cqf brochure 2012

GLOBAL STANDARD IN FINANCIAL ENGINEERING

CERTIFICATE IN

FINANCE

CQF

CERTIFICATE IN

FINANCE

CQF

cqf.com


7city Learning

4 Chiswell Street, London, EC1Y 4UP UK t +44 (0) 845 072 7620 f +44 (0) 20 7496 8607 w 7city.com55 Broad Street, 3rd Floor, New York, NY 10004 USA t 800 974 0394 f 212 480 2974 w 7city.com112 Robinson Road, #03-03 Singapore (068902) t +65 6327 1581 f +65 6248 9027 w 7city.com.sg

Dubai International Financial Centre, The Gate Village, Level 3, Building 10, PO Box 482058, Dubai t +971 (0)4-401 9818 w 7city.ae

Contents

3 Introduction4-5 Your CQF Journey6 Applicant Profile7 CQF Alumni 8 Program Delivery9 Mathematics for Quantitative Finance Primer10-11 CQF Program Content12-14 Lifelong Learning for CQF Alumni16-17 CQF Faculty19 How to Apply20-21 FAQ’s22 About 7city Learning23 Enrolment Form

Paul Wilmott, Course Director

Paul Shaw, Course Director

Welcome to our program for practitioner education in quantitative finance. In this brochure you will find details of the Certificate in Quantitative Finance, together with all the supplementary courses in C++, Lifelong Learning and our Trading Simulator which are included in the program. All training is delivered live via international webcast. This global delivery puts us at the forefront for online learning. Our team of lecturers consists of full-time staff chosen for their training skills and dedication to client satisfaction, along with respected and experienced practitioners working in investment banks and hedge funds. Finance is an extremely fast-paced and increasingly sophisticated profession. We can help you and your company stay ahead of the competition. We are proud of the quality and relevance of our quantitative finance program, and we are continually striving to keep it the best in the world.

We look forward to working with you.

A message from the Course Founders

Paul Wilmott Course Director

Paul Shaw Course Director

CERTIFICATE IN

FINANCE

CQF

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E: [email protected] W: cqf.com

The Certificate in Quantitative Finance (CQF) is a six-month part-time course designed for in-depth 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 program’s focus is on practical implementation of techniques and on the questioning and analysis of models and methods.

The global standard in quantitative finance, the CQF provides analysis of practical quantitative techniques important in today’s, and tomorrow’s, financial landscape.

BENEFITS:

World Class Quants Qualification

• The CQF is a challenging qualification, career enhancing, well respected and internationally renowned

Part-Time Flexible Learning

• Six-month flexible part-time program delivered twice a year

• All lectures are available streamed over the internet live and recorded. Recorded lectures are available in perpetuity

• Provides an in-depth coverage of practical quantitative methods for today’s financial market

Expert Teaching and Support

• The CQF faculty, led by Dr Paul Wilmott, is a highly acclaimed team of instructors combining leading academics and practitioners specializing in the field of quantitative finance

Lifelong Learning

• CQF alumni benefit from a rapidly expanding continuing professional development program

• Lifelong Learning consists of hundreds of lectures including C++ for financial programming and the Certificate in Mathematical Methods

• CQF alumni membership, all materials and books and access to recordings in perpetuity

Introduction

Name: Anuj GuptaDate: January 2008

Previous Qualifications: M.Phil. In Advanced Chemical Engineering, University of Cambridge, UK

Current Position: Director, Equity & Commodity Valuations, UBS

“�I�was�looking�for�a�program�that�would�equip�me�with�the�practical�side�of�quantitative�modeling.�Run�by�leading�practitioners,�I�knew�CQF�would�provide�me�that�dimension.�It�not�only�teaches�you�the�mathematics�under-pinning�the�different�financial�models,�it�highlights�their�main�assumptions�and�potential�dangers.�I�found�this�aspect�of�the�program�particularly�useful.�It�has�certainly�helped�me�enhance�my�career�aspirations�while�keeping�abreast�with�cutting�edge�modeling�developments.”

CQF ALUMNI PROFILE

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Your CQF Journey

APP

LY

Apply online now and the Admissions Team will confirm your acceptance to the program within five working days.

Online applicationPR

EPA

RE

The CQF program begins with the Mathematics Primer, 15 hours of intensive training covering all the mathematical preliminaries you need to know before commencing the quantitative finance lectures. See Page 9 for more details.

Detailed study materials

ATTE

ND

The best way to find out more aboutthe CQF is to attend one of ourinformation sessions or live webinars.

• Meet the team

• Discuss details about the course

• Talk to alumni and faculty

• Global information sessions and live webcasts available

• Recorded session available at cqf.com/admissions/information-sessions

Ask a question

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E: [email protected] W: cqf.comLE

ARN

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. Delegates are encouraged to complete weekly exercises prior to the commencement of the next class. At the end of each module, delegates take a written exam and have to score 60% or above to gain certification in that module. Module 6 is a practical financial engineering project.

