Certificate in Quantitative Finance (CQF)

Quant finance for today's markets The need for quant finance expertise
is ever-widening, so we've designed the CQF for ambitious professionals
from a spectrum of backgrounds. CQF delegates come from a wide range
of positions within the markets and a variety of academic backgrounds,
including finance, economics, business, engineering and the sciences.

The CQF is for anyone who wants an efficient and cost effective way to
develop practical mastery of quant finance and machine learning, while
also earning a globally recognized qualification. The CQF is especially
relevant for professionals working or planning to move into one of the
following areas.

Occupation

– Quantitative Analysis
– Data Science
– Risk Management
– Information Technology
– Analytics
– Consulting
– Derivatives
– Actuary
– Hedge Funds
– Trading
– Fund Management
– Asset Management
– Student
– Structuring
– Insurance
– Quantitative Trading
– Valuation
– Quantitative Research
– Derivatives
– Model Validation

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CQF program overview The CQF is split into three essential phases:
Preparation (optional primers), the CQF Qualification (modules and
advanced electives) and Lifelong Learning (continuous education).

Mathematics Primer

The CQF program begins with the Mathematics Primer, 12 hours of

intensive training covering all the math preliminaries you'll need to
know. The primer has been carefully designed to help you feel at home
with the level of math involved in the core program.

Calculus:

– Functions and Limits

– Differentiation and Integration
– Complex Numbers
– Functions of Several Variables
– Differential Equations:
– First Order Equations
– Second and Higher Order Equations

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

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Linear Algebra:

– Matrices and Vectors

– Systems of Linear Equations
– Eigenvalues and Eigenvectors

Python Primer

The Python Primer introduces Scientific Computing in Python. Ideal if

you’re new to coding in this setting, this primer includes eight hours of
training and will present the essentials of Python language in a scientific
framework. Enabling you to begin writing numerical code, you’ll start
with screen output and learn to write simple programs for computational
purposes.

The primer covers:

– Python syntax: variables; basic data types; control flow;

functions, file input/output
– Mathematical applications of Python: standard mathematical
functions in the mathematics library; operations on numerical
arrays; linear algebra; statistics; data plot
– Good programming practices, documenting code; debugging

Finance Primer

This primer introduces the key concepts and different asset classes
needed for the CQF program. Designed to benefit both those who are
working in the industry and seeking a refresher, and those who have no
experience within financial services but may be looking to move into this
type of role, this ten-hour primer lays the foundations you’ll need to
succeed.

The primer covers:

– Macro Economics

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 – Capital Markets in Fundamentals
– Introduction to Money Markets
– Time Value of Money
– Introduction to Equities
– Introduction to Bonds
– Introduction to Swaps
– Introduction to FX
– Introduction to Derivatives
– Introduction to Commodities

Module 1 - Building Blocks of Quantitative Finance

In module one, we will introduce you to the rules of applied Itô calculus
as a modeling framework. You will build tools using both stochastic
calculus and martingale theory and learn how to use simple stochastic
differential equations and their associated Fokker- Planck and
Kolmogorov equations.

The Random Behavior of Assets

– Different types of financial analysis

– Examining time-series data to model returns
– Random nature of prices
– The need for probabilistic models
– The Wiener process, a mathematical model of randomness
– The lognormal random walk- The most important model for equities,
currencies, commodities and indices

Binomial Model

– A simple model for an asset price random walk

– Delta hedging
– No arbitrage
– The basics of the binomial method for valuing options
– Risk neutrality

PDEs and Transition Density Functions

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 – Taylor series
– A trinomial random walk
– Transition density functions
– Our first stochastic differential equation
– Similarity reduction to solve partial differential equations
– Fokker-Planck and Kolmogorov equations

Applied Stochastic Calculus 1

– Moment Generating Function

– Construction of Brownian Motion/Wiener Process
– Functions of a stochastic variable and Itô’s Lemma
– Applied Itô calculus
– Stochastic Integration
– The Itô Integral
– Examples of popular Stochastic Differential Equations

Applied Stochastic Calculus 2

– Extensions of Itô’s Lemma

– Important Cases - Equities and Interest rates
– Producing standardised Normal random variables
– The steady state distribution

Martingales

– Binomial Model extended

– The Probabilistic System: sample space, filtration, measures
– Conditional and unconditional expectation
– Change of measure and Radon-Nikodym derivative
– Martingales and Itô calculus
– A detour to explore some further Ito calculus
– Exponential martingales, Girsanov and change of measure

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Module 2 - Quantitative Risk & Return

In module two, you will learn about the classical portfolio theory of
Markowitz, the capital asset pricing model and recent developments of
these theories. We will investigate quantitative risk and return, looking
at econometric models such as the ARCH framework and risk management
metrics such as VaR and how they are used in the industry.

