CERTIFICATE IN QUANTITATIVE FINANCE Certificate in C Ol; Quantitative Finance ‘Awarded by Delivered by COE | instore cau VitchLearningCERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Welcome to the CQF program This booklet is designed to guide you through the content of the CQF program and includes the textbook reading list with the chapters appropriate for each module indicated, ‘The examined part of the CQF program comprises six modules. Each module covers a different aspect of quantitative finance and consists of lectures and discussions. In this booklet, the preparatory reading listed against each module will give you a good introduction to the topi discussed in the lectures. The suggested further reading will allow you to delve deeper into each topic and is recommended, but not required, as part of the program. ‘The CQF Lifelong Learning library encompasses over 900+ hours of lectures on every conceivable quant finance subject. The Lifelong Learning lectures listed in this booklet are recommended to help you explore the topics discussed on the program in more detail. As the content is ever expanding, it is advisable to check the library regularly. Contents Module 1 3-4 Module 2 5-6 Module 3 7-8 Module 4 9-10 Module 5 41-12 Module 6 13-15 Advanced Electives 16-21 COQF Reading List 22 www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Module 1 Building Blocks of Quantitative Finance In module one, we will introduce you to the rules of applied It6 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 Nature of Prices + 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 ‘+ Asimple model for an asset price random walk * Delta hedging + Noarbitrage ‘The basics of the binomial method for valuing options * Risk neutrality PDEs and Transition Density Functions + Teylor series = Atrinomial 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 It’s lemma © Applied It6 calculus ‘Stochastic integration + The Itd integral ‘+ Examples of popular stochastic differential equations Applied Stochastic Calculus 2 # Extensions of Ita's lemma ‘+ Important cases ~ equities and interest rates + Producing standardized normal «The steady state distribution www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE Martingales * Binomial model extended * The probabilistic system: sample spac filtration, measures + Conditional and unconditional expectation ‘= Change of measure and Radon-Nikodym derivative ‘+ Martingales and Ité calculus ‘+ Adetour to explore some further Ito calculus + Exponential martingales, Girsanov, and change of measure Lifelong Learning Lectures Linear Algebra - Dr. Riaz Ahmad ‘Stochastic Calculus ~ Dr. Riaz Anmad * Differential Equations ~ Dr. Riaz Ahmad ‘+ Methods for Quant Finance |, Il ~ Dr. Riaz Ahmad ‘© Martingales - Dr. Riaz Ahmad LEARNING PATHWAY Core Reading Dr. P. Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2007, John Wiley. (Chapters 3.4.5.7) Further Reading J.D. Hamilton, Time Series Analysis, 1994, Pri University Press J.A, Rice, Mathematical Statistics and Data Analysis, 1988, Wadsworth-Brooks/Cole S.N. Neftci, An Introduction to the Mathematics of Financial Derivatives, 1996, Academic Press (general reference) www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY 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 efficent frontier + Optimizing your portfolio + How to analyze portfolio performance be + 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 Asset Returns: Key, Empirical Stylized Facts * Volatility clustering: the concept and the evidence * Properties of dally asset returns + Properties of high-frequency returns Volatility Models: The ARCH Framework + Why ARCH models are popular? «The original GARCH made! © What makes @ model an ARCH model? + Asymmetric ARCH models, * Econometric methods Risk Regulation and Basel II! * Definition of capital + Evolution of Base! Basel Ill and market risk + Key provisions www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE 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 Lifelong Learning Lectures + Fundamentals of Optimization ~ Dr. Riaz Ahmad Investment Lessons from Blackjack and Gambling ~ Dr. Paul Wilmott ‘Symmetric Downside Sharpe Ratio ~ Dr. Williarn Ziemba Beyond Black-Litterman: Views on Generic Markets — Attilio Meucc Financial Modeling