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CQF Brochure 2011
CQF Brochure 2011
com
CERTIFICATE IN
FINANCE
CQF
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Contents
Introduction .....................................................................................................................................................................4 Applicant Profile ...............................................................................................................................................................6 Case Study...................................................................................................................................................................... 8 Course Delivery ............................................................................................................................................................... 9 Certificate in Quantitative Finance - Your Journey ............................................................................................................... 10 Mathematics for Quantitative Finance Primer ...................................................................................................................... 12 CQF Program Content .................................................................................................................................................... 13 Course Reading Materials ................................................................................................................................................ 14 Examination, Assessment and Accreditations..................................................................................................................... 15 CQF Alumni .................................................................................................................................................................. 16 Lifelong Learning for CQF Alumni ..................................................................................................................................... 17 Alumni Masterclasses ...................................................................................................................................................... 18 Trading Simulator ........................................................................................................................................................... 19 Practical Computational Finance in C++ ............................................................................................................................. 20 Java and Xenomorph Time Series Workshop ...................................................................................................................... 21 CQF Faculty ................................................................................................................................................................... 22 Entry Requirements......................................................................................................................................................... 24 Pre-Application Tips ........................................................................................................................................................ 25 How to Apply and Course Dates ....................................................................................................................................... 26 Fees and Financing.......................................................................................................................................................... 27 About Wilmott................................................................................................................................................................ 28 About 7city Learning ....................................................................................................................................................... 29 Frequently Asked Questions............................................................................................................................................. 30
Introduction
The Certificate in Quantitative Finance (CQF) is a six-month part-time course designed to provide high-level training for individuals working in, or intending to move into, derivatives, development, quantitative trading or risk management. The CQF is unique in its structured approach and commitment to the field of real-world quantitative finance. At all times the programs focus is on practical implementation of techniques and on the questioning and analysis of models and methods.
The emphasis is on the education of practitioners and those looking to become practitioners, making entry into this subject, and progression to the highest level, as painless as possible. We believe that the subject can be understood by anyone with a modest or rusty background in mathematics. The Course Directors have brought together the most widely-recognised tutor faculty, many of whom are world renowned in their areas of expertise. The CQF program is built around a fully examined core of six modules. The course covers all aspects of the theory and practice of quantitative tools, products, and methods. Yet this is only one part of the program; it is preceded by a mathematics refresher course, and followed by C++ and Java programming classes, a Trading Simulator, and Lifelong Learning. The content for these Extras is almost five times the size of the six-month core CQF, and is yours, at no extra cost, for the rest of your career. Engineered for the financial markets, the CQF provides in-depth coverage and analysis of practical quantitative techniques important in todays, and tomorrows, financial landscape.
DELEGATE PROFILE
Verena Beller
JUNE 2008
Previous Degrees: Bachelors and Masters in Pure and Applied Mathematics, University of Vienna, Austria Current Position: Associate Quantitative Analytics, Risk Management, Commonwealth Bank of Australia
I signed up for the CQF because I wanted to change from a pure mathematical background into quantitative finance. After six years of studying, I was ready to start working and didnt necessarily want to spend another two years doing another masters. However, the lack of practical applications in my degree and my lack of programming experience made it very difficult to get the job I wanted a quantitative role in risk management. So when I found out about the CQF program, I thought thats perfect for me: an intense six-month course that will provide practical quantitative finance applications as well as some exposure to programming in VBA and C++. To do the CQF was the best decision I have ever made. Its very well recognized all around the world, and it definitely fulfilled what it promised, plus more. It provides a great practical knowledge in quantitative finance and a great introduction to VBA and C++. You are also invited to worldwide presentations about the most recent hot topics in quantitative finance, and if you cant attend you can see the recorded version online. This is just one of many other great opportunities that the CQF program offers. Because I live in Australia I had to do the whole course as a distance learner. Some people might think of it as worth less or more difficult than going to the actual lectures held in London. I have to say I was very impressed with the distance learner course. The quality of the lectures was perfect, and you can log on in real time to participate live over the internet. If, as in my case, the time difference makes it difficult to participate live, you can watch the recorded lectures and send emails to the lecturers or the 7city assistants if you have any questions or need some help. The 7city staff is very friendly and helpful, so I can really recommend it to anyone. The best thing that came out of the CQF program for me, is that I finally got the job that I have always wanted a job in quantitative analytics in risk management. People asked me if I would have been able to get that job without doing the CQF program. And honestly, I have to say no. I learned so much in the CQF, which of course with my masters in mathematics I would have been able to pick up on the job at some stage. But without the CQF program I probably would have never got the chance to prove that. In my job interview, I was asked all sorts of very detailed questions that were all covered by the CQF program, and if I hadnt done the course I wouldnt have been able to answer a single one of them.
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Delegate/Alumni Stats
Of those taking the course: 65% work within the financial services industry 60% are sponsored by their employer 77% take the entire course online
Applicant Profile
CQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a wealth of experience to the program.
The typical participant will be a market practitioner currently employed in a bank or other financial institution. However, the course is also suitable for graduate students wishing to enter the financial markets. Some mathematical experience and knowledge of the financial markets is useful, although professional finance experience is by no means a pre-requisite for the course.