Portfolio Management

– Measuring risk and return

– Benefits of diversification
– Modern Portfolio Theory and the Capital Asset Pricing Model
– The efficient frontier
– Optimizing your portfolio
– How to analyze portfolio performance
– Alphas and Betas

Fundamentals of Optimization and Application to Portfolio Selection

– Fundamentals of portfolio optimization

– Formulation of optimization problems
– Solving unconstrained problems using calculus
– Kuhn-Tucker conditions
– Derivation of CAPM

Value at Risk and Expected Shortfall

– Measuring Risk
– VaR and Stressed VaR
– Expected Shortfall and Liquidity Horizons
– Correlation Everywhere
– Frontiers: Extreme Value Theory

Asset Returns: Key, Empirical Stylised Facts

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 – Volatility clustering: the concept and the evidence
– Properties of daily asset returns
– Properties of high-frequency returns

Volatility Models: The ARCH Framework

– Why ARCH models are popular?

– The original GARCH model
– What makes a model an ARCH model?
– Asymmetric ARCH models
– Econometric methods

Risk Regulation and Basel III/IV

– Definition of capital
– Evolution of Basel
– Basel III/IV and market risk
– Key provisions

Collateral and Margins

– Expected Exposure (EE) profiles for various types of instruments

– Types of Collateral
– Calculation Initial and Variation Margins
– Minimum transfer amount (MTA)
– ISDA / CSA documentation

Module 3 - Equities & Currencies

In module three, we will explore the importance of the Black- Scholes

theory as a theoretical and practical pricing model which is built on the
principles of delta heading and no arbitrage. You will learn about the
theory and results in the context of equities and currencies using
different kinds of mathematics to make you familiar with techniques in
current use.

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Black-Scholes Model

– The assumptions that go into the Black-Scholes equation

– Foundations of options theory: delta hedging and no arbitrage
– The Black-Scholes partial differential equation
– Modifying the equation for commodity and currency options
– The Black-Scholes formulae for calls, puts and simple digitals
– The meaning and importance of the Greeks, delta, gamma, theta,
vega and rho
– American options and early exercise
– Relationship between option values and expectations

Martingale Theory - Applications to Option Pricing

– The Greeks in detail

– Delta, gamma, theta, vega and rho
– Higher-order Greeks
– How traders use the Greeks

Martingales and PDEs: Which, When and Why

– Computing the price of a derivative as an expectation

– Girsanov's theorem and change of measures
– The fundamental asset pricing formula
– The Black-Scholes Formula
– The Feynman-K_ac formula
– Extensions to Black-Scholes: dividends and time-dependent
parameters
– Black's formula for options on futures

Intro to Numerical Methods

– The justification for pricing by Monte Carlo simulation

– Grids and discretization of derivatives
– The explicit finite-difference method

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Exotic Options

– Characterisation of exotic options

– Time dependence (Bermudian options)
– Path dependence and embedded decisions
– Asian options

Understanding Volatility

– The many types of volatility

– The market prices of options tells us about volatility
– The term structure of volatility
– Volatility skews and smiles
– Volatility arbitrage: Should you hedge using implied or actual
volatility?

Further Numerical Methods

– Implicit finite-difference methods including Crank-Nicolson schemes

– Douglas schemes
– Richardson extrapolation
– American-style exercise
– Explicit finite-difference method for two-factor models
– ADI and Hopscotch methods

Derivatives Market Practice

– Option traders now and then

– Put-Call Parity in early 1900
– Options Arbitrage Between London and New York (Nelson 1904)
– Delta Hedging
– Arbitrage in early 1900
– Fat-Tails in Price Data
– Some of the Big Ideas in Finance
– Dynamic Delta Hedging
– Bates Jump-Diffusion

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Advanced Greeks

– The names and contract details for basic types of exotic options
– How to classify exotic options according to important features
– How to compare and contrast different contracts
– Pricing exotics using Monte Carlo simulation
– Pricing exotics via partial differential equations and then finite
difference methods

