CQF Brochure 2011

CERTIFICATE IN

FINANCE

CQFCourse guide for January and June 2011 programs

Certificate in Quantitative Finance

Engineered for the Financial Markets

cqf.com

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A message from the Course Founders

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 included supplementary courses in C++, Lifelong Learning and our Trading Simulator. All training is delivered simultaneously live in the classroom and via international webcast. This global delivery puts us at the forefront for distance 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.

Paul Wilmott Course Director

Paul Shaw Head of Admissions

Paul Wilmott, Course Director

Paul Shaw, Head of Admissions

E: [email protected] W: cqf.com

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CM2 – previously offered as an independent course, the Certificate in Mathematical Methods covers most of the techniques in an entire undergraduate mathematics degree.

Flash – for additional clarity and accessibility, all of the CQF lectures are now offered in the latest version of Flash.

US based faculty – we are pleased to announce an increase in NY faculty, allowing even more dedicated interaction with delegates.

Mathematics Primer – the Mathematics Primer has been expanded to include even more mathematical, statistical and econometrical methods than ever before.

ContentsIntroduction .....................................................................................................................................................................4

Applicant Profile ...............................................................................................................................................................6

Case Study ...................................................................................................................................................................... 8

Course Delivery ............................................................................................................................................................... 9

Certificate in Quantitative Finance - Your Journey ...............................................................................................................10

Mathematics for Quantitative Finance Primer ......................................................................................................................12

CQF Program Content .................................................................................................................................................... 13

Course Reading Materials ................................................................................................................................................14

Examination, Assessment and Accreditations ..................................................................................................................... 15

CQF Alumni .................................................................................................................................................................. 16

Lifelong Learning for CQF Alumni .....................................................................................................................................17

Alumni Masterclasses ......................................................................................................................................................18

Trading Simulator ...........................................................................................................................................................19

Practical Computational Finance in C++ .............................................................................................................................20

Java and Xenomorph Time Series Workshop ......................................................................................................................21

CQF Faculty ...................................................................................................................................................................22

Entry Requirements .........................................................................................................................................................24

Pre-Application Tips ........................................................................................................................................................25

How to Apply and Course Dates .......................................................................................................................................26

Fees and Financing ..........................................................................................................................................................27

About Wilmott ................................................................................................................................................................28

About 7city Learning .......................................................................................................................................................29

Frequently Asked Questions.............................................................................................................................................30

New for 2011

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Introduction

The emphasis is on the education of practitioners and those looking to become practitioners, making entry into this subject, and progression to the highest level, as painless as possible. We believe that the subject can be understood by anyone with a modest or rusty background in mathematics. The Course Directors have brought together the most widely-recognised tutor faculty, many of whom are world renowned in their areas of expertise.

The CQF program is built around a fully examined core of six modules. The course covers all aspects of the theory and practice of quantitative tools, products, and methods. Yet this is only one part of the program; it is preceded by a mathematics refresher course, and followed by C++ and Java programming classes, a Trading Simulator, and Lifelong Learning. The content for these “Extras” is almost five times the size of the six-month core CQF, and is yours, at no extra cost, for the rest of your career.

Engineered for the financial markets, the CQF provides in-depth coverage and analysis of practical quantitative techniques important in today’s, and tomorrow’s, financial landscape.

The Certificate in Quantitative Finance (CQF) is a six-month part-time course designed to provide high-level training for individuals working in, or intending to move into, derivatives, development, quantitative trading or risk management. The CQF is unique in its structured approach and commitment to the field of real-world quantitative finance. At all times the program’s focus is on practical implementation of techniques and on the questioning and analysis of models and methods.

Verena BellerPrevious Degrees:Bachelors and Masters in Pure and Applied Mathematics, University of Vienna, Austria

Current Position:Associate Quantitative Analytics, Risk Management, Commonwealth Bank of Australia

DELEGATE PROFILE JUNE 2008

“ I signed up for the CQF because I wanted to change from a pure mathematical background into quantitative finance.

After six years of studying, I was ready to start working and didn’t necessarily want to spend another two years doing another masters. However, the lack of practical applications in my degree and my lack of programming experience made it very difficult to get the job I wanted – a quantitative role in risk management. So when I found out about the CQF program, I thought that’s perfect for me: an intense six-month course that will provide practical quantitative finance applications as well as some exposure to programming in VBA and C++.

To do the CQF was the best decision I have ever made. It’s very well recognized all around the world, and it definitely fulfilled what it promised, plus more. It provides a great practical knowledge in quantitative finance and a great introduction to VBA and C++. You are also invited to worldwide presentations about the most recent hot topics in quantitative finance, and if you can’t attend you can see the recorded version online. This is just one of many other great opportunities that the CQF program offers.

Because I live in Australia I had to do the whole course as a distance learner. Some people might think of it as worth less or more difficult than going to the actual lectures held in London. I have to say I was very impressed with the distance learner course. The quality of the lectures was perfect, and you can log on in real time to participate live over the internet. If, as in my case, the time difference makes it difficult to participate live, you can watch the recorded lectures and send emails to the lecturers or the 7city assistants if you have any questions or need some help. The 7city staff is very friendly and helpful, so I can really recommend it to anyone.

