brochure january 05

8/2/2019 Brochure January 05

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> Certificate in Quantitative FinanceJanuary 2005

The demand for education in quantitative financehas never been greater. However, the ability tosupply a high-quality programme to satisfy thatdemand is as limited as ever. In putting togetherthis Certificate, we have focused on finding themost experienced lecturers, and the most relevantand up-to-date content. This is then provided in themost convenient and accessible manner.


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Welcome to the CQF

The demand for education in quantitative finance has never beengreater. However, the ability to supply a high-quality programmeto satisfy that demand is as limited as ever. In putting together thisCertificate we have focused on finding the most experienced

lecturers and the most relevant and up-to-date content. This isthen provided in the most convenient and accessible manner.

Lecturing on the Certificate we have experienced traders, hedgefund managers, researchers and programmers. Each person is atthe top of their field. Many of our lecturers have written the textbooks that define the subject of quantitative finance. Thanks tothese lecturers, the course content is both cutting edge andpractical. And since our lecturers are also active researchers youwill find out about the advantages and pitfalls of models andalgorithms.

I look forward to seeing you as a participant on our Certificateprogramme. If you have any questions, please email me,[email protected].

Paul Wilmott Course Director

+44 (0) 20 7796 1910 +44 (0) 20 7796 1710 http://www.7city.com certqf @7city.com


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Why Choose the CQF? 04

Lecturer Biographies 05

Course Syllabus 06

Who Should Attend? 08

Case Study Profiles 10

CQF Interview 12

Course Format 14

Distance Learning 14

Additional Modules 16

Examination Assessment 18

PRMIA Exemptions 19

Certificate Enrolment Details 20

Lecture Timetable 21

Contents



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Why Choose the CQF?Course Developers

The Certificate in Quantitative Finance (CQF) has been designed by Dr Paul Wilmott,one of the most experienced and respected trainers in quantitative finance. He has

lectured extensively in both academia and to the banking community and has also

founded a successful university degree course. His association with both the

theoretical aspects of quantitative finance and the real-world application makes

him uniquely able to design and deliver a structured course that meets the needs

of the modern quantitative analyst. His emphasis in the education of practitioners

is making entry into this subject, and progress, as painless as possible. He firmly

believes that the subject can be understood by anyone with a modest background

in mathematics.

The CQF has been designed with the busy, career-minded, goal-orientated,

practitioner in mind. Twenty-four straight-to-the-point formal evening lectures and

other more informal workshops deliver the necessary knowledge base and skillsneeded to succeed in this fast-paced working environment.

In a complex financial world, a detailed understanding of the application of

quantitative techniques is essential. The CQF provides an in-depth coverage of

practical quantitative methods important in todays financial markets.

Paul Wilmott

Dr Paul Wilmott is internationally renowned

as a leading expert on quantitative finance.

His research work is extensive, with over 100

articles in leading mathematical and finance

journals, as well as several internationally

acclaimed books on mathematical modelling

and derivatives, including the best-selling

Derivatives and Paul Wilmott on Quantitative

Finance, both published by John Wiley & Sons.

Paul has extensive consulting experience in

quantitative finance with leading US and

European financial institutions. He has founded

a financial training company and a university

degree course. Paul has lectured at all levels, to

students and to practitioners. He is a Partner in

the New York-based statistical arbitrage hedge

fund Caissa Capital.

"The CQF has been challenging and

rewarding. The standard of lecturing has

been exceptional, with a focus on the key

theoretical concepts in quantitative finance

and their implementation in software"Dr Warren Mellor CQF Delegate



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Espen Haug

Espen Gaarder Haug is a leading expert on

derivatives theory and its practical implications.

Haug is currently working as a proprietary

derivatives trader for J.P. Morgan New York.

Prior to joining J.P. Morgan he worked for

several years as a senior option trader for Paloma

Partners and Amaranth Advisors, a market-

neutral hedge fund based in USA. He has

developed systems and tools for options and

interest rate derivatives for the Chase Manhattan

Bank Derivatives Research and Trading Group

(Europe), and has also worked for several years

in Den Norske Bank. Further, he has published

numerous articles on options and riskmanagement in academic journals and industry

journals. His book The Complete Guide to

Option Pricing Formulas has become a standard

reference among Wall Street professionals.

Peter Jckel

Dr Peter Jckel received his DPhil from Oxford

University in 1995. In 1997, he moved into

quantitative analysis and financial modelling when

he joined Nikko Securities. Following that he

worked as a quantitative analyst in the Quantitative

Research Centre of the enlarged Royal Bank of

Scotland Group where his primary responsibilities

were independent model validation and

derivatives modelling research. Peter is now the

Global Co-Head of Financial Engineering at

Commerzbank Securities. His present role involves

the mathematical analysis of equity, credit, and

interest rate derivatives, the design of numerical

methods for pricing and risk calculations, and

many other aspects of financial engineering such

as fundamental research into new modelling

approaches and related mathematical issues. Peter

is the author ofMonte Carlo Methods in Finance,

published by John Wiley & Sons.