Advanced Volatility Modeling in Complete Markets

– The relationship between implied volatility and actual volatility in a

deterministic world
– The difference between 'random' and 'uncertain'
– How to price contracts when volatility, interest rate and dividend
are uncertain
– Non-linear pricing equations
– Optimal static hedging with traded options
– How non-linear equations make a mockery of calibration

FX Options

– Understand the history and evolution of the FX market, how it has

developed and grown to be the largest global market
– Be aware of the current operations and conventions of the FX market
– Appreciate the size and importance of the FX option market,
including how it has developed and current uses of FX options
– Understand the role of volatility in options and the terms “out of the
money” and “volatility surface”
– Be able to price simple FX options and those created by a
combination of puts and calls
– Understand how other path-dependent FX options are priced
including American and Bermudan
– Understand the risk management of FX options, and be able to
implement basic Delta hedging
– Be able to perform historical back-testing and appreciate its role in
developing trading and hedging strategies including carry trades,

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 option selling and hedging of different asset classes

Module 4 - Data Science & Machine Learning l

In module four, you will be introduced to the latest data science and
machine learning techniques used in finance. Starting with a
comprehensive overview of the topic, you will learn essential
mathematical tools followed by a deep dive into the topic of supervised
learning, including regression methods, k-nearest neighbors, support
vector machines, ensemble methods and many more

An Introduction to Machine Learning l

– What is mathematical modeling?

– Classic modeling
– How is machine learning different?
– Principal techniques for Machine Learning

An Introduction to Machine Learning II

– Common Machine Learning Jargon

– Intro to Supervised Learning techniques
– Intro to Unsupervised Learning techniques
– Intro Reinforcement Learning techniques

Math Toolbox for Machine Learning

– Learning Theory: The bias-variance problem

– Linear Algebra for ML
– Empirical Risk minimization
– Gradient descent (stochastic and accelerated)
– Constrained optimization and its applications
– Probabilistic Modelling and Inference
– Gaussian Processes
– The art and theory of model selection

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Supervised Learning – Regression Methods

– Linear Regression
– Penalized Regressions: Lasso, Ridge and Elastic Net
– Logistic, Softmax Regression

Supervised Learning II

– K Nearest Neighbors
– Naïve Bayes Classifier
– Support Vector Machines

Decision Trees and Ensemble Models

– Introduction to decision trees, basic definitions

– CART: Classification and Regression Trees
– Measuring the performance of trees (entropy, Gini impurity)
– Fitting decision trees to data
– The bias and variance trade-off for decision trees
– Bootstrap Aggregating (Bagging) for variance reduction
– Random Forests
– Boosting for bias reduction
– Generic Boosting (Anyboost)
– Gradient Boosted Regression Trees
– Adaptive Boosting (AdaBoost)
– Applications to Finance

Practical Machine Learning Case Studies for Finance

– Macro Forecasting the S&P 500 and the Baa-Spread

– Sharpe style regression methods for mutual funds
– Natural Language Processing for Sentiment Analysis of ESG Company
Reports

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Module 5 - Data Science & Machine Learning ll

In module five, you will learn several more methods used for machine
learning in finance. Starting with unsupervised learning, deep learning
and neural networks, we will move into natural language processing and
reinforcement learning. You will study the theoretical framework, but
more importantly, analyze practical case studies exploring how these
techniques are used within finance.

Unsupervised Learning |

– K Means Clustering
– Self Organizing Maps
– Strengths and Weaknesses of HAC and SOM
– Applications in Finance

Unsupervised Learning II

– The curse of dimensionality

– t-distributed Stochastic Neighbor Embedding (t-SNE)
– Uniform Manifold Approximation and Projection (UMAP)
– Autoencoders
– Applications in Finance

Deep Learning and Neural Networks

– What are Artificial Neural Networks and Deep Learning?