using Garch Processes ~ Kyriakos Chourdakis LEARNING PATHWAY Core Reading Dr. P. Wilmott, Paul Wilmott Introduces Quantitative Finance, second ecition, 2007, Wiley (Chapters 1, 2, 3, 20-22) Prof. $. J. Taylor, Asset Price Dynamics, Volatility and Predication, 2007, Princeton University Press (Chapters 2, 4, 9-10, 12) Further Reading E, J. Elton & M. J. Gruber, Modem Portfolio Theory and Investment Analysis, 1995, Wiley R.C, Merton, Continuous Time Finance, 1992, Blackwell N. Taleb, Dynamic Hedging, 1996, Wiley D.G. Luenberger. Investment Science, June 1997, Oxford University Press (Chapters 6 & 7) J. E, Ingersoll, Theory of Financial Decision Making, 1987, Rowman & Littlefield (Chapter 4) S.N. Neftci, An Introduction to the Mathematics of Financial Derivatives, 1996, Academic Press (general reference) R. 5. Tsay, Analysis of Financial Time Series, third edition, 2010, Wiley A. Meucci, Risk and Asset Allocation, 2009, Springer Finance E.J, Elton, M. J. Gruber, S. J. Brown, W. N. Goetzmann, Modem Portfolio Theory and Investment, ninth edition, 2010, Wiley www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE Module 3 Equities & Currencies LEARNING PATHWAY 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. 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 cigitals + 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. + 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-Kac formula + Extensions to Black-Scholes: dividends and time-dependent parameters + Black's formula for options on futures Martingales and PDEs: Which, When and Why + Show that in the 1-period binomial model, the risk-neutral measure and the equivalent martingale measure are the same + Derive the Fundamental Asset Pricing Formula for the 1-period and multiperiod binomial model + Derive the Black-Scholes PDE from the 1-period binomial model + Establish the connection between the multiperiod binomial model yields the Black-Scholes formula from + Define complete markets and incomplete markets, + Explain how the Black-Scholes model is a complete market + Show that, in a complete market, the no-arbitrage approach and the martingale measure approach are strictly equivalent Intro to Numerical Methods ‘= The justification for pricing by Monte Carlo simulation *+ Grids and discretization of derivatives ‘+ The explicit finite-difference method www.caf.comCERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Exotic Options * Characterization of exotic options «Time dependence (Bermudian options) «Path dependence and embedded decisions + Asian options Understanding Volatility + The many types of volaity + 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-cifferent method for two-factor models, + ADI and Hopscotch methods ‘+ Now and then. Options arbitrage between London and New York (Nelson 1904) + Put-call parity and arbitrage in early 1900 + Fat-tals in price data + Dynamic delta hedeing + Bates jump-diffusion + Some of the big ideas in Finance Advanced Greeks ‘+ The names and contract details for basic types of exotic options + How to classify exotic options according to impartant features + How to compare and contrast different contracts * Pricing exotics using Monte Carlo simulation * Pricing exotics via partial differential equations and 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 www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE FX Options + Size and importance of the FX and FX options market + How FX has developed into the largest global market + Current uses of FX options + Volatility surface and out of money options + Pricing of simple FX options and those replicated from vanilla calls and puts + Path-dependent FX options American and Bermudan + Risk management and basic delta hedging LEARNING PATHWAY Core Reading Dr. P, Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2007, Wiley (Chapters 6, 8, 27-30) Dr. P, Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2006, Wiley (Chapters 14, 22-29, 37, 45-53, 57, 76-83) Dr. E.G. Haug, Derivatives: Models on Models, 2007, Wiley (Chapters 1 & 2, and on the CD, Know Your Weapon 1 & 2) Further Reading N. Taleb, Dynamic Hedging. 