The Certificate will be of special interest to those working in: Derivatives Structuring Fund Management Investment Banking Financial Software Risk Management Trading IT Hedge Funds Banking Asset Allocation Actuarial/Insurance/Pensions Industry Universities Consultancies Regulation
Class Profiles
Delegate Profile by Occupation
7% 6% 5% 5% 3% 3%
6% 6% 5% 4% 3%
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Geographical Profiles
Delegates from the following organisations have successfully completed the CQF
ABN AMRO Accenture Alexia Asset Management Abu Dhabi Investment Authority Bank of America Bank for International Settlements Baramex Barclays Capital Barclays Global Investor BNP Paribas British Energy Calyon Chicago Trading Company Citadel Citco Citigroup Commerzbank CSFB Deloitte Derivative Trading Systems Ltd Deutsche Bank Duff & Phelps Dresdner Kleinwort EDF Trading Ernst and Young Exane Fidelity International Fitch Ratings GE Capital Solutions Goldman Sachs Gordian Knott HSBC IB HBOS IBM Indus Valley Partners ING Investment Bank of Greece JP Morgan KPMG Lloyds Man Financial Marshall Wace Mellon Capital Management Merrill Lynch Mitsubishi UFJ Securities International Moodys Morgan Stanley Nationwide Financial Nationwide Building Society Nomura Och-Ziff Capital PAAMCO RBoS Reuters RWE Schroders Thomson Reuters Trafigura UBS Unicredit Wachovia Watson Wyatt West LB
2. Why does Nationwide put its entire risk management departmental staff through the CQF?
These financial guarantees and hedging practices (beyond simple strategies like cash flow matching, duration matching, etc.) are relatively new to the insurance industry. There is no established pool of quants to staff and develop these hedging programs, no standard software for managing these hybrid actuarial/financial risks, no generally accepted practices, etc. The CQF program allows Nationwide to take capable individuals from other fields actuaries, energy traders, mathematicians, economists, etc. and quickly train them in the fundamentals of hedging and financial risk transfer.
3. What do you think the CQF offers that other programs and courses dont?
The CQF program is technically rigorous and quickly develops the expertise and intuition for derivative instruments. At the same time, the program starts at a level that is reasonable for most technical professionals. Stochastic calculus, Martingale processes and other mathematical beasts often make for an intimidating initiation to this field. The CQF program focuses on the essential functionality for the financial practitioner and is quite flexible about working with students from varying backgrounds. Nationwide especially appreciates the practical emphasis of the CQF that complements the academic training. Reality often deviates markedly from theory. CQF lecturers are the rock stars of financial derivatives and help to bring practical tools and instill a healthy respect for what can go wrong in practice. Classroom and distance learning in conjunction with on-the-job exercises and coaching quickly brings students to a point where they can tackle real-world problems.
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Course Delivery
Part-time Classes and Workshops
The CQF is designed for delegates in full-time work or study and does not require any time away from the workplace. By dividing the course content over 25 weeks, delegates slowly build up their knowledge session by session. Delegates are provided with a complete set of course notes for each class and these are annotated by the course instructor during the session. Some classes will comprise computer workshops and delegates receive data files 24 hours before the class.
Classroom Delivery
All the classes are delivered from our London Training Center at 6pm (local time). Additional workshops are now delivered both in our London and New York Training Centers. Delegates can access the class via three methods: Classroom 23% of delegates in each program follow the majority of the course by attending the classes held at our London Training Center. Live Webcast 32% of our delegates work through most of the course by dialling in live via the internet. Recorded Classes 45% of delegates take most of the course via this option. Online Access Delegates who choose to dial into the class can view both the instructor and the presentation simultaneously, as if they were in the class. If delegates have a question they post this to the tutor chat box. The tutor will then repeat the question to the class, before proceeding to answer. The same approach is applied if a delegate in the London class poses a question. Each weekly class is recorded while being delivered. The classes are then posted online. Every delegate is provided with their own online account allowing them access to the following: Recorded class lectures Annotated class notes Data Sample code and spreadsheets Additional/non-examined classes Defer-ability The course is delivered on a very flexible basis, where you can choose from classroom, live or recorded classes. In addition, you can also defer at any time, for whatever reason, for no charge. This means that if your work or personal life become more demanding, you can take a break and return to the CQF later. Many people defer for six months, some for even longer. The only condition is that delegates are required to complete the program within three years of commencing it or they will have deemed to have officially failed. The CQF is designed to fit around your schedule, your personal commitments and career constraints.
The ease and convenience of the distance learning CQF option saved me the time and effort of traveling to and from a formal classroom and is very welcome in this day and age. I would definitely recommend this option to anyone taking the CQF.
John Mohsbeck, CQF Delegate, Jan 07
CM2
TRADING SIMULATOR
C++
...with more being added to all the time. And its all included once you sign up to the CQF!
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Module 1 - Exam Module 1 Module 2 - Exam Module 2 Module 3 - Exam Module 3 Module 4 - Exam Module 4 Module 5 - Exam Module 5 Module 6 - Final Project
THESE EXTRAS ARE INCLUDED IN THE CQF AND ARE NOT COMPULSORY
Lifelong Learning and Masterclasses Quantitative finance is always expanding. There are new contracts to value and risk manage, new models, even sometimes new asset classes and fields of interest such as High Frequency Trading and Behavioral Finance. In addition, new mathematical and numerical tools are constantly being devised and developed. We want CQF alumni to be the best-educated practitioners and to that end we include the Lifelong Learning and extended Alumni Masterclasses, what we all colloquially call the Extras. Just like the rest of the CQF, the Lifelong Learning lectures are by experienced practitioners and respected academics on important topics and new ideas. These lectures form an ever-expanding library of material. Watch a lecture (or attend live when it is first given) when you need to brush up on a topic, or watch all of them in sequence (beware though, theres a lot of material here!). The Alumni Masterclasses are one or two-day extended courses. As always, the Lifelong Learning and Alumni Masterclasses are included in the CQF package. See page 17 for a sample list of Lifelong Learning lectures and page 18 for details of the Alumni Masterclasses. Computational Languages included In the core, six-month part of the CQF all programming during lectures is done in Excel and Visual Basic because of the ease of implementation. However, within banks and hedge funds the most common programming languages are C++ and Java. Both C++ and Java courses are included with your CQF fees. They are specially tailored for those who may be completely unfamiliar with these languages, and take you through to the most advanced computational exercises. Students will get most benefit from these courses if they take them after completing the six core modules of the CQF. As with all program material, the C++ and Java lecture series can be accessed in perpetuity, in your own time and at your own pace, at no extra cost. See pages 20-21 for more information. Trading Simulator For those of you whose goal it is to become a trader then youll learn important skills from our in-house Trading Simulator. Even if you are already a trader, then you can benefit from the Simulator by trying out strategies and valuation and risk management methodologies that you have learned in class. See page 19 for further information about the CQF Trading Simulator.