– Perceptron Model, Backpropagation
– Neural Network Architectures: Feedforward, Recurrent, Long Short
Term Memory, Convolutional, Generative adversarial
– Applications in Finance

Natural Language Processing

– Pre Processing
– Word vectorizations, Word2Vec

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 – Deep Learning and NLP Tools
– Application in Finance: sentiment change vs forward returns; S&P
500 trends in sentiment change; Earnings calls analysis.
– Code examples

Reinforcement Learning I

– Recap of multi-armed bandit

– The exploitation-exploration trade-off
– Exploration strategies: softmax versus epsilon-greedy
– Risk-sensitivity in Reinforcement-learning

Reinforcement Learning II

– Reinforcement Learning Case Study

– Application of algo trading
– Application in automated market making

AI Based Algo Trading Strategies

– Basic Financial Data Analysis with Python and Pandas

– Creating Features and Label Data from Financial Time Series for
Market Prediction
– Application of Classification Algorithms from Machine Learning to
Predict Market Movements
– Vectorized Backtesting of Algorithmic Trading Strategies based on
the Predictions
– Risk Analysis for the Algorithmic Trading Strategies

Practical Machine Learning Case Studies for Finance

– Asset Price Behaviour and Volatility modeling

– Empirical SDEs with estimated drift and diffusion functions
– Generalized Stoch Vol models, learning dynamical models from data
– Option pricing and hedging using Machine Learning
– Model free pricing of exotic options

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 – Robust Portfolio Optimization with Machine Learning
– Denoising and Detoning covariance matrices
– Nested Cluster Optimization

Quantum Computing in Finance

– Define quantum computing

– Review the three key ingredients of quantum computing: qubits,
quantum gates and quantum circuits
– Enumerate some of the applications of quantum computing in various
fields
– Construct a simple quantum circuit online using the IBM Quantum
Experience
– Learn how to write your own quantum program using the Python
module Qiskit
– Review some financial applications of quantum computing, in
particular European Call Options

Module 6 - Fixed Income & Credit

In the first part of module six, we will review the multitude of interest
rate models used within the industry, focusing on the implementation
and limitations of each model. In the second part, you will learn about
credit and how credit risk models are used in quant finance, including
structural, reduced form as well as copula models.

Fixed Income Products and Analysis

– Names and properties of the basic and most important Fixed Income
Products
– Features commonly found in Fixed Income Products
– Simple ways to analyze the market value of the instruments: yield,
duration and convexity
– How to construct yield curves and forward rates
– Swaps
– The relationship between swaps and zero-coupon bonds

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Stochastic Interest Rate Modeling

– Stochastic models for interest rates

– How to derive the pricing equation for many Fixed Income Products
– The structure of many popular one-factor interest rate models
– The theoretical framework for multi-factor interest rate modeling
– Popular two-factor models

Calibration and Data Analysis

– How to choose time-dependent parameters in one-factor models so

that today’s yield curve is an output of the model
– The advantages and disadvantages of yield curve fitting
– How to analyze short-term interest rates to determine the best
model for the volatility and the real drift
– How to analyze the slope of the yield curve to get information about
the market price of risk

Probabilistic Methods for Interest Rates

– The pricing of interest rate products on a probabilistic setting

– The equivalent Martingale measures
– The fundamental asset pricing formula for bonds
– Application for popular interest rates models
– The dynamics of bond prices
– The forward measure
– The fundamental asset pricing formula for derivatives on bonds

Heath Jarrow and Morton Model

– The Heath, Jarrow & Morton (HJM) Forward Rate Model

– The relationship between HJM and spot rate models
– The advantages and disadvantages of the HJM approach
– How to decompose the random movements of the forward rate curve
into its principal components

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The Libor Market Model

– The Libor Market Model

– The market view of the yield curve
– Yield curve discretisation
– Standard Libor market model dynamics
– Numéraire and measure
– The drift
– Factor reduction

Further Monte Carlo

– The Connection to statistics

– The basic Monte Carlo algorithm, standard error and uniform
variates
– Non-uniform variates, efficiency ratio and yield
– Co-dependence in multiple dimensions
– Wiener Path Construction; Poisson Path Construction
– Numerical integration for solving Sdes
– Variance reduction techniques
– Sensitivity calculations
– Weighted Monte Carlo

Co-Integration for Trading

– Multivariate time series analysis

– Stationary and unit root
– Vector Autoregression Model (VAR)
– Co-integrating relationships and their rank
– Vector Error Correction Model (VECM)
– Reduced Rand Model (Regression) Estimation: Johansen Procedure
– Stochastic modeling of autoregression: Orstein-Uhlenbeck Process
– Statistical arbitrage using mean reversion

Credit Derivatives and Structural Models

– Introduction to credit risk

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 – Modelling credit risk
– Basic structural models: Merton Model, Black and Cox Model
– Advanced structural models