Lecturer BiographiesMike Staunton

Dr Mike Staunton is a visiting lecturer in

Numerical Methods at City University Business

School in London. He has taught spreadsheet

modelling to executives and graduate students

since 1985, including for many years an annual

programme on Equity Portfolio Management in

Geneva. He is the co-author, along with Mary

Jackson, ofAdvanced 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.

Nick Mayor

Nick Mayor is manager for the Lansdowne

Partners UK Equity Fund. The fund is the largest

UK-only hedge fund portfolio, and the first to

surpass the milestone of $1bn of net assets. Prior

to joining Lansdowne Partners, Nick worked as a

senior economic consultant with London

Economics. He has over five years experience in

the financial industry, previously working in

retail, internet, pharmaceutical and telecoms

equity research with ABN AMRO. He has anMPhil in Economics and a BA in Philosophy,

Politics and Economics, both from Oxford

University, and has published several key papers

within the domain of equity valuation.

David Epstein

David Epstein is a marketer/structurer for the

Risk Solutions team at Credit Agricole Indosuez

(CAI), providing structured solutions for

corporates and financial institutions. Prior to

joining CAI, David worked as a Quantitative

Analyst at Credit Agricole Lazard Financial

Products (CAL FP) Bank, developing models and

pricing tools for structured finance, equity and

fund-of-funds derivatives. He is a visiting

research fellow at the Oxford Centre for

Industrial and Applied Mathematics (OCIAM),

Oxford University and holds a DPhil in applied

mathematics from Oxford University, where he

specialised in the application of uncertain

parameter theory to financial modelling.

Elie Ayache

Elie Ayache graduated from Ecole Polytechnique

in 1987. He then held a position at Banque

Indosuez in Paris as one among the first option

traders on the floor of MATIF. In 1990, Elie, co-

founded Transoptions Finance, a subsidiary of

Credit Agricole, which specialised in option

market making. He personally stood on the floor

of LIFFE, in the Bund option pit, until 1995. From

1996 to 1998, Elie headed the R&D of Dexia

Asset Management in Paris, where he developedderivatives pricing models. In 1998, Elie created

ITO33, a software company specialising in

mathematical models and numerical solutions for

derivative instruments, particularly Convertible

Bonds and volatility smiles.

Riaz Ahmad

Dr Riaz Ahmad received his PhD in Mathematics

from University College London, having

graduated with a degrees and masters in

Mathematics from Kings College and Imperial

College respectively. Prior to being appointed as

full time Course Director of the CQF, Riaz was a

postdoctoral fellow in Mathematics at Oxford

University. He was also the assistant academic

director of the Universitys MSc Mathematical

Finance Program. Riaz oversees the Quantitative

Finance Series and consults on mathematical

finance issues to City Institutions.

Dr Paul Wilmott Espen Gaarder Haug Dr Peter Jckel Dr Mike Staunton



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The CQF Programme consists of six

modules. Each module covers a

different aspect of quantitative finance

and comprises a lecture, discussions

and computer workshops. Delegates

will be required to complete a written

exam on completion of each module to

gain certification in that module.

1. Basic Building Blocks of FinanceTheory and Practice

It will be necessary to bring all students up to

the same technical level. Most students will befamiliar with the contents of this first module,

but any gaps in a students background will

be identified and appropriate private study

recommended. 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. The random nature

of asset price movements is considered.

Discrete-time random walks are introduced and

the continuous-time lognormal random walk is

obtained by rescaling and passing to a limit.

o Mathematics preliminaries: Review of ordinary

calculus, Taylors theorem in one and several

variables, ordinary differential equations and

the diffusion equation.

o Fokker-Planck and Kolmogorov equations:

similarity solutions.

o Probability preliminaries: Review of discrete

and continuous random variables, transition

density functions, moments and important

distributions, the Central Limit Theorem.

o Applied It calculus: Discrete-time random

walks, continuous Wiener processes via

rescaling and passing to the limit, quadraticvariation, elementary It integrals and

Its lemma.

o The random nature of prices: Examination of

data, unpredictability, the need for probabilistic

models, drift and volatility.