Everything you see in this brochure is included in the CQF package at no extra cost.
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The Mathematics Primer now also comes complete with four landmark textbooks on calculus, differential equations, probability and linear algebra, ensuring your start in the course is as solid as possible. These books are an essential component in getting a solid grasp of the fundamentals, and are included in the course at no additional cost. Mathematics Primer Enrolment Conditions
Please note that the Mathematics Primer is offered at no additional cost to confirmed CQF delegates i.e. delegates who have confirmed their intention to take the CQF by arranging payment for their deposit or full fees.
1. Delegates not intending to take the full CQF and just the Mathematics Primer are charged 1,595 + VAT (US$2,399 in the Americas) for this program. 2. Delegates who attend the Mathematics Primer on the basis that they are taking the CQF and later cancel their CQF training are liable for the full cost of the Mathematics Primer. 3. Delegates intending to take just the Mathematics Primer and later take the CQF will have their CQF fees discounted by the value of the Mathematics Primer. 4. Delegates paying for the CQF on a modular basis and wishing to follow the Mathematics Primer will be charged 1,595 + VAT ($2,399) prior to commencing the Mathematics Primer, but this fee will be taken from their final modular payment.
DELEGATE PROFILE
Curtis Zubot
JUNE 2005
Previous Degree: Economics, University of Alberta Current Position: Commodities Trader, Citigroup
Most people interested in quantitative finance are already very mathematical. Better than any course I have ever been involved in, the CQF acknowledges that people like me are not interested in expanding my mathematical background, but rather would like to learn how to apply my talents. The instructors do an excellent job of helping bridge the gap between academia and the real world. Three months after completing the CQF I was promoted from fundamentals analyst to options trader. The CQF helped me make the leap faster than I ever thought possible.
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Module 1
Basic Building Blocks of Finance Theory and Practice It will be necessary to bring all delegates up to the same technical level. Most delegates will be familiar with the contents of this first module, but any gaps in a delegates background will be identified. We introduce the rules of applied It calculus as a modelling framework. Simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations are introduced. Important mathematical tools and results Taylor series Ordinary differential equations Probabilistic concepts Gaussian, Poisson, Cauchy, Binomial, etc. Central Limit Theorem The random behaviour of asset prices Stochastic calculus and Its Lemma Transition density functions Partial differential equations Applications of multiple integration Fokker-Planck and Kolmogorov
Module 2
Risk and Return This unit deals with the classical portfolio theory of Markowitz, the Capital Asset Pricing Model, more recent developments of these theories, also option types and strategies. We see the rudiments of option pricing principles and theory in the binomial model. Modern Portfolio Theory Capital Asset Pricing Model Value at Risk Modelling and measuring volatility Financial markets and products The binomial model for asset prices Numerical Methods Further It integration Martingale theory Change of numraire The Radon-Nikodym derivative Portfolio Optimization
Module 3
Equity, Currency and Commodity Derivatives The Black-Scholes theory, built on the principles of delta-hedging and no arbitrage, has been very successful and fruitful as a theoretical model and in practice. The theory and results are explained using different kinds of mathematics to make the delegate familiar with techniques in current use. The Black-Scholes model Hedging and the Greeks Option strategies Early exercise and American options Elementary Monte Carlo simulations Elementary finite-difference methods Martingale theory for pricing Girsanovs Theorem Parallels between probabilistic and deterministic methodologies
The practical application of the mathematics involved, together with the questions and exams means the CQF gives you a very good understanding of what is involved in modelling finance. The course is not a soft option where just attending lectures means you end up with a qualification on paper. The CQF requires a lot of study to do well but with the books provided, the quality of the lectures and the on-line support makes learning very productive and enjoyable. Many books I have seen on quantitative finance give superficial explanations, but only when you go through answering the sort of questions you are given on the CQF do you appreciate the depth of knowledge you need to do the job properly.
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Module 5
Credit Products and Risk Credit risk plays an important role in current financial markets. We see the major products and examine the most important models. The modelling approaches include the structural and the reduced form, as well as copulas. Reduced-form model and the hazard rate Structural default models Credit risk and credit derivatives CDS pricing, market approach Synthetic CDO pricing Risk of default, structural and reduced form Copulas Implementation of copula models
Module 6
Advanced Topics The benefits of new models will be discussed from theoretical, practical and commercial viewpoints. When pricing complex products it is necessary to be able to correctly value vanilla products. Modern models adopt frameworks that ensure that basic products are perfectly calibrated initially. The models derived in earlier parts of the course are only as good as the solution. Increasingly often the problems must be solved numerically. We explain the main numerical methods, and their practical implementation. Exotic options Static hedging Deterministic volatility and calibration Stochastic volatility and jump diffusion Non-probabilistic volatility models Correlation, problems and solutions Hidden risks in CDOs, and solutions Monte Carlo methods, Brownian bridge, advanced schemes Quasi-Monte Carlo methods, Sobol, and more Finite-difference methods, multi factor, implicit, Crank-Nicolson
Course Reading
Delegates will be provided with the following course reading material: Schaums Outline of Calculus (E. Mendelson and F. Ayres) Schaums Outline of Differential Equations (R. Bronson) Schaums Outline of Probability, Random Variables, and Random Processes (H. Hsu) Schaums Outline of Linear Algebra (S. Lipschutz and M. Lipson) Paul Wilmott Introduces Quantitative Finance (P. Wilmott) Paul Wilmott On Quantitative Finance (P. Wilmott) Advanced Modelling in Finance Using Excel and VBA (M. Jackson and M. Staunton) The Complete Guide to Option Pricing Formulas (E.G. Haug) Derivatives: Models on Models (E.G. Haug) Monte Carlo Methods in Finance (P. Jckel) Frequently Asked Questions in Quantitative Finance (P. Wilmott) Structured Credit Products: Credit Derivatives and Synthetic Securistisation (M. Choudhry) 1 years subscription to Wilmott magazine 1 years subscription to Wilmott journal
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Final Examination/Distinctions
The final three-hour examination is optional and takes place in exam centers worldwide. Delegates who score 80% or above receive a distinction.