Module One – Basic Building Blocks of Quant Finance

Module Two – Risk and Return

Module Three – Equity, Currency and Commodity Derivatives

Module Four – Interest Rates and Products

Module Five – Credit Products and Risk

Module Six – Advanced Topics

Final Exam for Distinction (Optional) – The final three-hour examination takes place in exam centers worldwide. Delegates who score 80% or above receive a distinction grade.

Fully flexible learning

LIFE

LON

G L

EARN

ING

Alumni Lectures - These frequent lectures are arranged for CQF Alumni, recorded and added to your portal.

Masterclasses - Delve deeper into specific subjects with the CQF’s Masterclasses including lectures from Paul Wilmott, Henriette Prast, Wim Schoutens and Claudio Albanese.

CM2 – The Certificate in Mathematical Methods (CM2) covers a variety of mathematical methods, with special focus on those applicable to real world problems.

C++ – This course features more than 70 hours of tuition and is for both delegates without any C++ experience and those wanting to take their skills to the next level.

JAVA – Introductory Java course specifically designedfor quants.

Trading Simulator – The Trading Sim allows delegates to try out new ideas in a realistic setting, incorporating real-time events based on live data.

Visual Basic for Applications – This course starts withbasic VBA and works up to the more complex features of VBAusing Windows Excel.

Education for the whole of your career

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Applicant Profile

CQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a wealth of experience to the program. This course is also suitable for graduate students, IT specialists, actuaries, insurance professionals, consultants and even mathematically-oriented individuals who are seeking opportunities in the financial markets.

The typical participant will be a market practitioner currently employed in a bank or other financial institution. Some mathematical experience and knowledge of the financial markets is useful, however professional finance experience is by no means a pre-requisite for the course.

Delegate Profile by Occupation

Class Profiles

Risk Management 20%

IT 16%

Trading 11%

Quantitative Analysis 10%

Consulting 7%

Derivatives 7%

Hedge Funds 7%

Structuring 6%

Fund Management 5%

Others 5%

Academia 3%

Actuary 3%

Delegate Profile by Academic Discipline

Finance 20%

Mathematics 17%

Computer Science 15%

Engineering 15%

Business 9%

Economics 6%

Statistics 6%

Banking 5%

Physics 4%

Others 3%

Delegates from the following organizations have successfully completed the CQF

AccentureABN AMROAlexia Asset ManagementAbu Dhabi Investment AuthorityBank of America Merrill LynchBank for International SettlementsBaramexBarclays CapitalBNP ParibasBritish EnergyCalyonChicago Trading CompanyCitadelCitcoCiti

CommerzbankCredit SuisseDeloitteDerivative Trading Systems LtdDeutsche BankDuff & PhelpsEDF TradingErnst and YoungExaneFidelity InternationalFitch RatingsGE Capital SolutionsGoldman SachsGordian KnottHSBC IB

HBOSIBMIntesa Sanpaolo INGJP MorganKPMGLloydsMan FinancialMarshall WaceMellon Capital ManagementMitsubishi UFJ Securities InternationalMoody’sMorgan StanleyNationwide Financial

Nationwide Building SocietyNomuraOch-Ziff CapitalPAAMCORBSRWESchrodersThomson ReutersTrafiguraUBSUnicreditWachoviaWatson WyattWells FargoWest LB

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CQF Alumni

The CQF alumni community is continually expanding 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 portal. As a CQF delegate, you will become part of an active community, attending social and educational events.

Amit Marwaha, June 2009Previous Qualifications: MBA Finance, University of Texas at Austin Current Position: Associate, Gas Utilities, Citi Group

“�I�originally�started�off�my�career�working�in�commodities�trading,�having�worked�with�a�lot�of�people�coming�from�a�financial�engineering�background,�I�heard�a�lot�of�good�comments�about�the�CQF�Program.�I�felt�that�the�CQF�was�a�good�way�of�improving�my�maths�while�working�at�the�same�time�–�reputable�professors,�Wilmott,�the�curriculum,�the�students�involved�–�I�thought�it�was�a�good�way�of�learning�that�information�that�would�be�applicable�to�what�I�was�doing.�I�would�agree�that�the�CQF�has�definitely�had�an�impact�on�my�job.�It�has�helped�me�to�be�able�to�speak�to�clients�in�different�asset�classes,�sometimes�a�bit�more�technical�than�others.�The�CQF�has�given�me�the�information,�the�tools�and�the�knowledge�necessary�to�speak�to�clients�and�price�assets�in�an�effective�manner.�“

Joseph Halpern, January 2009Previous Qualifications: BS Finance, Accounting, NYU Stern School of BusinessCurrent Position: SVP, Commodity Exotic Valuation, LAMCO

“�The�part�time�flexible�structure�was�very�important;�I�did�not�have�the�ability�to�take�a�full�time�program�at�the�time,�so�the�CQF�fit�my�schedule�perfectly.�The�online�delivery�was�very�good;�it�allowed�me�to�rewind�and�go�forward�as�needed�and�to�review�sessions�again�if�necessary.”