1996, Wiley J.C. Hull, Options, Futures and Other Derivatives, fifth edition, 2002, Prentice-Hall G.D. Smith, Numerical Solution of Partial Differential Equations, 1985, Oxford University Press M. Baxter and A. Rennie, Financial Calculus: An Introduction to Derivative Pricing, 2001, Cambridge University Press S.E, Shreve, Stochastic Calculus for Finance II: Cantinuous-Time Models v.2, 2000, Springer Finance R.L Burden and D. J. Faires, Numerical Analysis, tenth edition, 2016, Cengage Learning Dr. U. Wystup, FX Options and Structured Products, 2nd ed, 2017, Wiley K.W. Morton and D. F. Mayers, Numerical Solution of PDES, 1994, Cambridge University Press www.caf.comCERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Module 4 Data Science & Machine Learning | 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 more. ‘An Introduction to Machine Learning | + What is mathematical modeling? + Classic modeling. How is machine learning different? + Common machine learning jargon + Measuring distances + Popular cost functions and regularization An Introduction to Machine Learning Il + Principal techniques for machine learning * Intro to supervised learning: K Nearest Neighbors, Bayesian Classification, Support Vector Machines + Unsupervised learning: Self-Organizing Maps (SOM) ‘+ Reinforcement learning principles: states, policy, action-value funetion + Markov Decision Process (MDP) Math Toolbox for Machine Learning * Distance measures in data + Data lifting and kernel trick ‘+ Matrix decomposition and factorizations * Vector differentiation © Optimization in machine learning * Gradient descent and stochastic gradient descent Decision Trees and Ensemble Models «Fitting decision trees to data + CART: Classification And Regression Trees + Measuring the performance of trees (entropy, Gini impurity) + The bias and variance trade-off + Bootstrap aggregation (Bagging) for variance reduction + Generic boosting (AnyBoost), gradient boosting (XGBoost), and adaptive boosting (AdaBoost) www.caf.com,CERTIFICATE IN QUANTITATIVE FINANCE Practical Machine Learning Case Studies for Finance «© Macro forecasting the S&P 500 and Baa-spread * Granger Causality for Alternative Data ‘+ Sharpe-style regression for mutual funds’ returns ‘Sentiment analysis of ESG company reports Lifelong Learning Lectures ‘= Machine Learning for Hedge Fund Selection ~ Dr. Claus Huber © FinTech and th ML/AI/NLP Revolution - Satyajit Das «New Sentiment Everywhere ~ Peter Hafez LEARNING PATHWAY Core Reading Dr. ¥. Hilpisch, Python for Finance, 2019, O'Reilly Dr. P. Wilmott, Machine Learning: ‘An Applied Mathematics Introduction, 2019, Wiley MP. Deisenroth et al Mathematics for Machine Learning, 2020, Cambridge University Press Further Reading G. James, D. Witten, T. Hastie ‘and R. Tibshirani, An Introduction to Statistical Learning (with Applications in Python), 2023, Springer M. Lopez de Prado, Casual Factor Investing, 2023, Cambridge University Press M, Lopez de Prado, Advances in Financial Machine Learning 2018, Wiley C. Bishop, Pattern Recognition ‘and Machine Learning, 2006, Springer M. Kuhn and K. Johnson, Applied Predictive Analytics, 2013, Springer www.caf.com, 10CERTIFICATE IN QUANTITATIVE FINANCE Module 5 Data Science & Machine Learning II In module five, you will lean 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 LEARNING PATHWAY 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 Unsupervised Learning I + 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 + 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 | + Recap of multi-armed bandit + The exploitation-exploration trade-off + Exploration strategies: softmax versus epsilon-greed + Risk-sensitivity in reinforcement learning Reinforcement Learning I Reinforcement learning case study ‘© Application of algo tracing ‘Application in automated market making www.caf.com, aCERTIFICATE IN QUANTITATIVE FINANCE Al 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 behavior and volatility modeling, ‘+ Empirical SDEs with estimated drift and ciffusion functions + Generalized stoch vol models, learning dynamical models from data + Option pricing and hedging using machine learning, + Model free pricing of exotic options + Robust portfolio optimization with machine learning, + Denoising and detoning covariance matrices + Nested Cluster Optimization Quantum Computing in Finance + Key ingredients of quantum computing: qubits, quantum gates and ‘quantum circuits + Applications of quantum computing in various