Credit Default Swaps

– An introduction to CDS
– Default modelling toolkit. Inhomogenous Poisson Process
– CDS pricing: basic and advanced models
– Bootstrapping intensity from CDS market quotes
– Accruals and upfront premium in CDS pricing

Intensity Models

– Modelling default by Poisson Process

– Relationship between intensity and arrival time of default
– Risky bond pricing: constant vs. stochastic hazard rate
– Bond pricing with recovery
– Theory of Affine Models
– Affine Intensity Models and use of Feynman-Kac
– Two-factor Affine Intensity Model example: Vasicek

CDO & Correlation Sensitivity

– CDO market pricing and risk management

– Loss function and CDO pricing equation
– Motivation from loss distribution
– What Is Copula Function?
– Classification of copula functions
– Simulating via Gaussian Copula
– 3 Gaussian Copula Factor Mode
– The meaning of correlation. Intuition and timescale
– Linear correlation and its misuse
– Rank correlation
– Correlation in exotic options
– Uncertain correlation model for Mezzanine Tranche
– Compound (implied) correlation in loss distribution

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X-Valuation Adjustment

– Historical development of OTC derivatives and Xva

– Credit and Debt Value Adjustments (CVA and DVA)
– Funding Value Adjustment (FVA)
– Margin and Capital Value Adjustments (MVA and KVA)
– Current market practice and application
– Implementation of Counterparty Credit Valuation Adjustment (CVA)
– Review the numerical methodologies currently used to quantify CVA
in terms of exposure and Monte Carlo Simulation and the Libor
Market Model
– Illustrate this methodology as well as DVA, FVA and others

Advanced Electives

Your advanced electives are the final element in our core program. These
give you the opportunity to explore an area that’s most relevant or
interesting to you. You need to select two electives from the extensive
choice below to complete the CQF qualification.

Advanced Portfolio Management As quantitative finance becomes more

important in today’s financial markets, many buy-side firms are using
quantitative techniques to improve their returns and better manage their
client capital. This elective will look into the latest techniques used by
the buy side in order to achieve these goals.

– Perform a Dynamic Portfolio Optimization, Using Stochastic Control

– Combine Views with Market Data Using Filtering to Determine the
Necessary Parameters
– Understand the Importance of Behavioral Biases and Be Able to
Address Them
– Understand the Implementation Issues
– Develop New Insights Into Portfolio Risk Management

Who is it for: Trading, fund management, asset management

professionals

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Advanced Machine Learning I The Machine Learning (ML) elective will
focus on the practical consideration of deep sequential modeling. From
gaining an understanding of the Machine Learning framework to feature
engineering and selection, the elective teaches essential skills required
to build and tune Neural Networks.

– Definition, Trends, and Landscape

– Seven Steps to model an ML problem
– Understanding Learning and Data Representation
– Working of Learning Algorithms
– Exploratory Data Analysis
– Feature Engineering on Date - Time Data
– Feature Engineering on Numeric Data
– Addressing Class Imbalances
– Overview of Feature Selection Methods
– Feature Selection using Boruta Algorithm
– Understanding Sequences
– Sequence-data Generation
– Getting started with TensorFlow and Keras API
– Building & Training a Multivariate LSTM Model
– Hyperparameter Optimization and Tuning
– Evaluation of ML model

Advanced Machine Learning II

– This elective is an extension of Advanced Machine Learning that

focuses on the practical consideration of machine learning. The
elective teaches essential skills required to build, evaluate and
track various machine learning models.
– Understanding Machine Learning Lifecycle
– Optimizing Models with Experiment Trackers
– Building Data / ML Apps in Python
– Understanding Ensemble Learning
– Building Ensemble Models for Trend Prediction
– Customizing TensorBoard for ML Experiments

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Who is it for: IT, Data Science, Risk Management, Trading, Fund
Management, and Machine Learning Professionals

Advanced Risk Management This elective will explore some of the recent
developments in Quantitative Risk Management. It will take as a point of
departure the paradigms on how market risk is conceived and measured,
both in the banking industry (VaR, ES) and under the Basel Frameworks
(sensitivities-based approach). It will explore how to use Extreme Value
Theory (EVT) and Radial Basis Functions (RBF) for this purpose.

This elective will then explore credit risk correlation and the modern
approaches used to estimate the asset correlation for a portfolio. Using
the Multifactor Vasicek model and data from defaults/downgrades in the
markets, it will explore how to estimate intra and inter sector
correlations. Furthermore, it will assess if the resulting estimated
correlation matrices are valid, i.e. positive semi-definite, by using
techniques form matrix algebra, such as eigenvalue analysis and the
Gershgorin Theorem. Using these it will then construct stressed
correlation matrices that can be used for risk management purposes.

