Extras & Masterclasses
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CERTIFICATE IN FINANCE CQF GLOBAL STANDARD IN FINANCIAL ENGINEERING Alumni Lectures and Masterclasses cqf.com Credit Recent Developments in Credit Risk (Wim Schoutens) Modeling and Measuring Sovereign Credit Risk (Ephraim Clark) Copulas: Applications to the Pricing of Credit Derivatives (Seb Lleo) The Pricing of CDO’s Using Levy Copulas (Wim Schoutens) Jumps in Credit Risk Modeling and Intensity Models: Theory, Calibration, Pricing (Wim Schoutens) CDS Pricing: Market Approach (Moorad Choudhry) Synthetic CDO Note Pricing (Moorad Choudhry) 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) Intensity Models (Siyi Zhou) Introduction to Credit Derivatives (Moorad Choudhry) Credit Default Swaps (Alonso Pena) Advanced Credit Derivatives (Seb Lleo) Equity Convertible Bonds (Paul Wilmott) The Feedback Effect of Hedging in Illiquid Markets (Paul Wilmott) Dividend Modeling and Option Pricing (Some Practitioners’ Models and a New Model) (Ralf Korn) Ten Ways to Derive Black-Scholes (Paul Wilmott) Pricing a Class of Options via Moments and SDP Relaxations (Milhail Zervos) How to Hedge (Paul Wilmott) Multi-Asset Options (Paul Wilmott) Miscellaneous Options (Paul Wilmott) Lookback Options (Paul Wilmott) Asian Options (Paul Wilmott) Strongly Path Dependent Options (Paul Wilmott) Barrier Options (Paul Wilmott) 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) Term Sheets (Paul Wilmott) Exotic Options (Paul Wilmott) Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation (Wim Schoutens) Repo Rates and Short Selling Restrictions (Paul Wilmott) The Life of a Fundamental Analyst (Anneke Minnema) 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 Modelling (Lecture IV) (Claudio Albenese) Fixed Income Modelling (Lecture III) (Claudio Albenese) Fixed Income Modelling (Lecture II) (Claudio Albenese) Fixed Income Modelling (Lecture I) (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) Trading A Market Impact Model that Works (Dan di Bartolomeo) Optimal Execution of Portfolio Transactions: A Review (Ekaterina Kochieva) Mathematics Can You Count on your Correlation Matrix? (Nick Higham) Singular Peturbation Problems Arising in Mathematical Finance: Alumni Lectures The Alumni Lectures are the biggest component of Lifelong Learning and contains a library of over 500 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 selection of the Alumni Lectures:
Transcript of Extras & Masterclasses
CERTIFICATE IN
FINANCE
CQF
GLOBAL STANDARD IN FINANCIAL ENGINEERING
Alumni Lectures and Masterclasses
cqf.com
CreditRecent Developments in Credit Risk (Wim Schoutens)Modeling and Measuring Sovereign Credit Risk (Ephraim Clark)Copulas: Applications to the Pricing of Credit Derivatives (Seb Lleo)The Pricing of CDO’s Using Levy Copulas (Wim Schoutens)Jumps in Credit Risk Modeling and Intensity Models: Theory, Calibration, Pricing (Wim Schoutens)CDS Pricing: Market Approach (Moorad Choudhry)Synthetic CDO Note Pricing (Moorad Choudhry)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)Intensity Models (Siyi Zhou)Introduction to Credit Derivatives (Moorad Choudhry)Credit Default Swaps (Alonso Pena)Advanced Credit Derivatives (Seb Lleo)
EquityConvertible Bonds (Paul Wilmott)The Feedback Effect of Hedging in Illiquid Markets (Paul Wilmott)Dividend Modeling and Option Pricing (Some Practitioners’ Models and a New Model) (Ralf Korn)Ten Ways to Derive Black-Scholes (Paul Wilmott)Pricing a Class of Options via Moments and SDP Relaxations (Milhail Zervos)How to Hedge (Paul Wilmott)Multi-Asset Options (Paul Wilmott)Miscellaneous Options (Paul Wilmott)Lookback Options (Paul Wilmott)Asian Options (Paul Wilmott)Strongly Path Dependent Options (Paul Wilmott)Barrier Options (Paul Wilmott)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)Term Sheets (Paul Wilmott)