fields, cryptography * Construct 2 simple quantum circuit online using the IBM Quantum Experience * Learn to write your own quantum program using the Python module, Qiskit + Pricing simple European options with quantum circuits Lifelong Learning Lectures ‘© Reinforcement Learning - Thijs van den Berg ‘+ Deep Learning Introduction ~ Satyajit Das ‘+ Deep Learning for Natural Language Processing ~ Nishant Chandra LEARNING PATHWAY Core Reading Dr. ¥. Hilpisch, Python for Finance, 2019, O'Reilly Dr. P. Wilmott, Machine Learning: ‘An Applied Mathematics Introduction, 2019, Wiley Further Reading. W. Mckinney, Python for Data Analysis, 2013, O'Reilly F. Provost and T. Fawcett, Data Science for Business, 2013, OReilly G. James et al, An Introduction to Statistical Learning, 2013, Springer Dr. ¥. Hilpisch, Artificial Intelligence in Finance, 2020, OReilly www.caf.com, 2CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY 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 - | os ‘+ 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 Stochastic Interest Rate Modeling + Stochastic models for interest rates + How to derive the pricing equation for many fixed ineome 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 mode! ‘+ 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 www.caf.comCERTIFICATE IN QUANTITATIVE FINANCE Heath Jarrow and Morton Model ‘The Heath Jarrow and Morton Model [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 The Libor Market Model The Libor market model «The market view of the yield curve * Yield curve discretization ‘+ 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 ration, 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 + Financial time series analysis and spurious regression ‘Unit Root and testing for stationarity ‘+ Fractional and integrated processes ‘= Error Correction model for the long-run relationship and Engle- Granger steps «Johansen Procedure for Multivariate Cointegration + Essentials of statistical arbitrage: mean-reversion and its half-life ‘Stochastic modelling of autoregression: Orstein-Uhlenbeck process Credit Derivatives and Structural Models ‘Introduction to crecit risk ‘+ Modeling credit risk Basic structural models: Merton model, Black and Cox model + Advanced structural models Credit Default Swaps + An introduction to CDS + Default modeling toolkit + Inhomogenous Poisson process + CDS pricing: basic and advanced models + Bootstrapping intensity from CDS market quotes + Accruals and upfront premium in CDS pricing LEARNING PATHWAY www.caf.com, 14CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Intensity Models «Modeling default Poisson process Core Reading ‘+ Relationship between intensity and arrival time of default Dr. J. Gregory, The xVA ‘* Risky bond pricing: constant vs. stochastic hazard rate Challenge: Counterparty Credit + Bond pricing with recovery Risk, Funding, Collateral and + Theory of affine models Capital, third edition, 2015, Wiley + Affine intensity models and use of Fenyman-Kac (Chapters 4-7, 10, 12) + Two-factor affine intensity model example: Vasicek Dr 6 Wviimcehs Paul Wiiryct Correlation Sensitivity and CDO Introduces Quantitative Finance, ‘+ What is a copula? Classification of copula functions 2007, Wiley (Chapters 14-19) + Simulating via Gaussian copula. 1F model for copula + The meaning of correlation: intuition and timescale * Linear correlation and its misuse. Rank correlation + Collaterlzed Debt Obligations (COO) market pricing and risk Dr. P. Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2006, Wiley (Chapters 30-33, 36, 37, 39-42) management * Loss function (LGD) in pricing equations Dr. P. Jaeckel, Monte Carlo + Compound {implied} correlation in loss distribution Methods in Finance, 2002, Wiley ‘+ Uncertain correlation model for mezzanine tranche (CDO} * Correlation in exotic options X-Valuation Adjustment Further Reading «Historical development of OTC derivatives and xVA AK. Disit and R. S. Pindyck, + Credit and Debt Value Adjustments (CVA and DVA) ifvectmnent Under Uncerarni: + Funding Value Adjustment (FVA) 11994, Princeton University Press + Margin and Capital Value Adjustments (MVA and KVA) + Current market practice and application eee eee + Implementation of Counterparty Credit Valuation Adjustment eee panes (va) Measurement, and