From each class, one delegate will receive the Wilmott Prize for Excellence. The award will be made to the delegate attaining the highest score in the final examination.
Publication of Results
Each programs results are listed in the following publications: The Economist (global edition) Wilmott magazine
CQF Accreditations
CFA Institute Continuing Education (CE)
The CFA Institute has a commitment to Continuing Education (CE), and encourages CFA Institute members to maintain and improve their professional competence. 7city Learning is registered with the CFA Institute as a program-level Approved Provider. Coursework for the CQF is eligible for 40 CE credits (equivalent to two years recommended minimum) and will be automatically recorded in CFA Institute members CE Diaries. For more information about the CFA Institute CE Program visit cfainstitute.org/ceprogram.
Exemptions
PRMIA Exemptions The Education and Standards Committee of PRMIA (Professional Risk Managers International Association) has granted all CQF holders exemptions to the PRM qualification for: Exam I Finance Theory, Financial Instruments and Markets Exam II Mathematical Foundations of Risk Measurement In order to receive the PRM qualification, delegates obtaining the CQF are required to complete a cross-over exam encompassing: Exam III Risk Management Practices Exam IV Case Studies and PRMIA Standards of Best Practice, Conduct and Ethics, Bylaws
The CQF course is unique in that it is very practical and tailored to the needs of busy practitioners. The course provides a highly structured way to learn all the mathematics needed to understand quantitative finance, apply it to practical problems and situations and to make a career in one of a number of aspects of the complex world of derivatives.
Peter Sime, CQF Delegate, Jan 03
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CQF Alumni
The CQF alumni community is continually expanding as a network of friends and contacts all over the world. The current network consists of over 1600 alumni, an exclusive global community of quantitative practitioners. We invest in the future of the network through a range of events, publications, a directory and a dedicated website. As a CQF alumnus, and even before you complete the CQF, you will become part of an active community, attending social and educational events. Various resources are available exclusively to help CQF alumni and these are all located on the alumni website (cqfalumni.com), which you will have automatic access to when you join the CQF.
Continuing Education
Continuing education is paramount in the world of mathematical finance. To ensure CQF alumni are supported after they have obtained their qualification, additional regular classes are delivered on both technical and topical issues. These classes are delivered by the CQF faculty in addition to world-class practitioners including: Professor Bill Ziemba Nassim Nicholas Taleb Pat Hagan Professor Wim Schoutens Henriette Prast Philippe Henrotte Aaron Brown Nasir Afaf Iris Mack and many more All classes can be attended in the classroom and live or recorded via the alumni website as part of the CQF continuing-education program. The CQF is unique in allowing delegates permanent, unrestricted access to their CQF lectures along with current and future Extras, such as Lifelong Learning, Masterclasses, etc. This means that alumni can maintain and further their professional development, keeping their knowledge and skills at the forefront of the field, at no additional cost. The CQF library is constantly being updated and added to. Additional classes and resources are stored in this single place, allowing delegates and alumni to track and enhance their knowledge base.
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One of the most useful and rewarding experiences is continued access to course material, additional topical seminars and other reference materials. This provides the means to stay current and review old topics as and when necessary.
Kashif Rashid, CQF Delegate, Jan 07
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Equity
Fixed Income
Risk Management
Trading
Other Programming
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Alumni Masterclasses
Continue to learn, and delve deeper into specific subjects, with the CQFs Masterclasses.
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Trading Simulator
The CQF Trading Simulator fully backs up the lecture and workshop lessons so that delegates can try out new ideas in a realistic setting, incorporating real-time events based on live data from the ever-fluctuating marketplace. The solution is easy to access as it is internet-based and will run in your browser.
Core features:
Equity, FX, Money Markets, Fixed Income: The simulator is based on a repertoire of authentic scenarios which track price changes across a range of asset classes. Instructor-generated scenarios: Scenarios can be comprised of historical data, random walks or instructordesigned situations. Structured teaching approach: Instructors can initially demonstrate a model or approach within the assumptions of that approach and then stress-test it. Interactive parameter setting: Instructors can change parameters mid-scenario, ensuring a close and timely response to the learning needs of the moment. A range of option greeks: Main option greeks are displayed in real-time: delegates see delta, gamma and vega exposures and ways to hedge or speculate on these. Fundamentalist and technicalist strategies: Scenarios may contain news flow to encourage the analysis of fundamentals, and their effect on market prices. Multiple interaction types: Traders can quote spreads to each other in a peer to peer OTC market or trade with artificial-intelligence traders on buy or sell sides. Single or multi-player mode: Delegates can use the simulator in scheduled trading sessions with others or run a scenario by themselves. In-depth reporting: The simulations reporting package tracks trade results, including compliance with exposure limits, trading volume, frequency, profit, etc.
For more information about the CQF Trading Simulator, simply go to cqf.com/simulator.
DELEGATE PROFILE
Khafetsa Tlali
JUNE 2009
Previous Degrees: MCom in Economics and Business Mathematics, Potchefstroom University Current Position: Confidential
As a practitioner financial risk manager, the CQFs unique approach has helped sharpen my understanding of the interplay between valuation and risk management issues in todays challenging market environment. What I found most challenging and yet most enjoyable (counter-intuitive as it may sound!) was the level and sophistication of the mathematics which were second to none. The lectures were delivered by very knowledgeable professionals on top of their game in their respective areas of specialization. Quant finance practitioners who have not yet woken up to the fact of the CQF do not know what they are missing.