Joseph Ivens Theodate, June 2008Previous Qualifications: BSBA Finance - University of Central Florida, MS Finance (to be completed) - Financial ManagementCurrent Position: AVP/Manager, Independent Price Verification, Interest Rates Derivatives, Bank of America

“�If�it�wasn’t�for�the�CQF,�I�would�not�be�in�the�position�I�am�currently.�The�lifelong�learning�was�very�important�to�me�–�it’s�been�two�years�since�I�completed�the�CQF�–�and�every�time�there�is�a�new�product�in�the�market�you�will�get�an�email�from�the�CQF�telling�you�that�there�is�a�new�lecture�on�that�topic.�The�CQF�keeps�you�updated�with�market�development.’’

Henrique Fragelli, January 2011Previous Qualifications: MBA Finance, HEC Paris, France. BA Economics, CFACurrent Position: Quantitative Business Analyst, LCH.Clearnet Ltd

“�I�have�always�worked�in�risk�management�in�my�career.�As�my�career�evolved�I�had�a�deeper�need�for�quantitative�models.�It�came�to�a�point�last�year�I�realised�it�would�be�important�to�have�a�more�structured�course�at�the�level�that�the�CQF�could�offer�me.�I�also�knew�about�the�CQF�from�colleagues�in�the�industry�and�decided�it�would�be�a�good�choice�for�me.�The�CQF�has�the�depth�that�is�required�for�my�job�role�and�with�the�advantage�of�not�needing�to�stop�work�to�do�the�course;�I�could�combine�it�with�my�work�routine.�This�was�a�key�differentiator�for�me.�The�overall�hands�on�approach�of�the�course�is�very�important,�rather�than�being�totally�theoretical�without�any�link�to�reality,�the�course�is�really�close�to�what�we�do�on�a�daily�basis.�I�thought�it�was�really�good�value�for�my�time�and�a�good�investment.”

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Program Delivery

New CQF Interactive Tablet

The CQF ‘Companion’ tablet is new for 2012. The portable lightweight tablet device has offline access to our portal and is preloaded with the Mathematics for Quantitative Finance Primer and VBA lectures.

The tablet allows you to access your CQF Program whenever is convenient for you whether it is at home, on the train or in your lunch break. The tablet technology makes the CQF Program even more interactive and includes 1-2-1 tutor support for delegates all over the world.

The tablet

• Live 1-2-1 interactive lecturer support• Mathematics Primer lectures and notes• VBA lectures• Discussion forum • High definition multimedia at your fingertips

Live

55% of our delegates work through most of the course using the live lectures.

Recorded Classes

45% of delegates take most of the course watching the recorded material online.

All classes are recorded and then placed 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

The�CQF�tablet�and�online�meeting�system�has�been�a�revolutionary�tool�in�supporting�delegates�and�maximizing�contact�with�faculty.�This�virtual�environment�allows�delegates�to�discuss�ideas,�ask�questions�and�interactively�work�on�mathematics�using�the�whiteboard�facility.��It�can�be�used�as�a�one-to-one�tool�or�to�create�a�group�tutorial�environment.�

Delegates�often�comment�on�how�it�is�as�good�as�being�in�the�same�room�as�the�lecturer,�but�with�the�added�advantage�that�it�can�be�used�on�the�go!

Randeep Gug, CQF Lecturer

CQF interactive tablet

Contact the faculty through the interactive tablet

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Mathematics for Quantitative Finance Primer

The CQF program begins with the Mathematics Primer; 15 hours of intensive training covering all the mathematical preliminaries you need to know before commencing the CQF lectures. The Primer has been designed to get people back up to speed with their mathematics, since the vast majority of delegates describe themselves as mathematically “rusty” before they begin.

If you are similarly rusty, do not worry, the Primer is the perfect solution.

THIS PROGRAM COVERS THE FOLLOWING:

Calculus and Differential Equations Refresher

Calculus:• Functions and limits• Differentiation and integration• Complex numbers• Functions of several variables

Differential Equations:• First order equations• Second and higher order equations

Linear Algebra and Probability Refresher

Linear Algebra:• Matrices and Vectors• Systems of linear equations• Eigenvalues and eigenvectors

Probability:• Probability Distribution Function • Cumulative Distribution• Expectation Algebra• Key Discrete and Continuous Distributions including the Normal

Distribution• Central Limit Theorem

Statistics:• General Summary Statistics• Maximum Likelihood Estimator

• Regression and Correlation

For more information about the Mathematics Primer visit cqf.com/programTerms and Conditions apply, see the website for details

Name: Daniel RosadoDate: June 2010

Previous Qualifications: Engineering, Institut National de Sciences Appliquées de Toulouse