Management, + Review the numerical methodologies currently used to quantify 2003, Princeton University Press CVA in terms of exposure and Monte Carlo simulation and the G. Chacko et al, Credit Libor market model Derivatives: A Primer on Credit « lustrate the methodology as well as DVA, FVA, and others Rex Macelideand ietrumenks 2006, Wharton Schoo! Publishing (Chapters 3, 5) P. J. Schoenbucher, Credit Derivatives Pricing Models: Model Pricing and Implementation, 2003, Wiley (Chapters 2, 4, 5) ‘A.N, Bomfim, Understanding Credit Derivatives and Related Instruments, 2004, Academic Press (Chapters 15, 16, 17) Lifelong Learning Lectures + Jumps in Credit Risk Modeling, Intensity Models: Theory, Calibration, Pricing - Prof. Wim Schouten + The Pricing of CDOs using Levy Copulas - Prof. Wim Schouten + Introduction to CVA - David Bakstein + Credit Modelling - Claudio Albanese + Term Sheets ~ Dr. Paul Wilmott * Brace, Gatarek and Musiela ~ Timothy Mls ‘+ Managing Smile Risk ~ Dr, Pat Hagan The Market Price of Risk - Dr. Paul Wilmott Fixed Income Modelling - Claudio Albanese Yield Curves via Static Hedging - Yury Rojek Tools and Methods for Quantitative Finance - Dr. Sebastien Leo J.C. Hull, Options, Futures, and Other Derivatives, fifth edition, 2002, Prentice-Hall www.caf.com 15CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Advanced Electives Your advanced electives are the final element in our 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. Struggling to choose just two? Don't worry - every advanced elective is included in the COF Lifelong Learning Library. Advanced Ensemble Modeling. ‘The advanced ensemble learning elective will focus on the practical consideration of ensemble modeling techniques. The elective teaches essential skills required to build, evaluate and track various machine ensemble learning models. Advanced Portfolio Management AAs quant 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 ook into the latest techniques used by the buy side in order to achieve these goals. ‘Advanced Machine Learning | The Machine Leaming (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 sills required to build and tune Neural Networks Understanding Machine Learning Lifecycle Understanding Learning and Data Representation ‘Working of Learning Algorithms Understanding Ensemble Learning Optimizing Models Building Ensemble Models 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 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 www.caf.com 6CERTIFICATE IN QUANTITATIVE FINANCE ‘Advanced Machine Learning II ‘This elective is an extension of Advanced Machine Learning that focuses on the practical consideration of machine leamir ‘The elective teaches essential skills required to build, evaluate and track various machine learning models. ‘Advanced Risk Management This elective explores some of the recent developments in Quantitative Risk Management. We take as.a point of departure the paradigms on how market risk is conceived and measured, both in the banking industry (Expected Shortfall) and under the new Basel regulatory frameworks (Fundamental Review of the Trading Book, New Minimum, Capital of Market Risk). (One of the consequences of these changes is the dramatic increase in the need for efficient and accurate computation of sensitivities. To cover this topic we will explore adjoint automatic differentiation (AAD) techniques from computational finance. We will see how, when compared to finite difference approximations, this approach can potentially reduce the computational cost by several orders of magnitude, with sensitivities accurate up to machine precision. Advanced Volatility Modeling Volatility and being able to model volatility is a key element to any quant model, This elective will look into the cormmon techniques used to model volatility throughout the industry. It will provide the ‘mathematics and numerical methods for solving prablerns in stochastic volatility, jump diffusion, the concept of fractional Brownian mation and rough volatility. LEARNING PATHWAY + 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 + Review of New Developments on Market Risk Management and Measurement * Explore the Use of Extreme Value Theory (EVT) + Explore Adjoint Automatic Differentiation (AAD) + Discuss credit risk correlation and the modem