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C++ in finance
The vast majority of professional software development in quant finance is in C++. To be an effective member of a quant team you need to write high-quality code, and you must also be able to understand the C++ written by others.
The C++ course taught me how to implement important quantitative techniques. Turning the formulas into C++ code really gave me a solid understanding of the concepts.
Christopher Grune, CQF Delegate, June 04
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To provide for this trend, as well as offering an entire syllabus to cover C++, the CQF program also provides an introductory Java course specifically designed for quants. In seven interactive lessons, each lasting about one hour, you will be taken from a basic Hello Quant World program all the way through to a Black-Scholes charting GUI calculator, which prices call and put options and which creates optional windows with zoomable payoff diagrams. The topics covered include everything you will need to understand the basic framework of how Java works, concentrating upon Java objects and classes; object inheritance; interfaces; arrays and ArrayLists; Swing GUIs; and JAR libraries, plus much more along the way, before moving on to make use of Javas financial capabilities in its various mathematical libraries. The technologies covered include the Java SE Development Kit, the NetBeans integrated development environment (IDE), and the JFreeChart Library. After completing the seven lessons, you will be able to expand your Java skills into virtually any direction that you need, particularly within the financial arena.
DELEGATE PROFILE
Paolo Piacentini
JUNE 2008
Previous Degree: BSc Computer Science, University of Milan, Italy Current Position: Confidential
The CQF content is superbly comprised and extremely captivating. The team of instructors is composed of top professionals in the industry. You really notice and appreciate it when they eleborate and explain the hidden subtleties of the models, hardly visible at first but encountered day by day, in real operations. Pure academics do not often have such experience. If you have a Masters or PhD, the CQF is the perfect vehicle for entering into the realm of mathematical modelling for quantitative finance.
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Course Syllabus
Advanced Calculus Complex numbers Vector algebra Matrix algebra Ordinary differential equations Infinite series Functions Calculus for several variables Vector calculus Linear Algebra Linear equations Vector spaces Linear mappings Eigenvalues and eigenvectors Gram-Schmitdt process Introduction to Probability Introduction Random Variables Continuous random variables Multivariate Random Variables Numerical Analysis I Errors Roots of equations Interpolation Numerical Linear Algebra Integration Differential equations Complex Variables Basic Properties Elementary functions Complex Differentiation Complex Integration Infinite Series The Theory of Residues Zeroes of polynomials Conformal Mapping Differential Equations Fourier series Variation of parameters Linear ordinary differential equations Non-linear ordinary differential equations Mathematical Methods Elliptic Equations and related methods Mathematics of Hyperbolic Equations Advanced Mathematical Methods Asymptotic expansions of integrals Non-linear ordinary differential equations Integral Equations & Boundary-Value Problems. Perturbation Methods Transform Methods Laplace and Fourier transforms Applications Numerical Analysis II Finite Difference Methods Parabolic equations Hyperbolic equations Elliptic Equations
The motivating factor for designing the CM2 has been the overwhelming interest developed by past 7city delegates for acquiring greater knowledge of the classical branches of mathematical methods, which have a wide range of real-world applications.
Paul Shaw, Course Founder
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CQF Faculty
World-renowned practitioners and respected academics
The CQF faculty is a highly acclaimed team of instructors combining leading academics and practitioners specialised in the field of quantitative finance.
Riaz Ahmad
Dr Riaz Ahmad is full-time director at 7city for all mathematical and computational finance based courses. In addition he oversees 7citys Quantitative Finance series and consults on mathematical finance issues to City Institutions. Riaz received advanced degrees in mathematics from University College London and Imperial College London. He has held academic positions and lectured in mathematical finance at University College London (UCL), Lahore University of Management Sciences (LUMS) and Oxford University (Mathematical Institute).
Rad Dimitric
Alice Auld
Dr Rad Dimitric is an active research mathematician who publishes and teaches in several fields of mathematics, such as financial engineering, logic, algebra, history and the pedagogy of mathematics. He has taught several thousand students and undertaken research in Belgrade, Berkeley, Dublin, Exeter, Pittsburgh and Stanford. He has completed the first in a four volume series in mathematics for financial engineering. His presumably non-mathematical work encompasses, painting, short story writing, translations to and from foreign languages, a cappella singing and more. Dr Dimitric is a CQF course co-director.
Dr Alice Auld studied mathematics at Cambridge University, obtaining an MA, followed by an MSc in Pure Mathematics at UMIST (Manchester) and a PhD in Lie Algebra from Manchester University. She has lectured at Manchester Metropolitan University and taught first-and second-year degree mathematics at the London School of Economics where she was also an external examiner. Her main areas of mathematical interest are probability and pure mathematics, including algebra, calculus and trigonometry.
Andy Duncan
Moorad Choudhry
Moorad Choudhry is Head of Treasury at Europe Arab Bank in London. He previously worked as Head of Treasury at KBC Financial Products and also worked as a gilt-edged market maker and sterling bond trader with ABN AMRO Hoard Govett Sterling Bonds Limited and Hambros Bank Limited, and in structured finance services with JPMorgan Chase Bank. He began his City career at the London Stock Exchange in 1989. Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University; a Visiting Research Fellow at the ICMA Centre, University of Reading; a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School; and a Fellow of the Securities and Investment Institute.
Andy has a first class BSc honours degree in Psychology from the University of Sheffield in 1991, where he gained a particular interest in cognitive science, neuro-linguistic programming, the economics of human action, and artificial intelligence, basing his work mainly upon neural networks written with the C programming language. Using this knowledge, Andy later developed a varied consultancy career specialising in finance-based information technology, particularly in the field of derivatives pricing and trading systems, with long-term investment banking clients such as UBS and JP Morgan, particularly with the C++ and Java programming languages.