The best thing that came out of the CQF program for me, is that I finally got the job that I have always wanted – a job in quantitative analytics in risk management.

People asked me if I would have been able to get that job without doing the CQF program. And honestly, I have to say no. I learned so much in the CQF, which of course with my masters in mathematics I would have been able to pick up on the job at some stage. But without the CQF program I probably would have never got the chance to prove that. In my job interview, I was asked all sorts of very detailed questions that were all covered by the CQF program, and if I hadn’t done the course I wouldn’t have been able to answer a single one of them.”

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Key Facts

• The largest and fastest-growing quant course in the world

• Six-month part-time course

• More flexible, targeted and cost effective than any university financial engineering program

• Course fees include materials and books, Mathematics Primer, six core modules, C++ and Java, a Trading Simulator and Lifelong Learning

Delegate/Alumni StatsOf those taking the course:

• 65% work within the financial services industry

• 60% are sponsored by their employer

• 77% take the entire course online

Key Facts from the January 2009 Program Number of students admitted:

• 195Average Age:

• 29Range of ages:

• 22 to 57Average work experience:

• 3 - 7 yearsRange of work experience:

• 0 – 34 yearsNumber of nationalities:

• 29

Stats and Facts

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Applicant ProfileCQF delegates come from a rich diversity of backgrounds, responsibilities and nationalities, bringing a wealth of experience to the program.

The typical participant will be a market practitioner currently employed in a bank or other financial institution. However, the course is also suitable for graduate students wishing to enter the financial markets. Some mathematical experience and knowledge of the financial markets is useful, although professional finance experience is by no means a pre-requisite for the course.

Delegate Profile by Occupation

Class Profiles

• Derivatives

• Structuring

• Fund Management

• Investment Banking

• Financial Software

• Risk Management

• Trading

• IT

• Hedge Funds

• Banking

• Asset Allocation

• Actuarial/Insurance/Pensions Industry

• Universities

• Consultancies

• Regulation

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

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

Finance 20%

Mathematics 17%

Computer Science 15%

Engineering 15%

Business 9%

Economics 6%

Statistics 6%

Banking 5%

Physics 4%

Others 3%

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Delegates from the following organisations have successfully completed the CQF

ABN AMROAccentureAlexia Asset ManagementAbu Dhabi Investment AuthorityBank of AmericaBank for International SettlementsBaramexBarclays CapitalBarclays Global InvestorBNP ParibasBritish EnergyCalyonChicago Trading CompanyCitadelCitcoCitigroupCommerzbankCSFBDeloitteDerivative Trading Systems LtdDeutsche Bank

Duff & PhelpsDresdner KleinwortEDF TradingErnst and YoungExaneFidelity InternationalFitch RatingsGE Capital SolutionsGoldman SachsGordian KnottHSBC IBHBOSIBMIndus Valley Partners INGInvestment Bank of GreeceJP MorganKPMGLloydsMan FinancialMarshall Wace

Mellon Capital ManagementMerrill LynchMitsubishi UFJ Securities InternationalMoody’sMorgan StanleyNationwide FinancialNationwide Building SocietyNomuraOch-Ziff CapitalPAAMCORBoSReutersRWESchrodersThomson ReutersTrafiguraUBSUnicreditWachoviaWatson WyattWest LB

Geographical Profiles

North America = 397 Middle East and Africa = 23UK = 699 Asia Pacific = 113

South America = 6 China = 123 Eastern Europe/Russia = 17Western Europe = 257

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Case Study: Nationwide Financial and the CQF

1. What does Nationwide’s risk management department do?

Nationwide’s Quantitative Risk Management is an area within Nationwide Financial (a U.S. financial services company) devoted to hedging variable annuity financial guarantees. The department was formed in 2002 and is responsible for the entire variable annuity hedging practice.

Variable annuities are a form of retirement investment account. To protect these retirement savings, life insurers offer financial performance guarantees of varying complexity.

These financial guarantees are a large source of systematic risk for insurers and must be hedged. The complexity of these financial guarantees and their entanglement with actuarial risks like mortality, contract surrender rates, etc. makes this hedging very challenging.

2. Why does Nationwide put its entire risk management departmental staff through the CQF?

These financial guarantees and hedging practices (beyond simple strategies like cash flow matching, duration matching, etc.) are relatively new to the insurance industry. There is no established pool of “quants” to staff and develop these hedging programs, no standard software for managing these hybrid actuarial/financial risks, no generally accepted practices, etc.

The CQF program allows Nationwide to take capable individuals from other fields – actuaries, energy traders, mathematicians, economists, etc. – and quickly train them in the fundamentals of hedging and financial risk transfer.

3. What do you think the CQF offers that other programs and courses don’t?

The CQF program is technically rigorous and quickly develops the expertise and intuition for derivative instruments. At the same time, the program starts at a level that is reasonable for most technical professionals. Stochastic calculus, Martingale processes and other mathematical beasts often make for an intimidating initiation to this field. The CQF program focuses on the essential functionality for the financial practitioner and is quite flexible about working with students from varying backgrounds.