Current Position: Vice President, Morgan Stanley

“�In�the�CQF�there�are�delegates�from�all�sorts�of�backgrounds,�some�already�in�quant�finance,�and�some�like�me�who�had�studied�mathematics�some�time�ago�and�had�not�reviewed�much�since.�In�the�beginning�I�struggled�with�the�maths.�For�that�purpose�the�maths�primer,�at�the�beginning�of�the�CQF,�is�definitely�a�must�to�catch�up�on�all�your�maths�skills.�I�really�enjoyed�the�CQF�for�the�challenge�it�put�me�through.�I�tend�to�enjoy�complexity�and�I�like�mathematics�applied�to�real�world�problems,�which�is�really�what�the�CQF�is�about.”

CQF ALUMNI PROFILE

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CQF Program Content

Name: David BrocasDate: June 2010

Previous Qualifications: MSc Geology and Drilling Engineering , Ecole de Mines.

Current Position: Structuring Analyst, BP Gas Trading

“�What�attracted�me�first�to�the�CQF�was�the�content�of�the�program;�it�covers�everything�I�needed�to�learn.�I�really�liked�the�mix�between�the�theory�and�practical�exercises�and�everything�I�learned�during�the�CQF�I�could�apply�it�straight�away�in�my�day-to-day�job.�I�am�just�about�to�complete�the�CQF�but�I�can�already�feel�that�it�has�a�lot�of�impact�in�my�daily�job.�Mainly�because�I�have�gained�a�lot�of�confidence�–�by�understanding�the�theory�I�feel�much�more�confident�communicating�the�results�to�the�traders�and�explaining�how�the�models�I�am�using�work.”

Basic Building Blocks of Finance Theory and Practice

We introduce the rules of applied Itô calculus as a modeling framework. Simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations.

• 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 Itô’s Lemma• Transition density functions• Partial differential equations• Applications of multiple integration• Fokker-Planck and Kolmogorov

Interest Rates and Products

This module reviews the plethora of interest rate models used within the industry. We discuss the implementation and limitations of these models and the need for a more sophisticated framework in order to understand these processes. Many of the ideas seen in the equity-derivatives world are encountered again here but in a more complex form.

• Fixed-income products• Yield, duration and convexity• Stochastic spot-rate models• Affine stochastic models• Change of numéraire • Heath, Jarrow and Morton• Calibration• Data analysis• Libor Market Model• Cointegration: Modelling long term relationships

MODULE ONE

MODULE FOUR

CQF ALUMNI PROFILE

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Modules One to Five are examined at the end of each respective module. All delegates have to complete a project for Module 6. This is a practical programming project which is set during the second half of the course, designed to ensure delegates apply their theoretical knowledge to real-life problems that they can then take back to the workplace.

Risk and Return

We deal with the classical portfolio theory of Markowitz, the Capital Asset Pricing Model and more recent developments of these theories. We investigate risk and reward, looking at risk management metrics such as VaR. We also 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 Itô integration• Martingale theory• Change of numéraire• The Radon-Nikodym derivative• Portfolio Optimization• Fundamentals of Optimization and Application to Portfolio Selection

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 modeling 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• Statistic Methods in Estimating Default Probability

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• Girsanov’s Theorem• Parallels between probabilistic and deterministic methodologies

Advanced Topics

The benefits of new models will be discussed from theoretical, practical and commercial viewpoints. 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• Speculation and risk management using energy derivatives

MODULE TWO

MODULE FIVE

MODULE THREE

MODULE SIX

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Mathematics: Fundamentals of Optimization with Sebastien Lleo

Statistics: Financial Modeling using GARCH Processes with Kyriakos Chourdakis

Numerical Methods: Monte Carlo Simulation and Early Exercise with Paul Wilmott

Equity: Exotic Options with Paul Wilmott

Fixed Income: Advanced BGM with Peter Jäckel

Portfolio Management: Beyond Black-Litterman – Attilio Meucci

Credit: Jumps in Credit Risk Modelling with Wim Schoutens

Risk Management: Scenarios and Risk Control for Hedge Funds with Bill Ziemba

Trading: The Scandal of Prediction with Nassim Nicholas Taleb

Programming: The New C++ Standard with Roger Orr

Lifelong Learning for CQF Alumni

CQF alumni have permanent, unrestricted access to their CQF lectures. In addition, all alumni also receive access to the entire Lifelong Learning library. 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.

Alumni Lectures Here is a small selection from the many hundreds of optional classes:

Alumni MasterclassesContinue to learn and delve deeper into specific subjects with the CQF’s Masterclasses.

Volatility and Advanced Modeling with PC Workshops with Paul Wilmott

A critical look at the most important unknown in derivatives pricing: volatility. The main modeling approaches are presented with their advantages and disadvantages. Concepts are studied from a scientific and a practical point of view allowing delegates to understand the significance in their choice of model.