Neil Graham
Dominic Connor
Dominic Connor has been programming in C and C++ since the 1980s when he graduated from Queen Marys College, London. He has built trading systems for bond and equity markets, secure networks for the British government, reviewed C++ and compilers for PC Magazine, and debugged operating systems for IBM and Microsoft. At some point he has written code for every major environment including Windows, OS/2, Reuters, Bloomberg, VMS, AS/400, DOS, VM and Unix. These books, and many more, are included in your course materials.
Neil Graham joined Barclays International in 1985 initially in the foreign exchange, money markets and derivatives operations areas before moving to the trading room in 1991. Here, his roles included both inter-bank and sales positions in spot and forward FX, money markets and treasury derivatives. After leaving Barclays in 1995, Neil became a local on the London International Financial Futures and Options Exchange (LIFFE) trading own account positions in interest rate, bond and equity derivatives. During his time on LIFFE, Neil also provided training to hedge-fund staff in FX and derivatives before moving to full-time training in 1997. At 7city, Neil is Head of Financial Product Training, designing and delivering a range of product courses for investment houses, data agencies and software houses in the US, UK and Europe (Scandinavia, mainland Europe and Eastern Europe).
Paul Wilmott
Mike Staunton
Peter Jckel
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CQF Faculty
Espen Haug Alonso Pea
Dr Espen Gaarder Haug has worked in derivatives trading and research for more than 15 years. He worked as a proprietary option trader at JPMorgan in New York, and as an option trader for two multi-billion dollar hedge funds, Amaranth and Paloma Partners. Before that, he worked for Tempus Financial Engineering, and as an option market maker in Chase Manhattan Bank (now JPMorgan Chase) and Den norske Bank. He has been involved in almost every option market, including equity, currency, fixed income, energy and commodities. Espen has a PhD from the Norwegian University of Science and Technology, and has published extensively in academic and industry journals such as: Quantitative Finance, International Journal of Theoretical and Applied Finance and Wilmott magazine. He is also a popular lecturer on option pricing, hedging and risk management Dr Alonso Pea works as a quantitative analyst in the Structured Products group for Thomson Reuters plc. He holds a PhD degree from the University of Cambridge (finite element analysis) and is a CQF alumnus. His area of expertise is the pricing of financial derivatives, in particular structured products. He has publications in the fields of quantitative finance, applied mathematics, neuroscience and the history of science. He is currently Honorary Visiting Senior Research Fellow at the University of Cambridge (2006-2009) and in the Teaching Staff of the Mathematical Institute at the University of Oxford. Alonso has recently been appointed Adjunct Professor at the SDA Bocconi Business School in Milan.
Mike Staunton
Peter Jckel
Peter Jckel is the founder and Managing Director of OTC Analytics. He received his DPhil in Physics from Oxford University in 1995. After a period in academic research, he migrated into quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. When Nikko closed down its European operations in 1998, he changed to NatWest, which later became part of the Royal Bank of Scotland group. In 2000, he moved to Commerzbank Securities product development group, and headed up the team jointly with a co-head from 2003. From September 2004 to May 2008, he was with ABN AMRO as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics. Peter is the author of the book Monte Carlo Methods in Finance (2002) and a series of articles on financial mathematics and derivatives models.
Dr Mike Staunton is a visiting lecturer in Numerical Methods at Cass Business School in London. He has taught spreadsheet modelling to executives and graduate students since 1985, including for many years an annual program on Equity Portfolio Management in Geneva. He is the co-author, along with Mary Jackson, of Advanced Modelling in Finance using Excel and VBA, published by John Wiley in 2001. He is also Director of the London Share Price Database at London Business School and, together with Elroy Dimson and Paul Marsh, has written Triumph of the Optimists: 101 Years of Global Investment Returns, published by Princeton University Press in 2002.
Paul Wilmott
Sbastien Lleo
Dr Sbastien Lleo is a professor of finance at Reims Management School in France. His research interests include investment and risk management, asset pricing, stochastic control and analysis. Previously, Sbastien held a research position at Imperial College London, in the UK. Sbastien also worked for seven years in the investment industry, at the Bank of Canada and at CMHC Pension Fund in Canada. Sbastien holds a PhD in mathematics from Imperial College London (UK), an MBA from University of Ottawa (Canada), and an MSc in Management from Reims Business School (France). He is a CFA Charterholder, a Certified Financial Risk Manager (FRM), a Professional Risk Manager (PRM), and a CQF alumnus.
Dr Paul Wilmott is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modelling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons. Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a volatility arbitrage hedge fund and a university degree course. Paul has lectured at all levels, to students and to practitioners.
Si Yi Zhou
Before joining 7city CQF faculty Si Yi Zhou worked as a risk analyst in a consulting firm to provide constructive solutions to banks and insurance companies. He has worked on many projects with leading financial institutions and academics to solve practical issues in the financial markets. In particular he is experienced in credit derivative pricing, portfolio credit risk and correlation analysis.
CQF alumni are invited to work with Course Directors on a range of research projects following the completion of their program. These books, and many more, are included in your course materials.
Paul Wilmott
Moorad Choudhry
Paul Wilmott
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Entry Requirements
General requirements
Each delegate who is accepted on the course has a high level of intellectual curiosity, a strong interest in finance, and strong analytical skills. Although there is no specific degree requirement, most delegates will have backgrounds in quantitative disciplines such as mathematics, statistics, the physical sciences, engineering, operations research, computer science, finance, or economics. Master of Business Administration delegates should also have familiarity with calculus, spreadsheets and computational problem solving.