Nationwide especially appreciates the practical emphasis of the CQF that complements the academic training. Reality often deviates markedly from theory. CQF lecturers are the “rock stars” of financial derivatives and help to bring practical tools and instill a healthy respect for what can go wrong in practice. Classroom and distance learning in conjunction with on-the-job exercises and coaching quickly brings students to a point where they can tackle real-world problems.

4. What changes has Nationwide seen in its risk management staff once they have completed the CQF?

Junior candidates without the CQF are typically in a support role, working side-by-side with more experienced practitioners. Once a candidate has entered the CQF, however, they quickly begin to understand the “why” of their work. No longer are they simply running a set of calculations, simply developing a faster bit of code, simply running a set of reports, simply reconciling a set of trades.

Candidates begin to see the variable annuity guarantee portfolio as a large exotic derivative portfolio with an understandable set of behaviors. Markets move up or down, yield curves change, and the portfolio responds in understandable ways. When it doesn’t they recognize the unusual and can ask, “Why?” This begins a process of inquiry and learning that creates senior candidates.

Eventually, candidates begin to bring this same understanding to a broader universe of instruments and can begin thinking about hedge strategies. What instruments make natural hedges? When do those hedges break down? What risks are left? Can I do the same thing more cheaply?

Ultimately, this disciplined approach to financial risk is valuable throughout the organization and candidates find themselves recruited into more senior roles throughout the organization.

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Classroom DeliveryAll the classes are delivered from our London Training Center at 6pm (local time). Additional workshops are now delivered both in our London and New York Training Centers. Delegates can access the class via three methods:

Classroom

23% of delegates in each program follow the majority of the course by attending the classes held at our London Training Center.

Live Webcast

32% of our delegates work through most of the course by dialling in live via the internet.

Recorded Classes

45% of delegates take most of the course via this option.

Online Access

Delegates who choose to dial into the class can view both the instructor and the presentation simultaneously, as if they were in the class. If delegates have a question they post this to the tutor chat box. The tutor will then repeat the question to the class, before proceeding to answer. The same approach is applied if a delegate in the London class poses a question.

Each weekly class is recorded while being delivered. The classes are then posted online. Every delegate is provided with their own online account allowing them access to the following:

• Recorded class lectures

• Annotated class notes

• Data

• Sample code and spreadsheets

• Additional/non-examined classes

Defer-ability

The course is delivered on a very flexible basis, where you can choose from classroom, live or recorded classes. In addition, you can also defer at any time, for whatever reason, for no charge. This means that if your work or personal life become more demanding, you can take a break and return to the CQF later. Many people defer for six months, some for even longer. The only condition is that delegates are required to complete the program within three years of commencing it or they will have deemed to have officially failed. The CQF is designed to fit around your schedule, your personal commitments and career constraints.

Course Delivery

The ease and convenience of the distance learning CQF option saved me the time and effort of traveling to and from a formal classroom and is very welcome in this day and age. I would definitely recommend this option to anyone taking the CQF.”John Mohsbeck, CQF Delegate, Jan 07

Part-time Classes and WorkshopsThe CQF is designed for delegates in full-time work or study and does not require any time away from the workplace. By dividing the course content over 25 weeks, delegates slowly build up their knowledge session by session.

Delegates are provided with a complete set of course notes for each class and these are annotated by the course instructor during the session. Some classes will comprise computer workshops and delegates receive data files 24 hours before the class.

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Certificate in Quantitative Finance - Your Journey

For more detailed information on your CQF Journey, please see opposite

...with more being added to all the time. And it’s all included once you sign up to the CQF!

CM2

TRADING SIMULATOR

Core of the program

CERTIFICATE IN QUANTITATIVE FINANCE

LIFELONG LEARNING

An ever-expanding library

C++

JAVA

MATHEMATICS FOR QUANTITATIVE

FINANCE PRIMER

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Lifelong Learning and Masterclasses

Quantitative finance is always expanding. There are new contracts to value and risk manage, new models, even sometimes new asset classes and fields of interest such as High Frequency Trading and Behavioral Finance. In addition, new mathematical and numerical tools are constantly being devised and developed. We want CQF alumni to be the best-educated practitioners and to that end we include the Lifelong Learning and extended Alumni Masterclasses, what we all colloquially call the “Extras”. Just like the rest of the CQF, the Lifelong Learning lectures are by experienced practitioners and respected academics on important topics and new ideas. These lectures form an ever-expanding library of material. Watch a lecture (or attend live when it is first given) when you need to brush up on a topic, or watch all of them in sequence (beware though, there’s a lot of material here!). The Alumni Masterclasses are one or two-day extended courses. As always, the Lifelong Learning and Alumni Masterclasses are included in the CQF package. See page 17 for a sample list of Lifelong Learning lectures and page 18 for details of the Alumni Masterclasses.

Computational Languages included

In the core, six-month part of the CQF all programming during lectures is done in Excel and Visual Basic because of the ease of implementation. However, within banks and hedge funds the most common programming languages are C++ and Java.