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.

o Simulations: The lognormal random walk,

probability density functions.

o Risk and reward: Measuring return,

expectation and standard deviation.

o Modern Portfolio Theory (Markowitz):

Expected returns, variances and covariances,

benefits of diversification, the opportunity set

and the efficient frontier, the Sharpe ratio, and

utility functions.

o Capital Asset Pricing Model: Single-index

model, beta, diversification, optimal portfolios,

the multi-index model.

o Value at risk: Profit and loss for simpleportfolios, tails of distributions, Monte Carlo

simulations and historical simulations, stress

testing and worst-case scenarios.

o Financial markets and products: Bonds,

equities, currencies, commodities and indices.

o Introducing futures, forwards and options:

Simple contingent claims, definitions and uses.

o Review of option strategies: Building up special

payoff structures using vanilla calls and puts,

horizontal, vertical and diagonal spreads.

o Review of options as speculative investments:

Taking a view, gearing, strategies that benefit

from moves in the asset or in volatility.o The binomial model: Up and down moves,

delta hedging and self-financing replication, no

arbitrage, a pricing model, risk-neutral

probabilities.

3. Equity, Currency andCommodity 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

student familiar with techniques in current use.

o The Black-Scholes model: A stochastic

differential equation for an asset price, the

delta-hedged portfolio and self-financing

replication, no arbitrage, the pricing partial

differential equation and simple solutions.

o The greeks: delta, gamma, theta, vega and rho

and their uses in hedging.

o Risk-neutrality: Fair value of an option as an

expectation with respect to a risk-neutral

density function.

o Early exercise: American options, elimination

of arbitrage, modifying the binomial method,

gradient conditions, formulation as a free-

boundary problem.

o Elementary numerical analysis: Monte Carlo

simulation and the explicit finite-difference

method.

o Value at Risk: Portfolios of derivatives.

Course Syllabus


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4. Interest Rates and Products

This module starts with a review of fixed-incomeproducts and the simple but useful concepts of

yield, duration and convexity, showing how they

can be used in practice. The limitations of this

approach and the need for a more sophisticated

theory are explained. Many of the ideas seen in

the equity-derivatives world are encountered

again here but in a more complex form.

o Fixed-income products: Fixed and floating

rates, bonds, swaps, caps and floors.

o Yield, duration and convexity: Definitions, use

and limitations, bootstrapping to build up the

yield curve from bonds and swaps.

o Stochastic interest rate models, one and two

factors: Transferring ideas from the equity

world, differences from the equity world,

popular models, data analysis.

o Calibration: Fitting the yield curve in simple

models, use and abuse.

o Convertible bonds: Conversion, callability,

putability, random factors.

5. Advanced Topics I

The lognormal random walk and the Black-Scholes

model have been very successful in practice. Yetthere is plenty of room for improvement. 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.

o Non-probabilistic models: Uncertainty in

parameter values versus randomness in variables,

non-Brownian processes, nonlinear equations.o Static hedging: Hedging exotic target contracts

with exchange-traded vanilla contracts, optimal

static hedging.

o Stochastic volatility: Modelling and empirical

evidence, pricing and hedging, mean-variance

analysis.

o Jump diffusion: Discontinuous price paths, the

Merton model, jump distributions,

expectations and worst-case analysis.

o Fixed income: Use of Black-Scholes-like

models and assumptions in the fixed-income

world, pros and cons.

o Monte Carlo simulations: Use for option pricing,

speculation and scenario analysis, differences

between equity/currency/commodity and the

fixed-income worlds, accuracy, variance

reduction, bootstrapping.

o Finite-difference methods: Crank-Nicolson,

and Douglas multi-time level methods,

convergence, accuracy and stability.

o Quasi-Monte Carlo methods: Low-discrepancy

series for numerical quadrature, Halton, Sobol,

Faure and Haselgrove methods.

6. Advanced Topics II

Uncertainty plays an important role in asset

allocation, deciding the "optimal" composition

of a portfolio of investments and other

investment decisions, from deciding when to

start an advertising campaign for a new product,

to deciding whether to close down an oil well.

We study the products exposed to credit risk,

model the risk of default as well as the perceived

risk of default. Other incomplete markets are

examined and modelled.

o Credit risk and credit derivatives: Products

and uses.

o Transition matrices: Modelling change of

rating, dynamics.

o Incomplete markets: Energy and weather

derivatives.

o Real Options: The use of Real Options as an

investment decision tool and the estimation

of the parameters used in these models.

o Heath, Jarrow and Morton: Modelling the

evolution of the forward rate curve, principal

component analysis.

o Brace, Gatarek and Musiela: The evolution

of forward rates continued, the discrete-

maturity case.


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The Certificate will be of special interest to individuals working in:

o Derivatives

o Risk Management

o Structuring

o Tradingo Fund Management

o IT

o Investment Banking

o Hedge Funds

o Financial Software

o Consulting

If you have any questions about your eligibility for the programme, please call

+44 (0)20 7796 1910 and we will be happy to talk with you in greater detail.