Mathematics requirements
The CQF requires a certain minimum level of mathematics. This is the key criteria in determining whether delegates will successfully complete the course. To ensure delegates have the necessary mathematics to enrol onto the CQF we require each applicant to complete a pre-course mathematics test. This evaluation will highlight the level of mathematics required at the start of the program. Many delegates starting the CQF do so believing that their mathematics is rusty. As part of our offering for the CQF we include the Mathematics Primer for delegates who want a structured approach to bringing their numerical skills up to speed. In addition we can recommend appropriate text books to refresh their abilities.
Key Facts
Information Sessions around the world View our sample lectures online Pre-course mathematics test to evaluate mathematics level A Mathematics Primer to help those feeling rusty Talk to our alumni and discuss their CQF experience Contact us to discuss your eligibility
IT requirements
The program is very practical and some classes require delegates to use Excel and VBA. Therefore all delegates should be familiar with Excel or a similar spreadsheet package before joining the program. Delegates attending the classroom program will require a lap-top computer. Delegates will not require prior experience in VBA as this will be introduced at the start of the course and supporting workshops will be provided during the first half of the program.
For more information on entry requirements, pre-application steps and how to apply, simply go to cqf.com/apply.
DELEGATE PROFILE
Daniel Hawkins
JUNE 2008
Previous Degree: MSci Theoretical Physics, University of Durham Current Position: Head of Equity Derivatives Strategy, Nomura Europe
In my opinion, the CQF is a well-tailored, mathematically based course which looks to cover broad areas of the quantitative finance spectrum, beginning with the basic framework across asset classes and expanding them into complex ideas and strategies in a very approachable manner, incorporating some of the more recent areas of interest in finance (for example, the CDO market in the credit arena). The course is deliberately given a practical slant, incorporating modelling in Excel/VBA, which gives a hands-on approach for students to allow an understanding of mathematical theories outside the textbooks. One of the main strengths is the flexibility of the course, being geared towards individuals with time-consuming careers, allowing live remote access to courses and the opportunity to watch the recorded lectures at a later date. This allowed me to catch up on any missed lectures, as well as clarify certain areas where my notes were left somewhat wanting!
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Pre-Application Tips
The CQF is a mathematical finance program and we want to make sure that, should you be accepted on to the course, you will be comfortable with the level of analysis and academic rigour associated with the program. Additionally, we also want to give you feedback as to whether the course is suitable for you or not. The combination of these factors means that it is crucial for potential applicants to obtain as much insight and feedback into the program as possible. We have listed a series of pre-application tips that we strongly advise all delegates follow before submitting an application.
Tip 1
Information Sessions: Potential applicants should try to attend or watch a recording of an Information Session. These are held all over the world and provide a very good opportunity to obtain an overview of the course format, content, and delivery. In addition delegates can meet some of the course faculty and we invite alumni to each of the events. Check out our upcoming information sessions, or watch a prerecorded session now.
Tip 5
Additional Reading: Some delegates can prepare via their university notes. However for delegates who require additional guidance a copy of our CQF Learning Pathway (syllabus) is available on request at info@cqf.com. This includes a full course reading list which highlights the books recommended for additional mathematics support.
Tip 6
Past Delegates: This is considered the most important and valuable step. Past delegates are able to relate the course to their technical experience and provide a realistic insight into the commitment and level of knowledge required to complete the program. They can also discuss the practical applications of the program and the benefits accrued in the workplace following the course. Potential applicants can request contact details for alumni at info@cqf.com, with specific alumni from the following categories: Industry sector Academic background Geographical region.
Tip 2
Past Classes: Feel free to view snippets of the following classes: Visual Basic Monte Carlo Simulations Differential Equations Numerical Methods and many more. These classes highlight the style of teaching and content delivered throughout the course.
Tip 3
Pre-Course Mathematics Test: this test serves both as part of the admissions procedure and as a very useful tool for potential applicants to judge their mathematics background against the level of mathematics required at the start of the course. It is available on request at info@cqf.com. All delegates have to complete the test before starting the program. However, we recognise that many delegates have not formally studied mathematics for a significant period of time and there is an element of rustiness with most applicants. The key indicator for potential applicants is the recognition factor and providing there is sufficient time, the CQF faculty can support those delegates who recognise the subjects tested but need to go back to basics in order to complete the paper.
Tip 7
Finally, all potential applicants are advised to contact a member of the CQF team to discuss their individual situation and whether they are appropriate for the course.
Tip 4
Mathematics Primer: The Mathematics Primer was designed for those delegates requiring a structured approach to refreshing their basic mathematics knowledge, prior to commencing the full CQF program. The course is delivered before the start of each CQF program. However delegates can commence the Primer at any time since the course notes and classes can be accessed online and are fully supported by the Course Directors. The Primer is delivered via 15 hours of intensive lectures and covers the following subjects: Calculus Linear Algebra Probability Differential Equations Analysis Statistics
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1. 2. 3. 4. 5.
Course Dates
Apply online at cqf.com/apply, or e-mail info@cqf.com and we will e-mail or post an application form to you. The CQF Admissions Department will come back to you within three business days indicating whether you have been granted preliminary acceptance onto the course, and the time-scale within which you must make your decision on the offer. We might also invite you to be interviewed over the phone with a Course Director. You will then be required to fill out a short enrolment form, accepting your place on the CQF. As part of completing this enrolment form, you will be required to pay a non-refundable deposit of 900 (US$1,750 in the Americas) which will entitle you to reserve a place on the program and get access to preliminary course materials and lectures, including the Mathematics Primer. You will also be required to complete a mathematics test before the course begins. This test will not determine whether you get onto the course (your academic and professional experience will determine this), but simply indicate to us what areas of mathematics are your strongest and weakest. You may complete this test up to one week after taking the Mathematics Primer. Once you pay the balance of the course (if you are paying up-front) or for the first module (if you are paying on a modular basis), you will be able to take your place once the course commences.