Both C++ and Java courses are included with your CQF fees. They are specially tailored for those who may be completely unfamiliar with these languages, and take you through to the most advanced computational exercises. Students will get most benefit from these courses if they take them after completing the six core modules of the CQF. As with all program material, the C++ and Java lecture series can be accessed in perpetuity, in your own time and at your own pace, at no extra cost. See pages 20-21 for more information.

Trading Simulator

For those of you whose goal it is to become a trader then you’ll learn important skills from our in-house Trading Simulator. Even if you are already a trader, then you can benefit from the Simulator by trying out strategies and valuation and risk management methodologies that you have learned in class. See page 19 for further information about the CQF Trading Simulator.

The CQF program begins with the Mathematics Primer, a 15-hour lecture series on all the mathematical preliminaries you need to know before commencing the quantitative finance lectures. The Primer has been designed to get people back up to speed with their mathematics, since the vast majority of CQF delegates describe themselves as mathematically “rusty” before they begin. If you are similarly rusty, do not worry, the Primer is the perfect solution. See page 12 for more information on the Mathematics Primer.

THESE “EXTRAS” ARE INCLUDED IN THE CQF AND ARE NOT COMPULSORY

Everything you see in this brochure is included in the CQF package at no extra cost.

MATHEMATICS FOR QUANTITATIVE FINANCE PRIMER

When people say “I have the CQF” it means they have taken the six-month, core quantitative finance course, and passed all of the examinations and successfully completed the final project. The core, examined part of the CQF commences in January and June each year.

The core program consists of six modules, one per month, each on a different field within quantitative finance. Each module builds on previous modules to give delegates both a deep and broad understanding of the principles, the tools, the models and the numerical methods of quantitative finance.

Live classes are held in London, broadcast simultaneously live over the internet, and recorded for later viewing. The majority of delegates take advantage of the distance learning options, and all students whether local or distance have access to all CQF recordings in perpetuity.

See pages 13-14 for a detailed breakdown of the CQF syllabus.

Module 1 - Exam Module 1





Module 6 - Final Project

CERTIFICATE IN QUANTITATIVE FINANCE

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Mathematics for Quantitative Finance PrimerClassroom program in London, New York and distance learningThe 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. The Primer has been designed to get people back up to speed with their mathematics, since the vast majority of CQF delegates describe themselves as mathematically “rusty” before they begin. If you are similarly rusty, do not worry, the Primer is the perfect solution.

The Mathematics Primer now also comes complete with four landmark textbooks on calculus, differential equations, probability and linear algebra, ensuring your start in the course is as solid as possible. These books are an essential component in getting a solid grasp of the fundamentals, and are included in the course at no additional cost.

Mathematics Primer Enrolment ConditionsPlease note that the Mathematics Primer is offered at no additional cost to confirmed CQF delegates i.e. delegates who have confirmed their intention to take the CQF by arranging payment for their deposit or full fees.

1. Delegates not intending to take the full CQF and just the Mathematics Primer are charged £1,595 + VAT (US$2,399 in the Americas) for this program.

2. Delegates who attend the Mathematics Primer on the basis that they are taking the CQF and later cancel their CQF training are liable for the full cost of the Mathematics Primer.

3. Delegates intending to take just the Mathematics Primer and later take the CQF will have their CQF fees discounted by the value of the Mathematics Primer.

4. Delegates paying for the CQF on a modular basis and wishing to follow the Mathematics Primer will be charged £1,595 + VAT ($2,399) prior to commencing the Mathematics Primer, but this fee will be taken from their final modular payment.

For the latest Mathematics Primer dates visit cqf.com/primer.

The program covers the following:

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

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

Calculus and Differential Equations Refresher Linear Algebra and Probability Refresher

Curtis ZubotPrevious Degree: Economics, University of Alberta

Current Position: Commodities Trader, Citigroup

Most people interested in quantitative finance are already very mathematical. Better than any course I have ever been involved in, the CQF acknowledges that people like me are not interested in expanding my mathematical background, but rather would like to learn how to apply my talents. The instructors do an excellent job of helping bridge the gap between academia and the real world. Three months after completing the CQF I was promoted from fundamentals analyst to options trader. The CQF helped me make the leap faster than I ever thought possible.

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

Analysis:• Series of Real Numbers• Convergence• Continuity• The Riemann integral and

Riemann Stieltjes• The Fundamental Theorem of Calculus• Infimum and Supremum

Probability:• Probability Distribution Function (PDF)• Cumulative Distribution• Expectation Algebra• Key Discrete and Continuous Distributions

including the Normal Distribution• Central Limit Theorem

Statistics:• General Summary Statistics• Maximum Likelihood Estimator• Hypothesis Testing• Regression and Correlation

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The practical application of the mathematics involved, together with the questions and exams means the CQF gives you a very good understanding of what is involved in modelling finance. The course is not a soft option where just attending lectures means you end up with a qualification on paper. The CQF requires a lot of study to do well but with the books provided, the quality of the lectures and the on-line support makes learning very productive and enjoyable. Many books I have seen on quantitative finance give superficial explanations, but only when you go through answering the sort of questions you are given on the CQF do you appreciate the depth of knowledge you need to do the job properly.

