
Recursion:
o Recursion and iteration
o Mechanics of a recursive call
o Recursive data structures
o Quick sort
Introduction classes:
o The object-oriented paradigmo Encapsulation and inheritance in C++
o Constructors, friends and overloaded
operators
o Static members
Numerical Methods:
o Approximating a PDF/CDF
o Solutions of linear systems
o Direct methods of solution and iterative
techniques
o Numerical integration
o Power methodo Explicit and implicit finite difference methods
for parabolic PDEs
o Monte Carlo method
Quantitative Finance:
o Pricing of European,American,Exotic and
Basket options
o Interest rates and products
o Volatility modelling
This course is a practical introduction to programming focused on financial
applications designed to build up libraries of code used in many applications
teaching is conducted by an expert who can pass on valuable advice a
"must "for Quants to develop an understanding of the C++language.
Peter Sime MA(Oxon);MSc(Lon)Wachovia Bank NA, CQF Delegate
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Examination AssessmentThe Certificate in Quantitative Finance is awarded to delegates based on their
performance in the compulsory module examinations.
Module Examinations and the Certificate
Examinations are issued following the last session of each module. Three
hours are allowed for answering the paper, and lecture notes and books can
be used for reference. All examinations are to be completed on a self-
regulated basis.
Papers can be submitted in handwritten format, on disk or by email, before
or at the following lecture. Mathematics can be handwritten or typeset.
Delegate scores will be sent out to each delegate within 14 days of the
examination paper being distributed for completion. Delegates marks on all
modules except for the first module contribute towards the overall
Certificate. Solutions for each exam are posted to 7C-online, once all papers
are collated.
Delegates will receive one of two results:
o Course Pass
o Course Fail
Pre- and Post-Module Sessions
On completion of the last session in each module, delegates are provided
with the opportunity to attend a pre-exam problem session. A CQF course
director takes delegates through a review of technical issues raised in the
previous four sessions and allows delegates to ensure all queries are
addressed, before attempting the relevant module exam.
Final Examination/Distinctions
The final three-hour examination is optional. Delegates attend the exam if
they wish to obtain a distinction. The examanition is fully invigilated and
covers subjects from all modules. From each class, one delegate will receive
the "Wilmott Prize for Excellence". The award will be made to the delegateattaining the highest score in the final examination.
Examination Results
Examination results for the Certificate in Quantitative Finance are announced
in the following publications:
o Financial Times (UK and International Editions)
o Economist
o Wilmott magazine
Delegates are listed by name (and company if appropriate).
Only delegates receiving a pass or distinction are listed, in addition to the
delegate receiving the "Wilmott Prize."
Dr Michael Rees
Past winner of the Wilmott Prize
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PRMIA ExemptionsThe Education and Standards Committee of PRMIA (Professional Risk
Managers Association) has granted all CQF holders exemptions to the PRM
qualification for:
o Exam I Finance Theory, Financial Instruments and Markets
o Exam II Mathematical Foundations of Risk Measurement
Delegates obtaining the CQF are required to complete a cross-over exam
encompassing:
o Exam III Risk Management Practices PLUS
o Exam IV Case Studies &&PRMIA Standards of Best Practice, Conduct
and Ethics, Bylaws
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We very were impressed with the high
standard of the CQF. It provides students
with in-depth understanding of thequantitative methods important in today's
financial markets.
David R.Koenig, Chair of PRMIA's Board of Directors
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Certificate Enrolment DetailsCourse Dates
Each module contains four sessions. All sessionscommence at 6pm and will be held at one of
7citys training centres in the City of London.
Refreshments available on site. You must
complete all modules to attain the Certificate,
however, you can select individual modules
within a three-year period to complete the
Certificate over a longer timeframe.
New: Delegates may attend individual sessions
(see page 21 for detailed lecture timetable).
Programme Fees
Fees are due in advance of the programme ormodule start date. Cancellations of confirmed
bookings are subject to a refund of 100% if
notification is provided in writing more than 30
days before start date; subject to 50% refund if
notification is provided within 30 days; no refund
is applicable if notification of cancellation is
within 15 days or non-attendance. VAT will be
applied to EU billing addresses. Course text
books are provided only as part of the full
programme.