Who Should Attend?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.

Candidate Selection

Delegates should have a numerate academic qualification, which may

include one of the following:

o Degree in physics, mathematics, chemistry, engineering, econometrics or

computer science

o Master of Business Administration

You should also have familiarity with spreadsheets and computational

problem solving.

Delegates wishing to apply for the programme will be required to submit a

completed application form together with a CV, detailing their academic andprofessional experience. Application forms can be requested by contacting

[email protected]. Early application is strongly recommended due to

the restricted number of delegates allowed on to each programme.



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"I completed my BSc in Electrical Engineering two years ago. My thesis consisted of predicting

share prices in the stock market by means of a multilayer neural network. This combined with

my interest in numerical methods, PDE and ODE, led me to the field of derivatives. Before I

started the CQF course my knowledge in this field was limited. Today, and only after three

months of taking part in the programme, my knowledge base has been greatly enhanced. All

the course material is well explained and easy to follow and there is always a workshop (Excel

and VBA Simulations) after each session. In fact putting theory into practice is what I value the

most, and the CQF definitely provides that experience. The quality of the teaching is high - all

the lecturers are Quant professionals at the top of their field. The online experience is excellent

and very convenient, especially for someone like me who cannot attend every session."

Victor Gonzalez CQF Delegate


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Dominic Boachie

Academic background: BSc Maths and

Computing MSc Decision Science

Current position and responsibilities:

Systems Analyst: Involved in the analysis and

design of application systems to suit business

requirements.

What were your key objectives when

enrolling on to the CQF programme?

Strengthen my knowledge in finance. To aid

my progression into the role of a Quantitative

Analyst or similar. To have a deeper

understanding of derivative products and

how they are modelled.

What advice would you give to

potential delegates looking to apply

for a place on the CQF?

Delegates should brush up on their maths,before starting- especially Integration and

differentiation and solving second order

differential equations. It is a very intensive

course, so they should ensure they can make

time to do the weekly homework and

monthly exam.

Case Study Profiles

Harish Vaghjiani

Academic background: BSc Physics,

Queen Mary College, University of London

1989 PhD Physics, Imperial College,

University of London 1993

MSc Mathematical Trading & Finance,

City University Business School 1999


Quantitative Analyst, Nomura Credit

Derivatives.



One of the main reasons was to elevate my

career prospects within the field of quantitative

finance. I expected the course to be taught by

lecturers that are able to deliver complex

finance concepts in an accessible and

transparent manner, designed for people with

a practical outlook at applying financial models.

Paul Wilmotts lectures and practical sessions

achieved this.

What have been the benefits of

attending the programme?

In my opinion this course played a key part in

securing my current position as a quantitative

analyst on Nomuras Credit Derivatives desk.

The fact that I was awarded a Wilmott

Scholarship helped too. To mention a few

benefits, l have achieved a strong working

knowledge of Stochastic Calculus, Monte-

Carlo and Finite Difference techniques, andthe confidence to apply them.




If you are committed to a career in quantitative

finance this course is a must. Be prepared to

devote a significant amount of time to each

module to get the best out of this well

structured course.

Stephane Junod

Academic background: Degree in

Econometrics and Economics 1994 Master in

Banking and Finance 1995; Lausanne

Business School

Professional qualification:

Member of the IAFE


Deutsche Bank Global Equity Derivatives

Director Exotic Structuring Team Responsible

for pricing, structuring and innovation for

Equity, Funds and Hybrid underlyings.



Get a better mathematical background to

enable me to read/understand advanced

papers and to implement more advanced

models.



Broader understanding of the underlying

mathematics of different models. A clear

understanding of different models and their

implementations. The programme provides

me with the tools to dig further.



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John Webb

Academic background: Leeds University

BSc Physics PhD Physics


Quantitative Analyst (portfolio planning):

Analysis and management of the credit risk

portfolio for the Corporate Banking division

of Barclays Bank PLC



To gain a better and more in-depth

understanding of quantitative finance and its

application in modern banking, to enable me to

further pursue a career in quantitative finance.



The CQF has given me an in-depth

understanding of the core principles ofquantitative finance in a relatively short time.

The practical application of the material

taught in the course has given me the level of

confidence that I needed to feel able to apply

what I have learned through the CQF into a

live business environment.




If you are serious about a career in

quantitative finance and want to cover the

core principles of the subject in-depth and ina short time, then you should seriously

consider applying for a place on the CQF.