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Geoff Campbell-BradyPrevious Degree: PhD in Physics, University of Kent

Current Position: Contractor, Sequential Design Ltd


CQF Program ContentThe 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 get 60% or above to gain certification in that module.

Module 1

Basic Building Blocks of Finance Theory and PracticeIt will be necessary to bring all delegates up to the same technical level. Most delegates will be familiar with the contents of this first module, but any gaps in a delegate’s background will be identified. We introduce the rules of applied Itô calculus as a modelling framework. Simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations are introduced.

• Important mathematical tools and results• Taylor series• Ordinary differential equations• Probabilistic concepts

• Gaussian, Poisson, Cauchy, Binomial, etc.• Central Limit Theorem• The random behaviour of asset prices• Stochastic calculus and Itô’s Lemma

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

Module 2

Risk and Return This unit deals with the classical portfolio theory of Markowitz, the Capital Asset Pricing Model, more recent developments of these theories, also option types and strategies. We see the rudiments of option pricing principles and theory in the binomial model.

• Modern Portfolio Theory• Capital Asset Pricing Model• Value at Risk• Modelling and measuring volatility

• Financial markets and products• The binomial model for asset prices• Numerical Methods• Further Itô integration

• Martingale theory• Change of numéraire• The Radon-Nikodym derivative• Portfolio Optimization

Module 3

Equity, Currency and Commodity Derivatives The Black-Scholes theory, built on the principles of delta-hedging and no arbitrage, has been very successful and fruitful as a theoretical model and in practice. The theory and results are explained using different kinds of mathematics to make the delegate familiar with techniques in current use.

• The Black-Scholes model• Hedging and the Greeks• Option strategies• Early exercise and American options

• Elementary Monte Carlo simulations• Elementary finite-difference methods• Martingale theory for pricing• Girsanov’s Theorem

• Parallels between probabilistic and deterministic methodologies

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Module 5

Credit Products and Risk Credit risk plays an important role in current financial markets. We see the major products and examine the most important models. The modelling approaches include the structural and the reduced form, as well as copulas.

• Reduced-form model and the hazard rate• Structural default models• Credit risk and credit derivatives

• CDS pricing, market approach• Synthetic CDO pricing• Risk of default, structural and reduced form

• Copulas• Implementation of copula models

Module 4

Interest Rates and Products This module starts with a review of fixed-income products 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.

• 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

Module 6

Advanced Topics The benefits of new models will be discussed from theoretical, practical and commercial viewpoints. When pricing complex products it is necessary to be able to correctly value vanilla products. Modern models adopt frameworks that ensure that basic products are perfectly calibrated initially. The models derived in earlier parts of the course are only as good as the solution. Increasingly often the problems must be solved numerically. We explain the main numerical methods, and their practical implementation.

• Exotic options• Static hedging• Deterministic volatility and calibration• Stochastic volatility and jump diffusion• Non-probabilistic volatility models

• Correlation, problems and solutions• Hidden risks in CDOs, and solutions• Monte Carlo methods, Brownian bridge,

advanced schemes

• Quasi-Monte Carlo methods, Sobol’, and more• Finite-difference methods, multi factor,

implicit, Crank-Nicolson

Delegates will be provided with the following course reading material:

• Schaum’s Outline of Calculus (E. Mendelson and F. Ayres)• Schaum’s Outline of Differential Equations (R. Bronson)• Schaum’s Outline of Probability, Random Variables, and Random Processes (H. Hsu)• Schaum’s Outline of Linear Algebra (S. Lipschutz and M. Lipson)• Paul Wilmott Introduces Quantitative Finance (P. Wilmott)• Paul Wilmott On Quantitative Finance (P. Wilmott)• Advanced Modelling in Finance Using Excel and VBA (M. Jackson and M. Staunton)• The Complete Guide to Option Pricing Formulas (E.G. Haug)• Derivatives: Models on Models (E.G. Haug)• Monte Carlo Methods in Finance (P. Jäckel)• Frequently Asked Questions in Quantitative Finance (P. Wilmott)• Structured Credit Products: Credit Derivatives and Synthetic Securistisation (M. Choudhry)• 1 year’s subscription to Wilmott magazine• 1 year’s subscription to Wilmott journal

Course Reading

CQF Program Content

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Examination and AssessmentExamination AssessmentThe Certificate in Quantitative Finance is awarded to delegates based on their performance in the compulsory module examinations and the final project. There are three main areas of assessment:

1. Weekly ExercisesDelegates are provided with exercises following the first four sessions of each module. The exercises test the information covered during the respective session and can be in the form of mathematical computations, mini essays or spreadsheet exercises. The exercises are optional and allow each delegate to determine if they have understood the concepts taught. If delegates experience problems with a certain area, a one-to-one tutorial can be arranged.

2. Module ExaminationThe objective of the exam is to ensure delegates have a full understanding of the principles taught and their applications. Examinations are issued for the first five modules, following the last session of each module. Each exam is a one-week take-home exam explicitly for the purposes of practical application rather than academic exam-taking. Delegates must receive a mark of 60% or greater to pass the module.