Behavioral Science In Finance: Phenomena, Diagnosis, Therapy with Henriette Prast

This one day course will give an overview of the latest research in behavioral economics and discuss its implications for market participants. Challenging the view that individuals take rational decisions provided that they have access to full information.

VG Modelling: Pricing Financial Derivatives in Equity and Credit Risk with Wim Shoutens

This course provides an introduction to the use of the Variance Gamma (VG) based models for equity and credit risk. A practical approach to describing the theory of advanced models, and features many examples of how they may be used to solve problems in finance, with emphasis on the pricing of financial derivatives.

Operator Methods in Fixed Income and Credit with Claudio Albanese

The first half of this course covers Stochastic Monetary Policy Models for Interest Rate Derivatives, and applications to callable CMS spread range accruals. The second half covers Structural Models for Credit Equity Derivatives and applications to bespoke synthetic CDOs.

Exotic Equity Derivatives, Pricing and Hedging with Paul Wilmott

A detailed course on the pricing and hedging of exotic equity derivatives, starting from the analysis of data to build up a vanilla pricing model and then extending this to exotic, over-the-counter products. Examining the mathematical modeling and the numerical aspects, as well as choice of model and dynamic and static hedging.

Intraday High-Frequency Trading: From Empirical Evidence to Quantitative Optimization with Charles-Albert Lehalle

This course covers factors that affect intraday trading, how to capture intraday statistical invariants, and how to understand and implement quantitative formalization of intraday trading.

For more information about Lifelong Learning visit cqf.com/program

For more information on the Alumni Masterclasses visit cqf.com/program

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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 instructor designed 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.

Practical Computational Finance in C++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.

By the end of this syllabus you will be able to take important pricing models, and translate them into working C++ code. Starting with elementary C++, these sessions will cover both the principles and practicalities of producing robust code in a quant finance environment. Uniquely, this course covers the pitfalls and problems that you will face in debugging and faulty design, equipping you for the realities of programming in banks.

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.

For more information about the Trading Simulator visit cqf.com/program

For more information about C++ visit cqf.com/program

Core Features:

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Java

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. After completing the lessons, you will be able to expand your Java skills into virtually any direction that you need, particularly within the financial arena.

For more information about Java visit cqf.com/program

For more information about CM2 visit cqf.com/program

Visual Basic for Applications

This course starts with basic VBA and works up to the more complex features of VBA using Windows Excel. This simple programming language is a powerful component of Excel and is used across all major investment banks. While prior experience in VBA is not a requirement of the CQF, delegates will use Excel and VBA in class. These lectures support the Mathematics Primer in preparing for the CQF.

Certificate in Mathematical Methods (CM2)The Certificate in Mathematical Methods (CM2) is an intensive program covering a variety of mathematical methods, with special focus on those which are applicable to real-world problems. Through the recorded lectures delegates will learn topics that are normally covered in the first two years of a university mathematics degree.

• Advanced Calculus

• Linear Algebra

• Introduction to Probability

• Numerical Analysis I

• Complex Variables

• Differential Equations

• Mathematical Methods

• Advanced Mathematical Methods

• Transform Methods

• Numerical Analysis II

Name: Robert BrooksDate: January 2011

Previous Qualifications: Business and Finance Law Degree, Brunel University. MSc Computing for Industry, Imperial College London. CIMA

Current Position: FS Risk Technology Consultant, Converge Group

“�My�own�investment�appraisal�of�why�I�thought�it�was�worth�paying�for�this�and�not�other�programmes�was�the�Lifelong�Learning.�I�like�the�idea�of�being�able�to�continue�studies�beyond�the�six�months.”

CQF ALUMNI PROFILE

The CM2 course syllabus includes the following topics:

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Name: Stewart Button Date: January 2011

Previous Qualifications:Bachelor of Engineering with First Class Honours, University of Tasmania, Australia.

Current Position:Risk Management IS&D, Rabobank International

Current Position: “Having studied engineering prior to working in finance, I have always been fascinated by how things work. If you understand how something works then you can use it with confidence and improve upon it. The CQF has helped me ‘look inside’ the world of financial markets; derivatives and risk management systems to gain an insight which would not be possible through practice alone. The course has given me the tools to price financial instruments and systematically manage market and credit risk confidence.

Before enrolling on the CQF program I examined a variety of comparable qualifications. The promise of high caliber lecturers along with a substantial practical component left me in little doubt. I particularly appreciated the candid comments from many of the industry-based lecturers regarding the dangers of using particular models without a full appreciation of their underlying assumptions.

Throughout the course I have had the great fortune to get to know many of my classmates who work across a variety of financial and technical professions. This, combined with the CQF’s Lifelong Learning program, will ensure that I am able to embrace this exciting industry throughout my career.

