QUANTITATIVE FINANCE TRAINING COURSES
Essentials of Quantitative Finance
This training, titled "Essentials of Quantitative Finance," provides a comprehensive overview of quantitative finance. It explores career opportunities available to various quants and underscores
the crucial importance of quantitative analysis in pricing, hedging, risk management, portfolio management, and trading.
During this training, participants will acquire essential mathematical foundations and will be introduced to fundamental concepts of probability and stochastic calculus.
Topics covered include the study of the Black-Scholes model for option pricing, as well as the examination of indispensable interest rate forecasting models.
The training also encompasses aspects of risk measurement and management, highlighting practical applications such as Value at Risk (VaR), Conditional Value at Risk (CVaR), and the "Entropy
Pooling" model, a quantitative approach closer to reality than traditional models.
The ultimate goal of this training is to enable learners to quickly apply the concepts covered in their professional lives, bridging the gap between often highly theoretical academic learning and
the practical requirements of the field.
Ref: EQF-255
Learning Outcomes
- Understanding, role, and various careers in quantitative finance.
- Mastery of fundamental mathematics for financial modeling.
- Concepts of probability and introduction to stochastic calculus.
- Understanding of the Black-Scholes model for option pricing.
- Study of key interest rate forecasting models.
- Methodologies for measuring and managing financial risks.
- Practical application of VaR and CVaR and entropy pooling
- Principles of portfolio construction and optimization.
- Concepts of Alpha, Beta, and optimization of the Sharpe ratio.
- Implementation of acquired skills in real or simulated contexts.
- The overall objective is to provide participants with essential skills in quantitative finance, enabling the rapid transposition of knowledge into professional daily life.
Who Should Attend
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Students in Finance/Economics/Mathematics starting their studies or seeking an introduction to quantitative finance to complement their academic
curriculum.
- Young Finance Professionals looking to gain introductory yet solid foundations in quantitative finance.
- Professionals from other fields (Engineers, computer scientists, and other professionals) looking to enter or explore the financial universe and needing a basic understanding of quantitative concepts.
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Financial institutions wishing to introduce their staff to the fundamental concepts of quantitative finance.
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Junior Consultants and Auditors starting their careers in consulting or financial auditing and seeking to understand the basics of quantitative
techniques.
- Enlightened amateurs: Individuals interested in an introduction to financial markets and wishing to understand the basic concepts of quantitative finance.
Duration
-
2 days or 14 hours
Price
- €2550 for one participant.
- €2040 each for a group of 2 or 3 participants, only with group registration.
- €1630 each for groups of more than 3, only with group registration.
Tailored Training Solutions
- We offer the option to collaboratively develop customized programs.
- If you don't find precisely what you're looking for, we are here to assist you in constructing the perfect solution for your organization.
- Any of our training courses can be delivered just for your team.
- We can also co-create bespoke programmes, so if you can't find exactly what you need, we can help you build the right solution for your organisation.
Training Agenda
I. Introduction and Fundamentals
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Definition of Quantitative Finance
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Different Types of "Quants"
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Basic Mathematical Concepts:
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Differential and Integral Calculus
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Linear Algebra
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Probability
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Statistics
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Practical Case:
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- Solving a system of equations to determine the expected return of 3 distinct assets.
II. Introduction to Stochastic Calculus
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Symmetric Random Walk, Brownian Motion, Stochastic Process, and Itô's Lemma
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Black-Scholes Model and Binomial Tree
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Practical Cases:
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- Using Itô's Lemma to solve a stochastic differential equation.
- Using a binomial tree to evaluate a European option.
III. Interest Rate Models
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Vasicek Model
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Cox-Ingersoll-Ross (CIR) Model
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Hull-White Model
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Heath-Jarrow-Morton (HJM) Model
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Libor Market Model (LMM)
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Practical Case:
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- Using the Vasicek model to estimate the evolution of interest rates.
IV. Risk Management
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Measurement and Management of Risks
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Value at Risk (VaR) and Conditional VaR
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Stress Tests and Scenario Analysis
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Practical Case:
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- Calculating the VaR and CVaR of a portfolio.
V. Portfolio Management
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Efficient Frontier and Capital Allocation Line
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Sharpe Ratio and Optimization
- Capital Asset Pricing Model (CAPM) and Multi-Factor Models
- Mean-Variance Optimization (MVO) and the Black-Litterman Model
- Introduction to "Entropy Pooling"
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Practical Case:
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- Constructing a portfolio of assets from multiple models.
VI. Exotic Options Hedging
1. Challenges of Exotic Options Hedging
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Overview of complexities and volatilities associated with exotic options.
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The role of quantitative finance in developing effective hedging strategies.
2. Pricing of Exotic Options
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Application of stochastic calculus
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Analytical Models
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- Binomial Trees
- Black and Scholes
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Numerical Models
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- Monte Carlo
- Finite Differences
3. Hedging a Portfolio of Exotics
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Delta Hedging
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Gamma and Vega Hedging
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Extreme Risk Hedging
- Dynamic Hedging
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Practical Cases:
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- Pricing exotic options
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Dynamic hedging strategy