3. ProjectAll 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.

Final Examination/DistinctionsThe final three-hour examination is optional and takes place in exam centers worldwide. Delegates who score 80% or above receive a distinction.

Wilmott Prize for ExcellenceFrom each class, one delegate will receive the “Wilmott Prize for Excellence”. The award will be made to the delegate attaining the highest score in the final examination.

Publication of ResultsEach program’s results are listed in the following publications:

• The Economist (global edition)

• Wilmott magazine

The CQF course is unique in that it is very practical and tailored to the needs of busy practitioners. The course provides a highly structured way to learn all the mathematics needed to understand quantitative finance, apply it to practical problems and situations and to make a career in one of a number of aspects of the complex world of derivatives.

“Peter Sime, CQF Delegate, Jan 03 ”

CQF Accreditations

PRMIA Exemptions The Education and Standards Committee of PRMIA (Professional Risk Managers International Association) has granted all CQF holders exemptions to the PRM qualification for:

• Exam I – Finance Theory, Financial Instruments and Markets• Exam II – Mathematical Foundations of Risk Measurement

In order to receive the PRM qualification, delegates obtaining the CQF are required to complete a cross-over exam encompassing:

• Exam III – Risk Management Practices • Exam IV – Case Studies and PRMIA Standards of Best Practice, Conduct and Ethics, Bylaws

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)

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CQF Alumni

CQF Alumni DirectoryThe online directory enables you to stay in touch with classmates and locate new business-related contacts.

Continuing EducationContinuing education is paramount in the world of mathematical finance. To ensure CQF alumni are supported after they have obtained their qualification, additional regular classes are delivered on both technical and topical issues. These classes are delivered by the CQF faculty in addition to world-class practitioners including:

• Professor Bill Ziemba

• Nassim Nicholas Taleb

• Pat Hagan

• Professor Wim Schoutens

• Henriette Prast

• Philippe Henrotte

• Aaron Brown

• Nasir Afaf

• Iris Mack

• and many more…

All classes can be attended in the classroom and live or recorded via the alumni website as part of the CQF continuing-education program.

The CQF is unique in allowing delegates permanent, unrestricted access to their CQF lectures along with current and future “Extras”, such as Lifelong Learning, Masterclasses, etc. This means that alumni can maintain and further their professional development, keeping their knowledge and skills at the forefront of the field, at no additional cost.

The CQF library is constantly being updated and added to. Additional classes and resources are stored in this single place, allowing delegates and alumni to track and enhance their knowledge base.

CQF Alumni NewsletterThe CQF alumni newsletter Quant Bites keeps you up-to-date with what is happening in the CQF alumni community and will inform you of related courses and events.

The CQF alumni community is continually expanding as a network of friends and contacts all over the world. The current network consists of over 1600 alumni, an exclusive global community of quantitative practitioners. We invest in the future of the network through a range of events, publications, a directory and a dedicated website. As a CQF alumnus, and even before you complete the CQF, you will become part of an active community, attending social and educational events.

Various resources are available exclusively to help CQF alumni and these are all located on the alumni website (cqfalumni.com), which you will have automatic access to when you join the CQF.

One of the most useful and rewarding experiences is continued access to course material, additional topical seminars and other reference materials. This provides the means to stay current and review old topics as and when necessary.

“”Kashif Rashid, CQF Delegate, Jan 07

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Lifelong Learning for CQF AlumniOur additional lectures, classes, workshops and programing modules are more than three times the size of the core CQF, and when you sign on to the course, all of it is yours, at no extra cost, in perpetuity. Lifelong Learning is the biggest component of these Extras; a library of over 200 hours of lectures on every conceivable finance subset. Delivered by some of the most eminent practitioners and academics, the content is ever expanding, as additional lectures continually take place. Below is a small selection of the Lifelong Learning lectures.

Mathematics The Mathematics of American Options Riaz Ahmad Can You Feel the Heat? Inverse Problems in Finance Andreas Binder Fundamentals of Optimization Sebastien Lleo Can You Count on Your Correlation Matrix? Nicholas J Higham Singular Perturbation Problems Arising in Mathematical Finance Peter Duck

Statistics Financial Modelling using GARCH Processes Kyriakos Chourdakis

Numerical Methods Monte Carlo Simulation and Early Exercise Paul Wilmott VBA Workshop Mike Staunton An Introduction to Spreadsheet Risk Grenville Croll Software Issues in Wavelet Analysis of Financial Data Robert Tong

Equity Exotic Options Paul Wilmott The “Non-Greek” Non-Foundation of Derivative Pricing Elie Ayache How to Hedge: Which Free Lunch Would You like Today, Sir? Paul Wilmott Equity-to-Credit: the Death of the Implied Volatility Philippe Henrotte Volatility Forecasting, Option Trading and Crash Metrics Paul Wilmott Convertible Bonds Paul Wilmott

Fixed Income Advanced BGM Peter Jäckel Managing Smile Risk Patrick Hagan Fixed Income Modelling Claudio Albanese