The CQF is a challenging course. However, it is in every way worth the time and effort. It will not only sharpen your mathematical and analytical skills but completely revolutionise the way you view the field of finance.”

CQF ALUMNI PROFILE

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CQF Faculty

Dr Paul Wilmott 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 modeling 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.

Dr Riaz AhmadDr Riaz Ahmad is full-time director at 7city for all mathematical and computational finance based courses. In addition he oversees 7city’s 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). His research and academic interests are in the theoretical and computational methods for derivative pricing and Islamic finance.

Dr Espen Gaarder HaugDr Espen Gaarder Haug has worked in derivatives trading and research for more than 15 years. He worked as a proprietary option trader at J.P. Morgan 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 J.P. Morgan Chase) and Dennorske Bank. He has been involved in almost every option market, including equity, currency, fixed income, energy and commodities. Espen Haug has a PhD degree from the Norwegian University of Science and Technology.

Neil GrahamNeil 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. 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).

Si Yi ZhouBefore joining 7city CQF faculty Si Yi 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.

World-renowned practioners and respected academics

The CQF faculty is a highly acclaimed team of instructors combining leading academics and practitioners specialized in the field of quantitative finance.

Name: Eleanor Li Date: January 2010

Previous Qualifications: MSc in Business and Economic Forecasting, BSc in Civil Engineering

Current Position: HSBC, Business Analyst

“�I�was�looking�for�a�quantitative�finance�related�course,�there�are�not�many�around�and�this�one�is�very�practical.�As�I�am�a�full�time�employee,�part�time�study�suits�me�very�well,�I�can�study�after�work�in�the�evening�and�the�time�is�perfect.

��I�have�to�admit�that�I�found�my�current�job�because�I�have�the�CQF�qualification,�having�a�rigorous�and�thorough�understanding�of�building�and�modelling�helps�me�to�move�on�further.”

CQF ALUMNI PROFILE

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Dr Alonso PeñaDr Alonso Peña works as a quantitative analyst in the Structured Products group for Thomson Reuters plc. He holds a Ph.D. degree from the University of Cambridge (finite element analysis) and the Certificate in Quantitative Finance (CQF) from 7city. 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.

Dr Randeep GugDr Randeep Gug is Head of CQF Business. He is also a full time lecturer on the CQF faculty and a CQF alumnus. Prior to joining 7city, Randeep worked in a variety of roles. These include the Equities division at Salomon Smith Barney, trading futures on the Indian National Stock Exchange (NSE) and lecturing in mathematics at a London Sixth-Form College. He is a qualified teacher and holds a 1st class honours degree and a PhD for research into semiconductor Physics.

Moorad ChoudhryMoorad Choudhry is Head of Business Treasury, Global Banking and Markets at Royal Bank of Scotland plc. He previously 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.

Dominic ConnorDominic has been programming in C and C++ since the 1980s when he graduated from Queen Mary College London. He has built trading systems for bond & equity markets, secure networks for the British government, reviewed C++ compilers for PC Magazine, and debugged operating systems for IBM & 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.

Dr Sébastien LleoDr Sébastien Lleo is a researcher at Imperial College London. His research interests include investment management, risk management, asset pricing, stochastic control and stochastic analysis. Sébastien worked for seven years in the investment industry, at the Bank of Canada and at CMHC Pension Fund. Sébastien holds a PhD in mathematics from Imperial College London (UK), a MBA from University of Ottawa (Canada), and a MSc. in Management from Reims Business School (France). He is a CFA Charterholder, a Professional Risk Manager, a Certified Financial Risk Manager and a CQF alumnus.

Dr Iris MackIris Mack, PhD, EMBA earned a Harvard doctorate in Applied Mathematics and a London Business School MBA. She is a former MIT professor. Dr. Mack is also a former Derivatives Quant/Trader who has worked in financial institutions in the U.S., London, Asia and the Caribbean. Dr. Mack conducts lectures on Energy Derivatives for the CQF Program and is also a Finance Subject Matter Expert for the Virginia Department of Education’s Financial Literacy program. Dr. Mack serves on a National Academy of Sciences Research Advisory Board. In addition, she serves on the Advisory Boards of the Women Mentor Women Foundation and the I Can Still Do That Foundation.

Name: Amit KaushikDate: June 2010

Previous Qualifications: MS Business Administration (Penn State University, State College, USA), Master of Technology (Structural Engineering) - Indian Institute Of Technology - (IIT) - Bombay, Bachelor of Technology (Civil Engineering)- Indian Institute Of Technology - (IIT) – Bombay

Current Position: Assistant Vice President – Commodities Derivatives. Quantitative Risk and Pricing Group, Barclays Capital

“�In�my�view,�CQF�is�an�excellent�program�for�those�who�want�to�build�skills�in�quantitative�finance�from�a�practitioner’s�perspective.�The�program�covers�a�wide�array�of�theory�and�application�topics�in�stochastic�calculus�and�finance�always�focusing�on�their�practical�implications.�CQF�has�an�excellent�faculty�drawn�from�diverse�backgrounds�of�academics�and�practitioners�who�are�excellent�teachers�as�well.�After�doing�the�program,�I�have�a�better�understanding�of�what,�why,�and�how�of�the�derivatives�pricing�models�are�used�in�practice.”