approaches used to estimate the asset correlation for a portfolio + Explore the new approaches to conceive and quantity climate risk isthe financial industry ‘+ Fourier Transforms ‘+ Functions of a Complex Variable ~ a detailed approach ‘+ Stochastic Volatility and Jump Diffusion ‘+ Fractional Brownian Motion and rough paths www.caf.com ”CERTIFICATE IN QUANTITATIVE FINANCE Algorithmic Trading | 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. Algorithmic Trading Il The Algorithmic Trading elective is a DIY guide that enables you to start your quantitative trading from scratch. This elective isan extension of Algorithmic Trading | and covers some of the best software practices in developing quant applications including data ingestion, backtesting, and live programmatic execution of trades using APIs. Behavioral Finance for Quants Behavioral finance and how human psychology affects our perception of the world, impacts our quantitative models ancl drives our financial decisions. This elective will quip delegates with tools to identify the key psychological pitfalls, use their mathematical skills to address these pitfalls and build better financial models. cH Intended for those who are completely new to C++ or have very little exposure to the language. Starting with the basics of simple input via keyboard and output to screen, this elective will work through a number of topics, finishing with simple OOP. Counterparty Credit Risk Modeling Post-global financial crisis, counterparty credit risk and other related risks have become more pronounced and must be taken into account during the pricing and modeling stages. This elective will go through all the risks associated with the counterparty and how they are included in any modeling frameworks LEARNING PATHWAY * Introduction to Algorithmic Trading * Building Blocks of Quantitative System * Handling Open Source Data APIs + Getting Started with OpenBB SDK * Introduction to TradingView Lightweight Charts + 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 ‘+ System 1 Vs System 2 ‘+ Behavioral Biases; Heuristic Processes; Framing Effects and Group Processes ‘+ Loss Aversion Vs Risk Aversion; Loss Aversion; SP/A theory Linearity and Nonlinearity Game Theory Getting Started with the C++ Environment ~ First Program; Data Types: Simple Debugging Control Flow and Formatting ~ Decision Making; File Management; Formatting Output ‘+ Functions ~ Writing User Defined Functions; Headers. and Source Files Intro to COP - Simple Classes and Objects + Arrays and Strings ‘© Credit Risk to Credit Derivatives ‘+ Counterparty Credit Risk: CVA, DVA, FVA ‘+ Interest Rates for Counterparty Risk ~ Dynamic Models and Modeling ‘+ Interest Rate Swap CVA and Implementation of Dynamic Model www.caf.com 18CERTIFICATE IN QUANTITATIVE FINANCE Decentralized Finance Technologies Biockchain 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 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. Energy Trading 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. FX Trading and Hedging This elective on FX trading and hedging will equip you with the knowledge and skils 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. LEARNING PATHWAY * Blockchain Basics * Prototyping Bitcoin Mining in Python + Demystifying Decentralized Finance [DeFi] + Ethereum Basics & Smart Contracts + Programming with Solidity + Developing Smart Contracts on Ethereum Network 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 mode! for pricing oil options and vega arbitrage Understand the history of FX trading models Use backtesting techniques to evaluate historical model performance Investigate popular FX trading models using these techniques and understand how different models have performed in different environments Understand how certain trading madels have been used as active hedging of other asset classes ‘+ Learn about hedging the FX risk of cifferent asset classes using active or passive techniques Understand how to perform basic delta hedging Appreciate how correlation behavior with different asset classes leads to different hedging methods Compare methods with options and forward rates Understand! option trading strategies and how to backtest them Construct and test option trading models and appreciate the risks inherent in option selling methods