Portfolio Management Beyond Black-Litterman Attilio Meucci

Credit Jumps in Credit Risk Modelling Wim Schoutens Pricing of CDOs using Levy Copulas Wim Schoutens Copulas: Applications to the Pricing of Credit Derivatives Sebastien Lleo Credit Modelling: A Structural Model for Credit-equity Claudio Albanese Derivatives and Bespoke CDOs Recent Developments in Credit Risk Wim Schoutens

Risk Management Infinite Variance: Who Cares about Variance? Nassim Nicholas Taleb There is No Way to Run an Economy Aaron Brown Scenarios and Risk Control for Hedge Funds Bill Ziemba Volatility in Disguise: How to add Pricing Libraries for Short Andreas Binder Rate Models into a VaR System Understanding the Financial Markets in the Subprime Era Bill Ziemba Classic Quant Mistakes Paul Wilmott

Trading The Scandal of Prediction Nassim Nicholas Taleb The Market Price of Interest Rate Risk Paul Wilmott Trading Derivatives: Real Markets, Real Model, Real Smiles Nasir Afaf

Other Quant Day Numerical Algorithms Group

Programming What the Spreadsheet Said to the Database Brian Sentance The New C++ Standard Roger Orr Live Models Cristian Alzati

For the full list of Lifelong Learning lectures visit cqf.com/extras.

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Alumni Masterclasses

Volatility, Advanced Modelling with PC Workshops This course takes a critical look at the most important unknown in derivatives pricing: volatility. The main modelling approaches are all presented, along with their advantages and disadvantages. Concepts are studied from both a scientific and a practical point of view with the goal being to give the delegates the deepest possible understanding of the significance of their choice of model.

Tutor: Paul Wilmott

Duration: 2 days, recordings are separated into 8 sessions

VG Modelling: Pricing Financial Derivatives in Equity and Credit RiskThis course provides an introduction to the use of the Variance Gamma (VG) based models for equity and credit risk. The course takes 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.Starting from the analysis of data, we build up models driven by the nowadays popular VG Lévy processes that incorporate stylized features like jumps and stochastic volatility.

Tutor: Wim Schoutens


Exotic Equity Derivatives, Pricing and Hedging Exotic Equity Options, Pricing and Hedging is 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. We examine the mathematical modelling and the numerical aspects, as well as choice of model and dynamic and static hedging. Many real-life term sheets will be analysed.

Tutor: Paul Wilmott


Behavioral Science In Finance: Phenomena, Diagnosis, TherapyThis one day course will give an overview of the latest research in behavioral economics and discuss its implications for market participants. It will challenge the view that individuals take rational decisions provided that they have access to full information.

Tutor: Henriette Prast

Duration: 1 day, recordings are separated into 4 sessions

Operator Methods in Fixed Income and CreditOperator methods are an emerging framework for modelling financial derivatives. 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.

Tutor: Claudio Albanese


Intraday High-Frequency Trading: From Empirical Evidence to Quantitative OptimizationThis course covers factors that affect intraday trading, how to capture intraday statistical invariants, and how to understand and implement quantitative formalization of intraday trading.

Tutor: Charles-Albert Lehalle

Duration: 1 day, recordings are separated into 4 sessions

For the full list of Masterclasses visit cqf.com/masterclasses.

Continue to learn, and delve deeper into specific subjects, with the CQF’s Masterclasses.

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Trading SimulatorThe CQF Trading Simulator fully backs up the lecture and workshop lessons so that delegates can try out new ideas in a realistic setting, incorporating real-time events based on live data from the ever-fluctuating marketplace. The solution is easy to access as it is internet-based and will run in your browser.

Core features:Equity, FX, Money Markets, Fixed Income:

The simulator is based on a repertoire of authentic scenarios which track price changes across a range of asset classes.

Instructor-generated scenarios:

Scenarios can be comprised of historical data, random walks or 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 or run a scenario by themselves.

In-depth reporting:

The simulation’s reporting package tracks trade results, including compliance with exposure limits, trading volume, frequency, profit, etc.

For more information about the CQF Trading Simulator, simply go to cqf.com/simulator.

As a practitioner financial risk manager, the CQF’s unique approach has helped sharpen my understanding of the interplay between valuation and risk management issues in today’s challenging market environment. What I found most challenging and yet most enjoyable (counter-intuitive as it may sound!) was the level and sophistication of the mathematics – which were second to none. The lectures were delivered by very knowledgeable professionals on top of their game in their respective areas of specialization. Quant finance practitioners who have not yet woken up to the fact of the CQF do not know what they are missing.

“”


Khafetsa TlaliPrevious Degrees: MCom in Economics and Business Mathematics, Potchefstroom University

Current Position: Confidential

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Practical Computational Finance in C++

C++ in financeThe 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.

Goals of the syllabusBy 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++, the 28 sessions will cover both the principles and practicalities of producing robust code in a quant finance environment. You will learn not only the theory of design, but also specific details of implementing hardcore techniques in financial mathematics, as well as connecting your software to applications such as Excel. 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.

Mathematical finance in C++You will learn the techniques necessary to convert pricing models into the algorithmic form suitable for coding in C++. A wide variety of numerical schemes used in quantitative finance will be used for examples.