Pre-Course Reading
Delegates will be provided with the followingpre-course reading material:
Paul Wilmott Introduces Quantitative Finance
(P. Wilmott)
Advanced Modelling in Finance Using Excel and
VBA (M. Jackson and M. Staunton)
The Complete Guide to Option Pricing Formulas
(E.G. Haug)
Paul Wilmott on Quantitative Finance (P. Wilmott)
Monte Carlo Methods in Finance (P. Jckel)
How to Apply
If you wish to apply for a place on theCQF programme, please contact
[email protected] to request your
application form. Class sizes are restricted
and places are awarded on a first come basis,
provided a delegates application has
been approved.
For Further Information
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The organisers reserve the right to change or
cancel the published course dates due to
unforeseen circumstances. The companys
liability will be limited to a transfer to the next
appropriate date or a refund of the course fee.
The organisers reserve the right to alter the
contents of this programme and/or the course
directors and venue due to circumstances
beyond its control.
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Course Option Course Fee
Full classroom programme 9,250 + VAT
Full classroom programme (incl. optional C++ course) 10,500 + VAT
Individual module 1,750 + VAT
Individual lecture 495 + VAT
Full distance-learning programme 5,950 + VAT
Full distance-learning programme (incl. optional C++ course) 7,200 + VAT
Mathematics for Quantitative Finance (2-days) 990 + VAT
C++ for Quantitative Finance (8-evenings) 1,995 + VAT
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Lecture TimetableCQF Lecture Date
Module
CQF 1.1 The Random Behaviour of Assets Wednesday 30th JuneCQF 1.2 Calculus Refresher, Taylor Series and Transition Density Functions Wednesday 7th July
CQF 1.3 Probability, the Central Limit Theorem, Stochastic Calculus and Ito's Lemma Wednesday 14st July
CQF 1.4 Simulating and Manipulating Stochastic Differential Equations Wednesday 21st July
CQF 2.1 Portfolio Management Wednesday 28th July
CQF 2.2 Products and Strategies Wednesday 4th August
CQF 2.3 Value at Risk and Volatility Wednesday 11th August
CQF 2.4 Binomial Model Wednesday 18th August
CQF 3.1 Black-Scholes, Greeks Wednesday 25th August
CQF 3.2 Monte Carlo and Finite Differences Wednesday 1st September
CQF 3.3 Advanced Greeks Wednesday 8th SeptemberCQF 3.4 Understanding Volatility Wednesday 15th September
CQF 4.1 Fixed Income Products and Analysis Wednesday 22th September
CQF 4.2 Stochastic Interest Rate Modeling Wednesday 29th September
CQF 4.3 Calibration and Data Analysis Wednesday 6th October
CQF 4.4 Convertible Bonds Wednesday 13th October
CQF 5.1 Discrete Hedging and Transaction Costs Wednesday 20th October
CQF 5.2 Stochastic Volatility and Jump Diffusion Wednesday 27th October
CQF 5.3 Further Monte Carlo Wednesday 3rd November
CQF 5.4 Further Finite Difference Methods Wednesday 10th November
CQF 6.1 Advanced Volatility Modeling Wednesday 17th NovemberCQF 6.2 BGM Wednesday 24th November
CQF 6.3 Credit Risk and Credit Derivatives Wednesday 1st December
CQF 6.4 Real Options Wednesday 8th December
Delegates may attend individual lectures.
If you would like to meet Paul Wilmott, the CQF team and find out more about the programme, please join us at a CQF Open Evening:
o Thursday 14th October
o Thursday 18th November
The sessions will commence at 6.15pm and will be held at Princes House, 95 Gresham Street, London EC2V 7NA.
To book your place, please call +44 (0)20 7796 1910 or email [email protected]
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7city Learning
Princes House
95 Gresham Street
London EC2V 7NA
+44 (0) 20 7796 1910
+44 (0) 20 7796 1710
http://www.7city.com