Andrea Germani

Academic background: Business in

Economics, Universita Bocconi, Milano 1999


Head of Derivatives Unit, Banca Popolare

di Lodi



I have always been very interested in the

quantitative approach to finance. The quality

of the CQF lecturers and syllabus was a very

important feature in deciding to apply for the

CQF. My objective is to understand the risk

and pricing of derivatives and to obtain the

tools to understand the next generation of

derivatives.


attending the programme?The programme is very practical and I think

this is a key factor of the course. The tutors

are very supportive and always try to provide

solutions to problems, however difficult. Paul

Wilmott is a great tutor and the lessons are

always clear and interesting.




Delegates should have a basic understanding

of derivatives and mathematics. The CQF will

provide the tools for practitioners who want

both a technical and intuitive understanding

of derivatives.

Peter Sime

Academic background: MA Mathematics

Oxford 1976 MSc Econometrics, Birkbeck 1980

Professional qualification:

Member of the Institute of Chartered

Accountants in England and Wales Member

of the Securities Institute.


Director of Compliance, Wachovia Bank



To apply my mathematics background to the

area of derivatives.



Achieved a much deeper understanding of

many aspects of derivatives. Brought my

mathematics back up to date.




Ensure that your calculus is up to date and that

you have sufficient time to fully complete the

coursework.


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CQF InterviewSbastien Lleo, MBA, CFA, FRM, PRMCQF Delegate

Sbastien is a senior investment analyst and attended the CQF programme

from Ontario, Canada through 7C-Live!

Q: Why did you apply for a place on the CQFprogramme?

"I applied to the CQF because of my interest in financial engineering and

quantitative finance. Knowing the work of several course directors, I was

certain the course would be extremely well taught and include both a

presentation of the essential theoretical background and a discussion of the

latest techniques and approaches."

Q: What prior knowledge do you consider necessary tocomplete the course?

"I consider that some knowledge of elementary calculus and linear algebra as

well as a basic understanding of finance theory are a prerequisite for the course.

Of course, knowledge in vector calculus, differential equations, probability

theory, mathematical statistics and an understanding of asset valuation and

financial economics are a definitive plus. However, a lot can be picked up along

the way. So I would tend to say that this course assumes very little in terms of

prior knowledge in the field of quantitative finance. All it takes, really, is an

appetite for the field and some affinity with numbers and mathematics."

Q: How practical is the CQF?

"The CQF achieves a rare feat. I t simultaneously provides critical insights intothe theory of quantitative finance and very practical considerations regarding

the implementation of techniques and methods."

Q: What do you expect the programme will provideyou with?

"I expect to gain a fundamental understanding of the theory and practice of

quantitative finance. By this, I mean that the knowledge and insight gained

should withstand the test of time, fads and fashions, and provide me with a

deep understanding of the underlying assumptions and building blocks of

quantitative finance."

Q: As a distance learning delegate, how have youfound the course delivery?

"The course delivery is outstanding. Jonathan Shaw, in charge of technology-

related aspects, is doing a remarkable job to ensure that the distant learners

have as good a course experience as the delegates present in the classroom.

I think it was a wonderful challenge to open such an ambitious programme to

distance learners right from the first year. This demonstrates 7city Learning

and Dr Paul Wilmotts professionalism and commitment to the programme."



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Q: How have you coped with the monthly exams?

"The programme is fast paced, with one module a month and homework todo every week. However, it is not too difficult to deal with monthly exams. To

the contrary, it keeps delegates focused on the learning process and ensures

no one will be left behind after the end of a module."

Q: What are the best parts of the programme?

"The best part of the programme is the programme itself. The course is very

well structured and organized, the lectures are captivating and the lecturers

are amazing. The homework is not a mere repeat of the topics tackled in

class, but expand on the subject and give us the opportunity to acquire

depth and breadth. The cycle of monthly modules and monthly exams keep

the delegates focused on the learning process. Finally, the 7city team

deserves to be congratulated on its professionalism and the level of serviceprovided. All this makes of the CQF an outstanding programme."

Q: Who would you recommend the course for?

"I would essentially recommend this course to anyone interested in the

application of quantitative techniques to solve financial problems whether

their background is in science and engineering or in economics and finance.

The course is designed to be accessible."

Q: How does the CQF compare with the otherprogrammes you have completed?

"The CQF is entirely designed around the field of quantitative finance and

is taught by a faculty of experts. These two characteristics, no matter how

simplifying they are, help distinguish it from other programmes available.

The possibility of taking the entire course as a distance learner is another

unique feature of the programme."

"The CQF has been challenging and rewarding. The standard

of lecturing has been exceptional, with a focus on the key

theoretical concepts in quantitative finance and their

implementation in software - the practical implementation

of quantitative techniques is treated as importantly as the

underlying theory. The exercises and exams for each module

rally the best out of the delegates."