Exotic Options (Paul Wilmott)Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation (Wim Schoutens)Repo Rates and Short Selling Restrictions (Paul Wilmott)The Life of a Fundamental Analyst (Anneke Minnema)
Fixed IncomeBlack 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 Modelling (Lecture IV) (Claudio Albenese)Fixed Income Modelling (Lecture III) (Claudio Albenese)Fixed Income Modelling (Lecture II) (Claudio Albenese)Fixed Income Modelling (Lecture I) (Claudio Albenese)
Risk ManagementUnderstanding 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)
TradingA Market Impact Model that Works (Dan di Bartolomeo)Optimal Execution of Portfolio Transactions: A Review (Ekaterina Kochieva)
MathematicsCan You Count on your Correlation Matrix? (Nick Higham)Singular Peturbation Problems Arising in Mathematical Finance:
Alumni Lectures
The Alumni Lectures are the biggest component of Lifelong Learning and contains a library of over 500 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 selection of the Alumni Lectures:
Fluid Dynamics Concepts in Option Pricing (Peter Duck)Derivatives and Stochastic Control (Paul Wilmott)Method Of Separation Of Variables (Riaz Ahmad)Introduction to Copulas (Seb Lleo)Fundamentals of Optimization (Seb Lleo)Can You Feel the Heat? Inverse Problems in Finance (Andreas Binder)Differential Equations (Riaz Ahmad)Quants Toolbox (Riaz Ahmad)Martingales (Riaz Ahmad)American Options (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 (Riaz Ahmad)Methods for Quant Finance: II (Riaz Ahmad)Martingales and PDEs: Which, When and Why (Seb Lleo)Martingales and PDEs: More Which, When and Why (Seb Lleo)Complex Analysis (Riaz Ahmad)
Numerical MethodsSoftware 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)
Portfolio ManagementEquity 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)Markowitz was Wrong! (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)
ProgrammingThe New C++ Standard (Roger Orr)Introduction to Volatility Trading and Variance Swaps (Sebastien Bossu)
Further LecturesQuant Day (NAG and Paul Wilmott)Is a Manhattan Project necessary to prevent financial Armageddon? (Iris Mack)Real Options (Nick Mayor)Lateral Thinking (Alice Auld)Acceptability Applications (Dilip Madan)Problem Solving Lecture II (Alice Auld)Behavioral Finance (Andy Duncan)How the Fundamental Analysts Work in Banks (Anneke Minnema)Scaling Financial Analysis Applications with Matlab and Star-P (Andy Greenwell)The Risky Horror Show (Andreas Binder)Computing a Nearest Correlation Matrix with Factor Structure (Nick Higham)Using GPUs for Computational Finance (Mike Giles)CQF Research Workshop 1 – Feedback, High Frequency Trading, Serial Autocorrelation Memory etc. (Paul Wilmott)The Credit Crunch: Past, Present and Future (Michael J. Oliver)What Signals Worked and What Did Not, 1980-2009 (Bill Ziemba)Financial Modelling using Garch Processes (Kyriakos Chourdakis)
Volatility, Advanced Modeling with PC WorkshopsTutor: Paul WilmottDuration: 2 days VG Modeling: Pricing Financial Derivatives in Equity and Credit RiskTutor: Wim SchoutensDuration: 2 days Exotic Equity Derivatives, Pricing and HedgingTutor: Paul WilmottDuration: 2 days
Behavioral Science in Finance: Phenomena, Diagnosis, TherapyTutor: Henriette PrastDuration: 1 day Operator Methods in Fixed Income and CreditTutor:Claudio AlbaneseDuration: 2 days
Intraday High-Frequency Trading: From Empirical Evidence to Quantitative OptimizationTutor: Charles-Albert LehalleDuration: 1 day
E: [email protected] W: cqf.com
Alumni Masterclasses
The Alumni Masterclasses allow alumni to delve deeper into specific subjects after they have completed the core CQF program. These one or two day courses are delivered by leading practioners and respected academics. The full list comprises more than 70 hours of additional material and is included in the cost of the CQF.
Please see below for a selection of the Masterclasses:
