Certificate in

Quantitative Finance

Learning Pathway

Awarded by Delivered by
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 topics 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 11 - 12

Module 6 13 - 15

Advanced Electives 16 - 19

CQF Reading List 20

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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 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
• 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

• 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

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Martingales
• Binomial model extended Preparatory Reading
• The probabilistic system: sample space, filtration, measures Dr. P. Wilmott, Paul Wilmott
• Conditional and unconditional expectation Introduces Quantitative Finance,
• Change of measure and Radon-Nikodym derivative second edition, 2007, John Wiley.
(Chapters 3,4,5,7)
• Martingales and Itô calculus
• A detour to explore some further Ito calculus
• Exponential martingales, Girsanov, and change of measure
Further Reading
J.D. Hamilton, Time Series Analysis,
Lifelong Learning Lectures 1994, Princeton University Press
Linear Algebra – Dr. Riaz Ahmad J.A. Rice, Mathematical Statistics and
Stochastic Calculus – Dr. Riaz Ahmad Data Analysis, 1988, Wadsworth-
Differential Equations – Dr. Riaz Ahmad Brooks/Cole
Methods for Quant Finance I, II – Dr. Riaz Ahmad S.N. Neftci, An Introduction to the
Martingales – Dr. Riaz Ahmad Mathematics of Financial Derivatives,
1996, Academic Press (general
reference)

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Module 2
Quantitative Risk and 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
• 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
• Definition of capital
• Evolution of Basel
• Basel III and market risk
• Key provisions

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Collateral and Margins

• Expected Exposure (EE) profiles for various types of instruments Preparatory Reading
• Types of collateral Dr. P. Wilmott, Paul Wilmott
• Calculation initial and variation margins Introduces Quantitative Finance,
• Minimum Transfer Amount (MTA) second edition, 2007, Wiley
(Chapters 1, 2, 3, 20-22)
• ISDA / CSA documentation
Prof. S.J. Taylor, Asset Price
Dynamics, Volatility and Predication,
Lifelong Learning Lectures 2007, Princeton University Press
Fundamentals of Optimization – Dr. Riaz Ahmad (Chapters 2, 4, 9-10, 12)
Investment Lessons from Blackjack and Gambling – Dr. Paul Wilmott
Symmetric Downside Sharpe Ratio – Dr. William Ziemba
Beyond Black-Litterman: Views on Generic Markets – Attilio Meucci Further Reading
Financial Modeling using Garch Processes – Kyriakos Chourdakis E. J. Elton & M. J. Gruber, Modern
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. S. 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, Modern Portfolio
Theory and Investment, ninth
edition, 2010, Wiley

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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.
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-Kac 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
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

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• Volatility skews and smiles

• Volatility arbitrage: should you hedge using implied or actual volatility? Preparatory Reading
Dr. P. Wilmott, Paul Wilmott
Further Numerical Methods
Introduces Quantitative Finance,
• Implicit finite-difference methods including Crank-Nicolson schemes second edition, 2007, Wiley
• Douglas schemes (Chapters 6, 8, 27-30)
• Richardson extrapolation Dr. P. Wilmott, Paul Wilmott on
• American-style exercise Quantitative Finance, second edition,
• Explicit finite-difference method for two-factor models 2006, Wiley (Chapters 14, 22-29,
• ADI and Hopscotch methods 37, 45-53, 57, 76-83)
Dr. E. G. Haug, Derivatives: Models
Derivatives Market Practice
on Models, 2007, Wiley (Chapters
• Option traders now and then 1 & 2, and on the CD, Know Your
• Put-call parity in early 1900 Weapon 1 & 2)
• Options arbitrage between London and New York (Nelson 1904)
• Delta hedging
• Arbitrage in early 1900 Further Reading
• Fat-tails in price data
N. Taleb, Dynamic Hedging, 1996,
• Some of the big ideas in finance Wiley
• Dynamic delta hedging
J. C. Hull, Options, Futures and
• Bates jump-diffusion Other Derivatives, fifth edition,
Advanced Greeks 2002, Prentice-Hall
• The names and contract details for basic types of exotic options K.W. Morton and D.F. Mayers,
• How to classify exotic options according to important features Numerical Solution of Partial
Differential Equations: An
• How to compare and contrast different contracts
Introduction, 1994, Cambridge
• Pricing exotics using Monte Carlo simulation
University Press
• Pricing exotics via partial differential equations and then finite difference
G. D. Smith, Numerical Solution of
methods
Partial Differential Equations, 1985,
Advanced Volatility Modeling in Complete Markets Oxford University Press
• The relationship between implied volatility and actual volatility in a deterministic M. Baxter and A. Rennie, Financial
world Calculus: An Introduction to
• The difference between ‘random’ and ‘uncertain’ Derivative Pricing, 2001, Cambridge
• How to price contracts when volatility, interest rate, and dividend are uncertain University Press
• Non-linear pricing equations S. E. Shreve, Stochastic Calculus
• Optimal static hedging with traded options for Finance II: Continuous – Time
• How non-linear equations make a mockery of calibration Models v.2, 2000, Springer Finance
R. L. Burden and D. J. Faires,
Numerical Analysis, tenth edition,
Lifelong Learning Lectures 2016, Cengage Learning
Black-Scholes World, Mathematical Methods and Introduction to Numerical
Methods – Dr. Riaz Ahmad
Infinite Variance – Nassim Nicholas Taleb
Introduction to Volatility Trading and Variance Swaps – Sebastien Bossu
Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation –
Prof. Wim Schoutens
Discrete Hedging and Transaction Costs – Dr. Paul Wilmott
Ten Ways to Derive Black-Scholes – Dr. Paul Wilmott
Volatility Arbitrage and How to Hedge – Dr. Paul Wilmott

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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 neighbours, 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
• Maximum likelihood estimation
• Cost/loss function
• Gradient descent
• Stochastic gradient descent
• Bias and variance
• Lagrange multipliers
• Principal component analysis
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
• Entropy minimisation and essential math
• Splitting process and pruning criteria
• Random forests and Extreme Gradient Boosting
• Bagging with logit and decision tree alternatives (PD Case Study)

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Practical Machine Learning Case Studies for Finance

• Macro forecasting the S&P 500 and the Baa-Spread Preparatory Reading
• Sharpe style regression methods for mutual funds Dr. Y. Hilpisch, Python for Finance,
• Natural language processing for sentiment analysis of ESG company reports 2019, O′Reilly
Dr. P. Wilmott, Machine Learning: An
Applied Mathematics Introduction,
Lifelong Learning Lectures 2019, Wiley
Machine Learning for Hedge Fund Selection – Dr. Claus Huber
FinTech and the ML/AI/NLP Revolution – Satyajit Das
New Sentiment Everywhere – Peter Hafez Further Reading
T. Hastie et al., The Elements of
Statistical Learning: Data Mining,
Inference, and Prediction, 2009 (2nd
edition), Springer
M. Odersky et al., Programming in
Scala: Updated for Scala 2.12, 2016
(3rd edition), Artima 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

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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 I
• K means clustering
• Self-organizing maps
• Strengths and weaknesses of HAC and SOM
Unsupervised Learning II
• The curse of dimensionality
• t-distributed Stochastic Neighbour 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 I
• Recap of multi-armed bandit
• The exploitation-exploration trade-off
• Exploration strategies: softmax versus epsilon-greed
• Risk-sensitivity in reinforcement-learning
Reinforcement Learning II
• Reinforcement learning case study
• Application of algo trading
• Application in automated market making

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AI Based Algo Trading Strategies

• Basic financial data analysis with Python and Pandas Preparatory Reading
• Creating features and label data from financial time series for market prediction Dr. Y. Hilpisch, Python for Finance,
• Application of classification algorithms from machine learning to predict market 2019, O′Reilly
movements Dr. P. Wilmott, Machine Learning: An
• Vectorized backtesting of algorithmic trading strategies based on the predictions Applied Mathematics Introduction,
• Risk analysis for the algorithmic trading strategies 2019, Wiley

Practical Machine Learning Case Studies for Finance

• Asset price behaviour and volatility modelling
Further Reading
• Empirical SDEs with estimated drift and diffusion functions
W. McKinney, Python for Data
• Generalized stoch vol models, learning dynamical models from data
Analysis, 2013 O’Reilly
• Option pricing and hedging using machine learning
F. Provost and T. Fawcett, Data
• Model free pricing of exotic options
Science for Business, 2013, O’Reilly
• Robust portfolio optimization with machine learning
G. James et al., An Introduction to
• Denoising and detoning covariance matrices
Statistical Learning, 2013, Springer
• Nested Cluster Optimization
Dr. Y. Hilpisch, Artificial Intelligence
Quantum Computing in Finance in Finance, 2020, O’Reilly
• 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

Lifelong Learning Lectures

Reinforcement Learning – Thijs van den Berg
Deep Learning Introduction – Satyajit Das
Deep Learning for Natural Language Processing – Nishant Chandra

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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
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

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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
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
• 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

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Intensity Models
• Modelling default by Poisson process Preparatory Reading
• Relationship between intensity and arrival time of default Dr. J. Gregory, The xVA Challenge:
• Risky bond pricing: constant vs. stochastic hazard rate Counterparty Credit Risk, Funding,
• Bond pricing with recovery Collateral and Capital, third edition,
2015, Wiley (Chapters 4-7, 10, 12)
• Theory of affine models
• Affine intensity models and use of Feynman-Kac Dr. P. Wilmott, Paul Wilmott
Introduces Quantitative Finance,
• Two-factor affine intensity model example: Vasicek
2007, Wiley (Chapters 14-19)
CDO & Correlation Sensitivity Dr. P. Wilmott, Paul Wilmott on
• CDO market pricing and risk management Quantitative Finance, second edition,
• Loss function and CDO pricing equation 2006, Wiley (Chapters 30-33, 36,
• Motivation from loss distribution 37, 39-42)
• What Is copula function? Dr. P. Jaeckel, Monte Carlo Methods
• Classification of copula functions in Finance, 2002, Wiley (Chapters
1-14)
• Simulating via Gaussian copula
• 3 Gaussian copula factor mode
• The meaning of correlation. Intuition and timescale
• Linear correlation and its misuse Further Reading
• Rank correlation A. K. Dixit and R. S. Pindyck,
• Correlation in exotic options Investment Under Uncertainty, 1994,
Princeton University Press
• Uncertain correlation model for mezzanine tranche
• Compound (implied) correlation in loss distribution D. Duffie & K. J. Singleton, Credit
Risk: Pricing, Measurement, and
X-Valuation Adjustment Management, 2003, Princeton
• Historical development of OTC derivatives and xVA University Press
• Credit and Debt Value Adjustments (CVA and DVA) G. Loffler and P. Posche, Credit Risk
• Funding Value Adjustment (FVA) Modeling using Excel and VBA,
• Margin and Capital Value Adjustments (MVA and KVA) 2007, Wiley
• Current market practice and application G. Chacko et al., Credit Derivatives:
• Implementation of Counterparty Credit Valuation Adjustment (CVA) A Primer on Credit Risk, Modeling,
• Review the numerical methodologies currently used to quantify CVA in terms of and Instruments, 2006, Wharton
exposure and Monte Carlo simulation and the Libor market model School Publishing (Chapters 3, 5)
• Illustrate this methodology as well as DVA, FVA, and others P. J. Schoenbucher, Credit
Derivatives Pricing Models: Model,
Pricing and Implementation, 2003,
Lifelong Learning Lectures Wiley (Chapters 2, 4, 5)
Jumps in Credit Risk Modeling. Intensity Models: Theory, Cailbration, Pricing – A. N. Bomfim, Understanding Credit
Prof. Wim Schouten Derivatives and Related Instruments,
The Pricing of CDOs using Levy Copulas – Prof. Wim Schouten 2004, Academic Press (Chapters 15,
Introduction to CVA – David Bakstein 16, 17)
Credit Modelling – Claudio Albanese N. Taleb, Dynamic Hedging, 1996,
Term Sheets – Dr. Paul Wilmott Wiley
Brace, Gatarek and Musiela – Timothy Mills
J. C. Hull, Options, Futures and
Managing Smile Risk – Dr. Pat Hagan
Other Derivatives, fifth edition,
The Market Price of Risk – Dr. Paul Wilmott
2002, Prentice-Hall
Fixed Income Modelling – Claudio Albanese
Yield Curves via Static Hedging – Yury Rojek
Tools and Methods for Quantitative Finance – Dr. Sebastien Lleo

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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. Struggling to choose just two electives?
Don’t worry, you will have access to every advance elective as part of the CQF Lifelong Learning
Library.
Advanced Portfolio Management
As quantitative finance becomes more important in today’s • Combine views with market data using filtering to
financial markets, many buy-side firms are using quantitative determine the necessary parameters
techniques to improve their returns and better manage their • Understand the importance of behavioral biases and be
client capital. This elective will look into the latest techniques able to address them
used by the buy side in order to achieve these goals. • Understand the implementation issues
• Perform a dynamic portfolio optimization, using • Develop new insights into portfolio risk management
stochastic control

Advanced Machine Learning

The Machine Learning (ML) elective will focus on the • Feature engineering on numeric data
practical consideration of deep sequential modeling. From • Addressing class imbalances
gaining an understanding of the machine learning framework • Overview of feature selection methods
to feature engineering and selection, the elective teaches • Feature selection using Boruta algorithm
essential skills required to build and tune neural networks.
• Understanding sequences
• Definition, trends, and landscape • Sequence-data generation
• Seven steps to model an ML problem • Getting started with TensorFlow and Keras API
• Understanding learning and data representation • Building & training a multivariate LSTM model
• Working of learning algorithms • Hyperparameter optimization and tuning
• Exploratory data analysis • Evaluation of ML model
• Feature engineering on date – time data

Advanced Risk Management

This elective explores some of the recent developments in computational finance. We will see how, when compared
Quantitative Risk Management. to finite difference approximations, this approach can
We take as a point of departure the paradigms on how potentially reduce the computational cost by several orders
market risk is conceived and measured, both in the banking of magnitude, with sensitivities accurate up to machine
industry (Expected Shortfall) and under the new Basel precision.
regulatory frameworks (Fundamental Review of the Trading • Review of new developments on market risk
Book, New Minimum, Capital of Market Risk). management and measurement
One of the consequences of these changes is the dramatic • Explore the use of Extreme Value Theory (EVT)
increase in the need for efficient and accurate computation • Explore Adjoint Automatic Differentiation (AAD)
of sensitivities. To cover this topic we will explore
adjoint automatic differentiation (AAD) techniques from

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Advanced Volatility Modeling

Volatility and being able to model volatility is a key element • Fourier transforms
to any quant model. • Functions of a complex variable
This elective will look into the common techniques used to • Stochastic volatility
model volatility throughout the industry. It will provide the • Jump diffusion
mathematics and numerical methods for solving problems in
stochastic volatility.

Algorithmic Trading I
The algorithmic trading elective is a Do-It-Yourself (DIY) Opensource Data APIs
guide that enables you to start your quantitative trading • Getting started with data APIs
from scratch. From gaining an understanding of data science • Getting familiar with data formats
workflow to retrieving data using public/private APIs and • Handling streaming data
storing it in SQL, the elective teaches essential skills required
• Data retrieval and storage
for different quant applications.
Getting Started with Interactive Brokers
Introduction to Algorithmic Trading • Python wrapper for IB API
• Definitions, trends and landscape • Specifying contracts
• Overview of quant workflow • Retrieving historical EOD and intraday data
• Application and system schematic • Retrieving real-time tick data
• Building blocks of a quantitative system
Getting Started with Alpaca - Part 1
• Overview of data API
• Handling trade & market data API
• Overview of database
• Data storage and retrieval

Algorithmic Trading II
The algorithmic trading elective is a Do-It-Yourself (DIY) • Setting up Notification using Telegram
guide that enables you to start your quantitative trading from • Getting started with Zipline
scratch. This elective is an extension of Algorithmic Trading I • Overview of vectorized & event-driven backtesting
and covers some of the best software practices in developing • Alpaca data ingestion
quant applications including automatic data ingestion using
• Backtesting strategies with Alpaca ingested data
CRON, backtesting, and live programmatic execution of
trades using Alpaca and Zipline APIs. Trading Live with Alpaca
• Streaming real-time data
Getting started with Alpaca - Part II
• Live trading with Alpaca
• Automated data ingestion
• Trading live using Zipline
• Data updation alerts using Gmail

Behavioral Finance for Quants

Behavioral finance and how human psychology affects our • System 1 vs System 2
perception of the world, impacts our quantitative models • Behavioural biases; heuristic processes; framing effects and
and drives our financial decisions. This elective will equip group processes
delegates with tools to identify the key psychological pitfalls, • Loss aversion vs risk aversion; loss aversion; SP/A theory
use their mathematical skills to address these pitfalls and • Linearity and nonlinearity
build better financial models.
• Game theory

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C++
Intended for those who are completely new to C++ or have • Control flow and formatting – decision making; file
very little exposure to the language. management; formatting output
Starting with the basics of simple input via keyboard and • Functions – writing user defined functions; headers and
output to screen, this elective will work through a number of source files
topics, finishing with simple OOP. • Intro to OOP – simple classes and objects
• Getting started with the C++ environment – first program; • Arrays and strings
data types; simple debugging

Counterparty Credit Risk Modeling

Post-global financial crisis, counterparty credit risk and other • Credit risk to credit derivatives
related risks have become much more pronounced and need • Counterparty credit risk: CVA, DVA, FVA
to be taken into account during the pricing and modeling • Interest rates for counterparty risk – dynamic models
stages. This elective will go through all the risks associated and modeling
with the counterparty and how they are included in any • Interest rate swap CVA and implementation of
modeling frameworks. dynamic model

Fintech
Financial technology, also known as fintech, is an economic • Fintech hubs
industry composed of companies that use technology to • Technology – blockchain; cryptocurrencies; big data 102;
make financial services more efficient. This elective gives AI 102
an insight into the financial technology revolution and the • Fintech solutions
disruption, innovation and opportunity therein. • The future of Fintech
• Intro to and history of fintech
• Fintech – breaking the financial services value chain

Numerical Methods
Any study in mathematics is incomplete without treatment • Taylor series and the error term
of numerical analysis. When a closed form solution is not • Numerical differentiation
available or the problem to be solved is too complex to make • Trapezoidal method
amenable to explicit methods, a numerical/computational • Simpson’s rule
solution is sought. The resulting solution is an example of
• Error analysis
an approximate solution. This elective presents several basic
numerical methods for solving some of the most classic • Euler
problems in mathematics. • Runge-Kutta
• Lagrange interpolation
• Basic iteration and convergence
• Cubic splines
• Bisection method
• LU decomposition
• Newton-Raphson
• SOR methods
• Rates of convergence

R for Quant Finance

R is a powerful statistical programming language, with • Understand data structures and data types
numerous tricks up its sleeves making it an ideal environment • Use some of R’s most useful functions
to code quant finance and data analytics applications. • Plot charts
• Install R and R Studio • Read and write data files
• Navigate R Studio to unleash the power of R and stay • Write your own scripts and code
organised • Know how to deal with some of R’s “loveable quirks”
• Use packages

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CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY

Risk Budgeting: Risk-Based Approaches to Asset Allocation

Risk budgeting is the name of the last-generation approach • Portfolio construction and measurement
to portfolio management. • Value at risk in portfolio management
Rather than solving the risk-return optimization problem as • Risk budgeting in theory
in the classic (Markowitz) approach, risk budgeting focuses • Risk budgeting in practice
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.

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CERTIFICATE IN QUANTITATIVE FINANCE LEARNING PATHWAY

CQF Reading List

You will receive hard copies of the books on our recommended reading list, all written by the CQF
faculty:
CQF Core Textbooks 1 2 3 4 5 6
Paul Wilmott Introduces Quantitative Finance, • • • •
Dr. P. Wilmott 3, 4, 5, 7 1, 2, 3, 20-22 6, 8, 27-30 14-19

•
Paul Wilmott on Quant Finance, • • • 22-29, 37,
45-48,
Dr. P. Wilmott 12, 49, 50 4-33, 36, 37 39-42
50-53, 57,
76-83

Frequently Asked Questions in Quantitative

Finance, Dr. P. Wilmott • • • • • •

Asset Price Dynamics, Volatility and •

2, 4, 9-12,
Predictions, Prof. S. Taylor
15-16

Monte Carlo Methods, Dr. P. Jaeckel •

1-14

Models on Models, Dr. E. G. Haug •

The xVA Challenge: Counterparty Credit Risk,
Funding, Collateral, and Capital, •
Dr. J. Gregory
Machine Learning: An Applied Mathematics
Introduction, Dr. P. Wilmott • •

Python in Finance, Dr. Y. Hilpisch • •

13

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Certificate in Quantitative Finance
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