14/22

4


Recorded Sessions

Each weekly lecture and workshop is recorded and can be accessed via

7C-online accounts (provided to all delegates upon enrolment). All

delegates have unlimited access to 7C-online for session-by-session

playbacks. Delegates unable to attend a live classroom lecture enjoy the fullsupport of 7C-online to ensure they keep up to speed with each module.

In addition to recorded sessions, 7C-online stores the following for delegate

access:

o Programme syllabus

o Lecture notes by session

o Weekly exercises and solutions

o Module exam papers and related solutions

o Excel spreadsheets and VB programmes

Distance Learning

The CQF is also delivered as a distance-learning programme via 7C-Live.

Distance-learning delegates conference into lectures and workshops and

participate alongside classroom delegates. They enjoy the same level of

interaction with the tutor. 7C-Live integrates data, voice, and video within a

standard web browser so CQF course directors can hold real-time tutorials over

the Internet with delegates using virtually any desktop, laptop, or wireless

handheld device.

Course lecturers maintain a two-way dialogue with delegates to ensure

questions are addressed during the session.

Previous course delegates from locations throughout the world, including

New York, Hong Kong, Toronto, Paris, Milan, Munich and Frankfurt, have

attended live weekly lectures over the internet to complete each module of

the CQF.

Distance-learning delegates receive exactly the same pre- and post-course

reading materials, are expected to complete weekly exercises and are

subject to the same compulsory modular exams as classroom delegates.

Course FormatThe CQF Programme is based around a series of 24

compulsory formal lectures given by experienced

practitioners and trainers. Delegates are given homework at

the end of each lecture and an examination at the end of

each module. In addition to these lectures, delegates are

provided with other workshop-style sessions on

spreadsheets, Visual Basic, advanced mathematical

methods, problem solving and examination preparation and

follow up. Delegates may also elect to join an additional

C++ Programming module (see page 17).

Lectures are held in London at the 7city offices close to

Bank underground station. Lectures commence at 6pm and

last two-and-a-half hours.

The Certificate comprises of the following elements

o Part-time evening course, consisting of 24 formal lectures, one per week

for six months

o Weekly workshops

o Avoidance of day release to attend courses

o City of London course location

o Lectures from a highly acclaimed team of instructors combining leading

academics and practitioners

o Coherent learning objectives, from fundamental concepts through to thelatest advances

o Innovative and relevant technical course content

o Computer workshops, putting theory into practice

o Emphasis on the implementation of models and algorithms



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o Delegates can see the tutor and classroom presentation

simultaneously.

o 7C-Live! allows easy orientation and ensures delegates

receive a strong classroom experience.

o Classroom presentation technology allows clear annotation of

course notes.

o Delegates follow step-by-step construction of Excel and VBA models.

o Each model solution is posted to 7C-online.

o Delegates can review models via recorded playbacks.

o Delegates conference into each lecture to participate alongside

classroom delegates.

o Course instructors maintain two-way dialogue with delegates to

ensure questions are addressed during the session.

o Delegates receive personal usernames and passwords for

access to 7C-online.

o Lecture notes for all sessions are stored in 7C-online.

o 7C-online allows full accessibility to exercises, exams and

solutions for each session and module.


16/22

Mathematics for

Quantitative FinanceThe mathematics primer is divided into two

modules, each module delivered via a one-day

programme:

o Module M1:Calculus and Differential

Equations Refresher

o Module M2:Linear Algebra and

Probability Refresher

Mathematics finance is now a pre-requisite for

City practitioners and this primer provides a

refresher course.

Module M1: Calculus Refresher

Fuctions of a single variable:

o Ordinary calculus

o Ordinary differential equations

o Solution methods

o Basic numerical integration

o Simple integral equations

Functions of two or more variables:

o Partial differential calculus

o Partial differential equations

o Classification

o The diffusion equation

o Solution methods

o Basic numerical methods

Matrices:

o Matrix manipulation

o Eigenvalues and eigenvectors

o Exponentiation

Module M2: Probability Refresher

Elementary probability theory:

o Distributions, discrete and continuous

o First and second moments (mean and variance)

o Higher moments (skew and kurtosis)

o Important distributions

o Several variables

o Moment generating function

o Central limit theorem

Elementary statistics:

o Data representation

o Regression

o Maximum likelihood estimation

Random walks:

o Trinomial

o Transition probability density functions

o Deterministic equations from

random behaviour

+44 (0) 20 7796 1910 +44 (0) 20 7796 1710 http://www.7city.com certqf @7city.com+44 (0) 20 7796 1910 +44 (0) 20 7796 1710 http://www.7city.com certqf @7city.com

"I would highly recommend the course to delegates

considering undertaking the CQF."