Next, this elective will continue to explore the new approaches to

conceive and quantify climate risk is the financial industry. It will review
the results of the recent (2022) climate risk stress test exercise
conducted by the European Central Bank (ECB) and discuss the wider
perspectives highlighted by the United Nations Intergovernmental Panel
on Climate Change (IPCC).

Finally, it will conclude with the lessons learned from the recent
pandemic and its consequences on financial risk management. The
stressed environment of the Covid-19 pandemic increased not only
market and credit risks but also the operational risks of financial
institutions.

– Review of New Developments on Market Risk Management and

Measurement
– Explore the Use of Extreme Value Theory (EVT)
– Explore Adjoint Automatic Differentiation (AAD)

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 – Discuss credit risk correlation and the modern approaches used to
estimate the asset correlation for a portfolio
– Explore the new approaches to conceive and quantify climate risk is
the financial industry

Who is it for: Risk management, trading, fund management

professionals

Advanced Volatility Modeling Volatility and being able to model volatility is

a key element to any quant model. This elective will look into the
common techniques used to model volatility throughout the industry. It
will provide the mathematics and numerical methods for solving problems
in stochastic volatility, jump diffusion, the concept of fractional
Brownian motion and rough volatility.

– Fourier Transforms
– Functions of a Complex Variable – a detailed approach
– Stochastic Volatility and Jump Diffusion
– Fractional Brownian Motion and rough paths

Who is it for: Derivatives, structuring, trading, valuations, actuarial,

model validation professionals

Algorithmic Trading I The Algorithmic Trading elective is a DIY guide that

enables you to start your quantitative trading from scratch. From gaining
an understanding of data science workflow to retrieving data using API,
the elective teaches essential skills required for different quant
applications.

– Introduction to Algorithmic Trading

– Building Blocks of Quantitative System
– Handling Open Source Data APIs
– Getting Started with OpenBB SDK
– Introduction to TradingView Lightweight Charts

Who is it for: Traders and quants who want to learn and use Python in
trading.

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Algorithmic Trading II The Algorithmic Trading elective is a DIY guide that
enables you to start your quantitative trading from scratch. This elective
is an extension of Algorithmic Trading I and covers some of the best
software practices in developing quant applications including data
ingestion, backtesting, and live programmatic execution of trades using
APIs.

– Getting Started with Docker and Databases

– Handling Market Data API
– Backtesting Strategies in Python
– Getting Started with Alpaca Python SDK
– Strategy Execution Using AlpacaTrading API

Who is it for: Traders and quants who want to learn and use Python in
trading.

Behavioral Finance for Quants Behavioral finance and how human

psychology affects our perception of the world, impacts our quantitative
models and drives our financial decisions. This elective will equip
delegates with tools to identify the key psychological pitfalls, use their
mathematical skills to address these pitfalls and build better financial
models.

– System 1 Vs System 2
– Behavioural Biases; Heuristic Processes; Framing Effects and Group
Processes
– Loss Aversion Vs Risk Aversion; Loss Aversion; SP/A theory
– Linearity and Nonlinearity
– Game Theory

Who is it for: Trading, Fund Management, Asset Management

professionals

Decentralized Finance Technologies Blockchain technology is one of the

biggest innovations of the 21st Century. While this technology dates
back to the early 1990s, it gained popularity after the launch of Bitcoin in

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2009. As the number of applications that were built on it grew rapidly,
such technologies have the power to shape the future from finance to
manufacturing.

– This elective gives an insight into the financial technology revolution

as we demystify the concepts surrounding these new-age
technologies.
– Blockchain Basics
– Prototyping Bitcoin Mining in Python
– Demystifying Decentralized Finance [DeFi]
– Ethereum Basics & Smart Contracts
– Programming with Solidity
– Developing Smart Contracts on Ethereum Network

Who is it for: IT, quant analytics, trading, derivatives, valuation,

Actuarial, Model Validation professionals, and anyone who wants to
learn these new-age technologies.

Energy Trading The elective provides a comprehensive overview of

commonly traded quantitative strategies in energy markets. The elective
bridges quantitative finance and energy economics covering theories of
storage, net hedging pressure, volatility modeling, and the pricing
framework for energy derivatives.