Mathematics Primer The Mathematics Primer is held in New York and London 4-6 weeks prior to the commencement of each CQF course. For more information about dates and times, check out cqf.com/primer. You can also take the Mathematics Primer prior to the start of the CQF online. CQF Course The January 2011 course will commence on 12th January and the June course will commence on 29th June. However these dates are subject to change, so for the latest course dates, module schedules and class times, go to cqf.com and search under Apply.
DELEGATE PROFILE
John Hurley
JUNE 2008
Previous Degrees: BS, MA and PhD in Mathematics, State University of New York Current Position: Security Policy Architect, major computer hardware manufacturer
The CQF is to my mind the most cost-effective program available for quantitative finance. The materials and lectures are well done, and the authors of the definitive works in particular areas of finance are also instructors for the course. The topics covered spanned a useful subset of the finance industry, and being able to continue studying the materials even after the course ends is a tremendous bonus.
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Per Module Fees Alternatively you can also choose to pay the fee on a per module basis on the condition that the fee is paid prior to the commencement of each module. Course options Course Fee* UK and rest of the world in
2,150* Total of 12,900* for the 6 modules 1,990* Total of 11,940* for the 6 modules US $3,550 Total of US $21,300 for the 6 modules
Wilmott Scholarship
For those who are unemployed, full-time students or living in a developing country on a low income, the Wilmott Scholarship covers 35% of the tuition fees.
These fees cover the CQF program for 2011 including costs of registration, course reading material, tuition, examination, the Mathematics Primer, the core CQF, C++ and Java programming courses, Masterclasses, Lifelong Learning, membership to CQF alumni and access to recordings of all mentioned classes in perpetuity. *VAT (at the prevailing rate) will be charged to UK and EU residents. Enrolment conditions Approved delegates will be required to pay a non-refundable deposit of 900* (US$1,750 in the Americas) which will entitle them to: reserve a place on the next CQF program receive preliminary reading material (four Schaum textbooks associated with the Mathematics Primer) access recorded Mathematics Primer lectures and associated material on request** join a live (classroom or distance) Mathematics Primer prior to commencing the CQF on request**. The remainder of your course fees will be due in advance of the course start date. **Please note that the Mathematics Primer is offered at no additional cost to confirmed CQF delegates, i.e. delegates who have confirmed their intention to take the CQF by arranging payment for their deposit or full fees. Please refer to page 12 for Mathematics Primer enrolment conditions. If cancellations of confirmed bookings are received in writing more than 30 days before the start date we will retain your non-refundable deposit and the cost of the Mathematics Primer and return the balance of your fees. Cancellations of confirmed bookings are subject to a refund of 50% if notification is provided within 30 days before the start date; no refund is applicable if notification of cancellation is within 15 days before the start date or non-attendance. Delegates will receive course reading material on receipt of a completed course enrolment form.
How do I apply?
Please contact the admissions office to request your Scholarship Application Form at info@cqf.com. As part of the application procedure you will need to include an up-todate resume which briefly summarises your work experience and academic history.
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7city.com
Since our inception in 2000, 7city has become a trusted training provider to financial institutions around the globe. At our training centers in London, New York and Singapore and via our cutting-edge virtual learning portals, we are proud to work with over 20,000 students each year.
Our leading edge of training solutions includes preparation for regulatory licenses and professional qualifications, introductory training for financial instruments or graduate programs, as well as uniquely tailored benchmark certificates. The CQF is 7citys flagship course. Our designation of The Sunday Times Virgin Atlantic Fast Track status in 2005, 2006, 2007 and 2008 along with our World of Learning and Distance Learning Awards speak to our innovative techniques, technology and custom-fit methodologies.
Training Competencies
GLOBAL EXAM TRAINING
BENCHMARK QUALIFICATIONS
FINRA REGULATORY LICENSING IMC (UK Only) IFQ (UK Only) ACOR/AGSO (UK Only) IAQ (UK Only) SII LEVEL 3 CERTIFICATES
(UK Only)
NON-EXAM TRAINING
FINANCIAL TRAINING
GENERAL FINANCE CORPORATE FINANCE DERIVATIVES EQUITIES FINANCIAL MATHEMATICS FINANCIAL STATEMENT ANALYSIS FIXED INCOME INVESTMENT MANAGEMENT SIMULATIONS AND MORE
PROFESSIONAL QUALIFICATIONS
CFA CAIA CQF SII DIPLOMA (UK Only) ACCA (UK Only) CIMA (UK Only)
PERSONAL DEVELOPMENT
TRAINING
Should your company require any training or development needs simply get in touch with one of our Client Relationship Managers:
EMEA T: +44 (0) 845 072 7620 E: clientservices@7city.com USA T: +011 1 646 943 6200 E: usclientservices@7city.com Asia Pacific T: +65 6327 1581 E: clientservices@7city.com.sg
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How do I apply?
Simply go to cqf.com/apply, where an online application form is available. Class sizes are restricted and places are awarded on a firstcome, first-served basis, provided a delegates application has been approved and the mathematics entry test has been completed successfully.
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cqf.com
Check out the all-new cqf.com for further details about the program: Informational videos Latest Information Sessions Webcasts and demos of our online learning tools Latest news and events Media releases
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CERTIFICATE IN
FINANCE
CQF
Engineered for the Financial Markets
7city Learning
E: info@cqf.com W: cqf.com London Training Centre: 7city Learning , 4 Chiswell Street, London EC1Y 4UP Tel +44 (0)845 072 7620 Fax +44 (0)20 7496 8607 New York Training Center: 7city Learning , 55 Broad Street, 3rd floor, New York, NY 10004 Tel + 1 (800) 974-0394 Fax + 1 (212) 480-2974 Singapore Training Centre: 7city Learning , 3 Raffles Place, 07-01 Bharat Building, Singapore 048617 Tel +65 6329 9646 Fax +65 6329 9699