Dr Warren Mellor CQF Delegate

Additional Modules


17/22

C++ for Quantitative

FinanceSoftware development in C++ is one of the key

technologies employed by global financial

institutions, particularly due to its support of

object-oriented programming. This has resulted

in a minimum requirement for all quantitative

professionals to have a solid core background in

C++ modelling.

The C++ programme is a self-contained course

taking delegates from simple programming

examples through to basic object-oriented

applications, with real-world examples from the

quantitative finance arena to illustrate the

powerful nature of this language. The course

assumes no previous knowledge of C/C++,

although familiarity with basic high-level

language programming concepts is considered

an advantage.

Variables, types and Expressions:

o Identifiers

o Data Types

o Declarations

o Constants and Enumerations

o Assignment and Expressions

Branch and loop statements:

o Boolean Values

o Expressions and Functions

o For', 'While' and 'Do....While' Loops

o Multiple selection and Switch statements

o Blocks and Scoping

Functions and Procedural abstraction:

o User-defined functions

o Value and Reference parameters

o Polymorphism and Overloading

o Procedural abstraction and good

programming style

o Splitting programs into different files

Files and streams:

o Input and Output using files and streams

o Streams as arguments to functionso Input and Output using ''

Arrays and Strings:

o Declaring arrays and strings

o Arrays as parameters

o Sorting arrays

o Two-dimensional arrays

o String manipulation

Pointers and linked lists:

o Declaring pointers

o The '*','&','new'and 'delete'operators

o Pointer arithmetic

o Automatic and dynamic variables

Recursion:

o Recursion and iteration

o Mechanics of a recursive call

o Recursive data structures

o Quick sort

Introduction classes:

o The object-oriented paradigmo Encapsulation and inheritance in C++

o Constructors, friends and overloaded

operators

o Static members

Numerical Methods:

o Approximating a PDF/CDF

o Solutions of linear systems

o Direct methods of solution and iterative

techniques

o Numerical integration

o Power methodo Explicit and implicit finite difference methods

for parabolic PDEs

o Monte Carlo method

Quantitative Finance:

o Pricing of European,American,Exotic and

Basket options

o Interest rates and products

o Volatility modelling

This course is a practical introduction to programming focused on financial

applications designed to build up libraries of code used in many applications

teaching is conducted by an expert who can pass on valuable advice a

"must "for Quants to develop an understanding of the C++language.

Peter Sime MA(Oxon);MSc(Lon)Wachovia Bank NA, CQF Delegate



18/22


Examination AssessmentThe Certificate in Quantitative Finance is awarded to delegates based on their

performance in the compulsory module examinations.

Module Examinations and the Certificate

Examinations are issued following the last session of each module. Three

hours are allowed for answering the paper, and lecture notes and books can

be used for reference. All examinations are to be completed on a self-

regulated basis.

Papers can be submitted in handwritten format, on disk or by email, before

or at the following lecture. Mathematics can be handwritten or typeset.

Delegate scores will be sent out to each delegate within 14 days of the

examination paper being distributed for completion. Delegates marks on all

modules except for the first module contribute towards the overall

Certificate. Solutions for each exam are posted to 7C-online, once all papers

are collated.

Delegates will receive one of two results:

o Course Pass

o Course Fail

Pre- and Post-Module Sessions

On completion of the last session in each module, delegates are provided

with the opportunity to attend a pre-exam problem session. A CQF course

director takes delegates through a review of technical issues raised in the

previous four sessions and allows delegates to ensure all queries are

addressed, before attempting the relevant module exam.

Final Examination/Distinctions

The final three-hour examination is optional. Delegates attend the exam if

they wish to obtain a distinction. The examanition is fully invigilated and

covers subjects from all modules. From each class, one delegate will receive

the "Wilmott Prize for Excellence". The award will be made to the delegateattaining the highest score in the final examination.

Examination Results

Examination results for the Certificate in Quantitative Finance are announced

in the following publications:

o Financial Times (UK and International Editions)

o Economist

o Wilmott magazine

Delegates are listed by name (and company if appropriate).

Only delegates receiving a pass or distinction are listed, in addition to the

delegate receiving the "Wilmott Prize."

Dr Michael Rees

Past winner of the Wilmott Prize


19/22

PRMIA ExemptionsThe Education and Standards Committee of PRMIA (Professional Risk

Managers Association) has granted all CQF holders exemptions to the PRM

qualification for:

o Exam I Finance Theory, Financial Instruments and Markets

o Exam II Mathematical Foundations of Risk Measurement

Delegates obtaining the CQF are required to complete a cross-over exam

encompassing:

o Exam III Risk Management Practices PLUS

o Exam IV Case Studies &&PRMIA Standards of Best Practice, Conduct

and Ethics, Bylaws


We very were impressed with the high

standard of the CQF. It provides students

with in-depth understanding of thequantitative methods important in today's

financial markets.