Throughout the elective, the emphasis is placed on understanding the

behavior of various market participants and trading strategies designed
to monetize inefficiencies resulting from their activities and hedging
needs. It will then discuss recent structural changes related to
financialization of energy commodities, and linkages to other financial
asset classes.

The objective of the elective is to provide students with practical

knowledge of energy trading strategies, including systematic risk
premia, volatility arbitrage, and strategies based on fundamental, flow,
and macroeconomic data. These strategies are based on the instructor’s

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personal experience in managing the energy trading business for over 20
years. The focus will be primarily on the most liquid oil market with some
extensions to other energy commodities.

– Develop market-based approaches to traditional theories of storage

and hedging pressure
– Construct systematic risk premia strategies supported by these
theories in the oil market
– Describe practical implementation of volatility risk premia strategies
and gamma trading strategies
– Present a novel quadratic normal model for pricing oil options and
vega arbitrage

FX Trading and Hedging This elective on FX trading and hedging will equip
you with the knowledge and skills to understand FX trading models,
backtesting techniques, hedging strategies, and option trading
methods, enabling you to make informed decisions in the dynamic world
of foreign exchange.

– Understand the history of FX trading models

– Be able to use backtesting techniques to evaluate historical model
performance, including statistical tests to indicate the likelihood of
over-optimization
– Learn how to investigate popular FX trading models using these
techniques and understand how different models have performed in
different environments
– Understand how certain trading models have been used as active
hedging of other asset classes
– Learn about hedging the FX risk of different asset classes using
active or passive techniques
– Understand how to perform basic delta hedging
– Appreciate how the correlation behavior of FX rates with different
asset classes leads to different optimal hedging methods
– Be able to compare and contrast hedging methods with options and
forward rates
– Understand simple option trading strategies and how to backtest
them and appreciate the importance of good data sets

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 – Learn how to construct and test more sophisticated option trading
models and appreciate the risks inherent in option selling methods

Generative AI and Large Language Models for Quant Finance The

Generative AI and Large Language Models (LLMs) elective will guide
participants through the essentials of LLMs from the basics to gaining an
understanding of their architecture. This elective focuses on practical
aspects of building Generative AI applications to finance.

– AI Trends & Landscape

– Evolution of Large Language Models
– Understanding Transformers & Training in GenAI
– Leveraging ChatGPT API using Python
– Powering Pandas with GenAI
– Running LLMs Locally
– Building a Financial Agent
– Building RAG Applications

Numerical Methods Any study in mathematics is incomplete without

treatment of numerical analysis. When a closed form solution is not
available or the problem to be solved is too complex to make amenable to
explicit methods, a numerical/computational solution is sought. The
resulting solution is an example of an approximate solution. This one-day
elective will present several basic numerical methods for solving some of
the most classic problems in mathematics.

– Basic iteration and convergence

– Bisection method
– Newton-Raphson
– Rates of convergence
– Taylor series and the error term
– Numerical differentiation
– Trapezoidal method
– Simpson’s rule
– Error analysis
– Euler
– Runge-Kutta

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 – Lagrange interpolation
– Cubic splines
– LU decomposition
– SOR methods

R for Data Science & Machine Learning R is a powerful programming

language and software environment for statistical computing. It is one of
the favorite tools among academicians and is widely used among
statisticians and data miners for their data analysis. In this workshop,
we'll revisit R programming from scratch to solve quant finance and
machine learning problems that help in understanding mathematical and
computational tools from a quant’s perspective.

– Introduction & Installation

– Getting Started with R & RStudio
– Working with Data
– Writing your own Custom Functions
– Visualization & Charting
– Statistics and Probability
– Machine Learning Applications in R

Who is it for: IT, Data Science, Risk Management, Trading, Fund

Management, and Machine Learning Professionals

Risk Budgeting: Risk-Based Approaches to Asset Allocation Risk

budgeting is the name of the last-generation approach to portfolio
management. Rather than solving the risk-return optimization problem
as in the classic (Markowitz) approach, risk budgeting focuses on risk
and its limits (budgets). This elective will focus on the quant aspects of
risk budgeting and how it can be applied to portfolio management.

– Portfolio Construction and Measurement

– Value at Risk in Portfolio Management
– Risk Budgeting in Theory
– Risk Budgeting in Practice

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Who is it for: Risk Management, Trading, Fund Management
Professionals

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