www.caf.com 9CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY Quantitative Methods for ESG + Introduce ESG and its role in finance This elective provides an overview of + Review some of the quantitative techniques applicable Quantitative approaches to Environmental, to ESG Social, and Governance (ESG) finance, + Discuss Climate Change, Climate Risk, and ESG Scores emphasizing the use of diverse data sources *+ Review the Agent-Based Model approach to ESG including climate, social, and unstructured data, to assess climate risks. The elective will critically assess ESG Scores from major rating agencies and explore their use in translating complex information into actionable financial insights. The elective also examines complexity theory and Agent-Based Models to understand the financial impact of drastic events lke sea-level rse and pandemics. Quantum Computing in Finance ‘+ Define quantum computing and its relevance in finance Quantum Computing is about the application _* Review the three key ingredients of quantum of the principles of quantum mechanics to computing: qubits, quantum gates and quantum circuits computer science. ‘+ Enumerate some of the applications of quantum computing in various fields ‘+ Construct ourselves a simple quantum circuit online using the IBM Quantum ‘+ Learn how to write our own quantum program using the Python module Qiskit ‘+ Explore examples of quantum algorithms in finance, including pricing Eurapean options, interest rate products and credit risk Numerical Methods ‘+ Basic iteration and convergence ‘Any study in mathematics is incomplete + Bisection method without treatment of numerical analysis. + Newton-Raphson When a closed form solution is not available + ‘Rates of convergence or the problem to be solved is too complex ‘+ Taylor series and the error term tomake amenable to explicit methods, a ‘+ Numerical differentiation ‘numerical/computational solution is sought. ‘+ Trapezoidal method ‘The resulting solution is an example of an ‘» Simpson's rule approximate solution. This elective will + Error analysis present several basic numerical methods for -*-Euler solving some of the most classic problems in --*- Runge-Kutta mathematics, ‘+ Lagrange interpolation + Cubic splines ‘= LU decomposition ‘= SOR methods www.caf.comCERTIFICATE IN QUANTITATIVE FINANCE R for Data Science and Machine Learning Risa 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, n this workshop, welll 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. 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 asin 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. LEARNING PATHWAY Introduction and Installation Getting Started with R and RStudio Working with Data ‘Writing your own Custom Functions Visualization and Charting Statistics and Probability Machine Learning Applications in R Portfolio Construction and Measurement Value at Risk in Portfolio Management Risk Budgeting in Theory Risk Budgeting in Practice www.caf.com, atCERTIFICATE IN QUANTITATIVE FINANCE Core Reading List LEARNING PATHWAY You will receive hard copies of the books on our core reading list, all written by the CF faculty: Python in Finance, Dr. ¥. Hilpisch 4 Paul Wilmott Introduces ° ° ° ° Quantitative Finance, Dr. P. 3457 | 423 | 6927 | t949 Wilmott mas = e e e e Paul Wilmott on Quant Finance, 229,97 12.49,50 | 433,36, | 99.42 | 45-48, Dr. P. Wilmott 2 gets 7683 Frequently Asked Questions in Quantitative Finance, Dr. P. e e ° ° ° ° Wilmott ‘Asset Price Dynamics, Volatility nao, and Predictions, Prof. S. Taylor 1516 are Carb Wao DP ., Jacckel Models on Models, Dr. E.G. ww Haug The XVA Challenge: Counterparty Credit Rsk, Funding, Collateral, ° and Capital, Dr J. Gregory Machine Learning: An Applied Mathematics introduction, Dr. P. ° ° Wilmott e www.caf.com 2CERTIFICATE IN QUANTITATIVE FINANCE Certificate in Quantitative Finance www.cqf.com [B) wowcaf.com/linkedin BQ wow.caf.com/twitter © wwweaf.com/youtube '55 Mark Lane, London, EC3R 7NE 33 Whitehall Street, 18th Floor, New York, NY 10004 ‘1 Wallich Street, #19-01 Guoco Tower, Singapore 078881 419/F Man Yee Building, 68 Des Voeux Road Central, Hong Kong Dubai International Financial Centre, Al Fattan Currency House, Tower 2, Level 8, Office No. 804, PO Box 482058 FitchLearning Copyright © 2024 Fitch Learning