CQF ALUMNI PROFILE

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CQF ALUMNI PROFILE

Name: Eleanna Skouta Date: January 2011

Previous Qualifications:BSc Honours Computer Science with Artificial Intelligence, City University, London

Current Position: Financial Engineer

“The�CQF�program�was�a�very�efficient�way�to�expand�my�knowledge�on�quantitative�finance,�while�working�in�parallel.�It�has�enabled�me�to�transition�from�a�computer�sciences�with�artificial�intelligence�background�into�a�quantitative�financial�engineer.�In�a�matter�of�six�months�they�covered�a�broad�range�of�topics�in�derivatives,�with�in-depth�theory�but�driven�by�practice.�We�implemented�the�models�we�learnt�in�theory�using�Excel.�We�also�tested�our�knowledge�on�option�pricing�and�hedging�using�a�trading�simulator�where�we�traded�against�colleagues�and�other�AI�traders.

Such�an�intensive�course�can�only�be�possible�because�of�the�technical�expertise�of�the�lecturers,�who�are�leaders�in�their�field.�This�knowledge�could�be�brought�back�to�the�comfort�of�my�own�time�schedules�by�accessing�the�online�content.�This�has�been�proven�invaluable,�since�I�can�revisit�any�lecture,�or�even�access�an�extensive�library�of�archived�extra�material.

My�long-term�goal�is�to�understand�the�quantitative�models�underpinning�the�financial�industry�and�apply�my�knowledge�in�artificial�intelligence�to�build�next�generation�algorithmic�trading�solutions.�This�course�has�helped�me�move�many�steps�closer�to�my�goal.”

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How to Apply

We aim to make applying for the CQF as easy as possible. Should you have any questions about the application process, send us an e-mail or give us a call.

For more information on fees and financing visit cqf.com/admissions/fee-table For Pre-Application Steps visit:

cqf.com/admissions/pre-application-steps

Fees and Financing

The fees cover the costs of registration, CQF Tablet, course reading material, tuition, examination, the Mathematics Primer course, the examined CQF, C++ programming course, Masterclasses, the Alumni Lectures, membership to the CQF Alumni Network and access to recordings of all mentioned classes in perpetuity.

A number of scholarships are available to assist with the support of tuition fees for select delegates. Candidates wishing to apply for a scholarship will need to be able to demonstrate why they will benefit from taking the CQF and why they should be worthy recipients of the discounted tuition.

Thomson Reuters Scholarship

The Thomson Reuters Scholarship will be awarded to one applicant per course from the Americas, whereby the recipient will have his/her course tuition 100% waived. All applications and supporting documents must be submitted at least two months prior to the course start date.

The Wiley Scholarship

The Wiley Scholarship will be awarded to one applicant per course from Asia, whereby the recipient will have his/her course tuition 100% waived. All applications and supporting documents must be submitted at least two months prior to the course start date.

Wilmott ScholarshipFor those who are unemployed, full-time students or living in a developing country on a low income, the Wilmott Scholarship covers 30% of the tuition fees.

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Apply online at cqf.com/admissions, or e-mail [email protected] and we will e-mail or post an application form to you.

The CQF Admissions Department will come back to you within five 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 by a Course Director.

You will then be required to fill out a short enrollment form, accepting your place on the CQF. As part of completing this enrollment form, you will be required to pay a non-refundable deposit which will entitle you to reserve a place on the program and get access to preliminary course materials and lectures, including the CQF Tablet and Mathematics Primer.

You will also be required to complete a mathematics test before the course begins. This test will 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 you will be able to take your place once the course commences.

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FAQs

Name: Iain AdamsDate: June 2006

Current Position: Risk Manager, Barclays Capital

“�The�CQF�is�a�well-designed�course:�topics�are�carefully�chosen�for�their�practical�relevance,�and�then�explained�fully�and�rigorously.�Paul�Wilmott�is�a�talented�and�enthusiastic�teacher,�exactly�what�you�need�to�motivate�you�for�an�evening’s�work�after�a�long�day�in�the�office.�The�other�faculty�are�equally�knowledgeable�and�passionate�about�their�subjects.��My�primary�motivation�for�taking�the�course�was�what�I�would�learn�rather�than�‘collecting�the�piece�of�paper’,�but�the�CQF’s�industry�recognition�has�since�been�of�great�professional�benefit.��I’ve�had�no�hesitation�in�recommending�the�CQF,�and�several�people�I�know�have�taken�up�that�recommendation.”

Should I attend the program?