David R.Koenig, Chair of PRMIA's Board of Directors


20/22

0


Certificate Enrolment DetailsCourse Dates

Each module contains four sessions. All sessionscommence at 6pm and will be held at one of

7citys training centres in the City of London.

Refreshments available on site. You must

complete all modules to attain the Certificate,

however, you can select individual modules

within a three-year period to complete the

Certificate over a longer timeframe.

New: Delegates may attend individual sessions

(see page 21 for detailed lecture timetable).

Programme Fees

Fees are due in advance of the programme ormodule start date. Cancellations of confirmed

bookings are subject to a refund of 100% if

notification is provided in writing more than 30

days before start date; subject to 50% refund if

notification is provided within 30 days; no refund

is applicable if notification of cancellation is

within 15 days or non-attendance. VAT will be

applied to EU billing addresses. Course text

books are provided only as part of the full

programme.

Pre-Course Reading

Delegates will be provided with the followingpre-course reading material:

Paul Wilmott Introduces 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)

Paul Wilmott on Quantitative Finance (P. Wilmott)

Monte Carlo Methods in Finance (P. Jckel)

How to Apply

If you wish to apply for a place on theCQF programme, please contact

[email protected] to request your

application form. Class sizes are restricted

and places are awarded on a first come basis,

provided a delegates application has

been approved.

For Further Information

+44 (0) 20 7796 1910

+44 (0) 20 7796 1710

http://www.7city.com

[email protected]

The organisers reserve the right to change or

cancel the published course dates due to

unforeseen circumstances. The companys

liability will be limited to a transfer to the next

appropriate date or a refund of the course fee.

The organisers reserve the right to alter the

contents of this programme and/or the course

directors and venue due to circumstances

beyond its control.


Course Option Course Fee

Full classroom programme 9,250 + VAT

Full classroom programme (incl. optional C++ course) 10,500 + VAT

Individual module 1,750 + VAT

Individual lecture 495 + VAT

Full distance-learning programme 5,950 + VAT

Full distance-learning programme (incl. optional C++ course) 7,200 + VAT

Mathematics for Quantitative Finance (2-days) 990 + VAT

C++ for Quantitative Finance (8-evenings) 1,995 + VAT


21/22


Lecture TimetableCQF Lecture Date

Module

CQF 1.1 The Random Behaviour of Assets Wednesday 30th JuneCQF 1.2 Calculus Refresher, Taylor Series and Transition Density Functions Wednesday 7th July

CQF 1.3 Probability, the Central Limit Theorem, Stochastic Calculus and Ito's Lemma Wednesday 14st July

CQF 1.4 Simulating and Manipulating Stochastic Differential Equations Wednesday 21st July

CQF 2.1 Portfolio Management Wednesday 28th July

CQF 2.2 Products and Strategies Wednesday 4th August

CQF 2.3 Value at Risk and Volatility Wednesday 11th August

CQF 2.4 Binomial Model Wednesday 18th August

CQF 3.1 Black-Scholes, Greeks Wednesday 25th August

CQF 3.2 Monte Carlo and Finite Differences Wednesday 1st September

CQF 3.3 Advanced Greeks Wednesday 8th SeptemberCQF 3.4 Understanding Volatility Wednesday 15th September

CQF 4.1 Fixed Income Products and Analysis Wednesday 22th September

CQF 4.2 Stochastic Interest Rate Modeling Wednesday 29th September

CQF 4.3 Calibration and Data Analysis Wednesday 6th October

CQF 4.4 Convertible Bonds Wednesday 13th October

CQF 5.1 Discrete Hedging and Transaction Costs Wednesday 20th October

CQF 5.2 Stochastic Volatility and Jump Diffusion Wednesday 27th October

CQF 5.3 Further Monte Carlo Wednesday 3rd November

CQF 5.4 Further Finite Difference Methods Wednesday 10th November

CQF 6.1 Advanced Volatility Modeling Wednesday 17th NovemberCQF 6.2 BGM Wednesday 24th November

CQF 6.3 Credit Risk and Credit Derivatives Wednesday 1st December

CQF 6.4 Real Options Wednesday 8th December

Delegates may attend individual lectures.

If you would like to meet Paul Wilmott, the CQF team and find out more about the programme, please join us at a CQF Open Evening:

o Thursday 14th October

o Thursday 18th November

The sessions will commence at 6.15pm and will be held at Princes House, 95 Gresham Street, London EC2V 7NA.

To book your place, please call +44 (0)20 7796 1910 or email [email protected]


22/22

7city Learning

Princes House

95 Gresham Street

London EC2V 7NA

+44 (0) 20 7796 1910

+44 (0) 20 7796 1710

http://www.7city.com

brochure january 05

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