The Certificate will be of special interest to those working in:• Derivatives• Risk Management• Structuring• Trading• Fund Management• IT Investment• Banking• Hedge Funds• Financial Software• Consulting• Universities• Regulation

How long is the course?

The examined core part of the course is six months long, but this is only part of the CQF package. Before the CQF starts there is the Mathematics Primer, and after a delegate has passed their exams and completed the project there is a huge library of Alumni Lectures as part of Lifelong Learning for CQF Alumni.

What happens if I fail an exam?

If a delegate is struggling with a module they are encouraged to contact us as soon as possible so that a member of the CQF faculty can give them extra help and support. If a delegate fails one of the modules the CQF faculty will meet and review their position. On the basis of this meeting they will then recommend the delegate either retakes the examination or defers to the next program using this extra time to revise the relevant topics. There is no cost to defer the CQF program.

When does the course start?

The course is delivered twice a year, commencing in January and in June.

Is it possible to complete selected modules?

The CQF is designed to be taken as one complete and interdependent program. It is not possible to take individual modules independent of the program.

Can I get help with funding?

We offer the Thomson Reuters, Wiley and Wilmott Scholarships, which provide funds to enable certain individuals in specific situations to attend the Certificate in Quantitative Finance. These Awards will be made at the discretion of the Scholarships Committee to outstanding candidates who meet the scholarship requirements and who, in the opinion of the committee, are deserving and will gain the most from the program.

CQF ALUMNI PROFILE

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What level of mathematics is required?

Delegates should have a numerate academic qualification and should have familiarity with spreadsheet and computational problem-solving. Delegates who feel their mathematics is a little rusty are encouraged to attend our pre-course Mathematics Primer (see page 9) prior to commencing the CQF. This program is offered to CQF delegates at no extra cost.

How do I apply?

Simply go to cqf.com/admissions, where an online application form is available. Class sizes are restricted and places are awarded on a first-come, first-served basis, provided a delegate’s application has been approved and the mathematics entry test has been completed successfully.

How long will it take to receive a decision on my application?

We endeavor to make a decision within five business days of a complete application being received.

When do I need to submit the mathematics test?

We advise all delegates to complete the application form first and submit this for Course Director approval. They should then start working through the mathematics test, complete and return it by post or fax before the start of the course. Delegates are welcome to delay handing in the test until after the Mathematics Primer.

What equipment do I need to view the webcast?

To view the webcast live or recorded, delegates will need a computer with a sound card and a speaker. Delegates will also need broadband internet access.

Can I sample a webcast?

Absolutely, go to cqf.com/program and request a recording.

How long will I have access to the recorded lectures?

Delegates have access to the recorded lectures in perpetuity.

What happens if I am unable to complete the course in six months?

The majority of delegates complete the CQF in six months. However it is possible for delegates to defer their completion of the CQF to the next program (there is no charge for doing this).

Name: John FoxworthyDate: January 2010

Previous Qualifications: BA Economics / International Area Studies, UCLA

Current Position: Confidential

“�Regardless�of�your�experience�in�quantitative�finance,�the�CQF�is�the��best�choice�to�advance�your�quantitative�finance�career.��The�CQF�combines�the�correct�mix�of�theoretical�and�practical�approaches�to�quantitative�finance,�beginning�with�fundamentals�and�first�principles�that�can�be�applied�to�all�the�asset�classes,�then�moving�into�more�specialized�topics.�Specifically,�Module�4�of�the�CQF,�Interest�Rates�and�Products,�helped�me�obtain�my�current�position�of�technical�trade�support�in�the�pricing�and�risk�of�interest�rate�derivatives.”

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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, Singapore and Dubai 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 7city’s flagship course.

About 7city Learning

Contact

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 MeasurementIn 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

PRMIA Exemptions

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.

CFA Institute Continuing Education (CE)

LONDON

4 Chiswell StreetLondon, EC1Y 4UP

t +44 (0)845 0727620e [email protected]

NEW YORK

55 Broad Street, 3rd FloorNew York, NY 10004

t 800 974 0394e [email protected]

SINGAPORE

112 Robinson Road #03-03 Singapore 068902

t +65 6327 1581e [email protected]

DUBAIDubai International Financial CentreThe Gate VillageLevel 3, Building 10PO Box 482058, Dubai

t +971 (0)4-401 9818e [email protected]


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7city Learning

4 Chiswell Street, London, EC1Y 4UP UK t +44 (0) 845 072 7620 f +44 (0) 20 7496 8607 w 7city.com55 Broad Street, 3rd Floor, New York, NY 10004 USA t 800 974 0394 f 212 480 2974 w 7city.com112 Robinson Road, #03-03 Singapore (068902) t +65 6327 1581 f +65 6248 9027 w 7city.com.sg

Dubai International Financial Centre, The Gate Village, Level 3, Building 10, PO Box 482058, Dubai t +971 (0)4-401 9818 w 7city.ae

cqf brochure 2012

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