Extending the CQFC++ is critical to a role as a modern quant in a top-tier investment bank, so as part of the continual improvement of the CQF program we are including the entire Computational Finance series as a self-contained subset of the recorded alumni classes. CQF delegates who want to take this syllabus are advised to do so after they have completed the CQF, or in parallel with the CQF after discussion with a Course Director.

Want to learn C++ programming but have no experience? Or just want to brush up or take your skills to the next level? This course features more than 70 hours of tuition across 28 sessions.

The C++ course taught me how to implement important quantitative techniques.Turning the formulas into C++ code really gave me a solid understanding of the concepts.“ Christopher Grune, CQF Delegate, June 04 ”

For the full C++ course contents visit cqf.com/programming.

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Java and Xenomorph Time Series Workshop

JavaIn addition to the primary quantitative programming skill of C++, there has been an increasing use of Java as a programming language within the quantitative finance community, particularly when building interactive web sites to price exotic products.

To provide for this trend, as well as offering an entire syllabus to cover C++, the CQF program also provides an introductory Java course specifically designed for quants. In seven interactive lessons, each lasting about one hour, you will be taken from a basic “Hello Quant World” program all the way through to a Black-Scholes charting GUI calculator, which prices call and put options and which creates optional windows with zoomable payoff diagrams.

The topics covered include everything you will need to understand the basic framework of how Java works, concentrating upon Java objects and classes; object inheritance; interfaces; arrays and ArrayLists; Swing GUIs; and JAR libraries, plus much more along the way, before moving on to make use of Java’s financial capabilities in its various mathematical libraries.

The technologies covered include the Java SE Development Kit, the NetBeans integrated development environment (IDE), and the JFreeChart Library.

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

Xenomorph Time Series Workshop In order to effectively apply financial theory it is important to understand market data, its characteristics and the practical problems it presents. After a discussion on market data and how it can be manipulated, econometrics and technical analysis methods are touched upon, before looking at the practical issues of calculating volatility and correlation from historical data on a daily and intraday basis. The statistics used in algorithmic trading and spread trading are also outlined. Finally, time series analysis is extended to more complex data such as volatility surfaces and the behavioral finance aspects of time series analysis to news are illustrated and discussed.

Paolo PiacentiniPrevious Degree: BSc Computer Science, University of Milan, Italy

Current Position: Confidential

The CQF content is superbly comprised and extremely captivating. The team of instructors is composed of top professionals in the industry. You really notice and appreciate it when they eleborate and explain the hidden subtleties of the models, hardly visible at first but encountered day by day, in real operations. Pure academics do not often have such experience. If you have a Masters or PhD, the CQF is the perfect vehicle for entering into the realm of mathematical modelling for quantitative finance.

“”


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Certificate in Mathematical Methods (CM2)

The CM2 is designed to follow the course structure of the first two years of a university mathematics degree, giving delegates the same formal mathematical training they would receive in a university program while stillemphasizing practical over theoretical application. Topics covered during the course include: Numerical Analysis, Functions of a Complex Variable,

Linear and Nonlinear Differential Equations, Partial Differential Equations, Integral Equations, Perturbation Methods and Transform Methods.Delegates wishing to gain certification for the CM2 will pay a £2,950/$6,000 examination fee, however the lectures will be included as part of the CQF course of study for no extra tuition fee.

For more information on the CM2, go to cqf.com/cm2.

Advanced Calculus

• Complex numbers• Vector algebra• Matrix algebra• Ordinary differential equations• Infinite series • Functions• Calculus for several variables• Vector calculus

Linear Algebra

• Linear equations• Vector spaces• Linear mappings• Eigenvalues and eigenvectors• Gram-Schmitdt process

Introduction to Probability

• Introduction• Random Variables• Continuous random variables• Multivariate Random Variables

Numerical Analysis I

• Errors• Roots of equations• Interpolation• Numerical Linear Algebra• Integration• Differential equations

Complex Variables

• Basic Properties• Elementary functions• Complex Differentiation• Complex Integration• Infinite Series• The Theory of Residues• Zeroes of polynomials• Conformal Mapping

Differential Equations

• Fourier series• Variation of parameters• Linear ordinary differential equations• Non-linear ordinary differential equations

Mathematical Methods

• Elliptic Equations and related methods• Mathematics of Hyperbolic Equations

Advanced Mathematical Methods

• Asymptotic expansions of integrals• Non-linear ordinary differential equations• Integral Equations & Boundary-Value

Problems.• Perturbation Methods

Transform Methods

• Laplace and Fourier transforms• Applications

Numerical Analysis II - Finite Difference Methods

• Parabolic equations • Hyperbolic equations• Elliptic Equations

The motivating factor for designing the CM2 has been the overwhelming interest developed by past 7city delegates for acquiring greater knowledge of the classical branches of mathematical methods, which have a wide range of ‘real-world’ applications.“ ”Paul Shaw, Course Founder

Course Syllabus

The CM2 is a standalone course that has a retail value of £9,950/$16,999, but in a new development for 2011 is now included in the CQF for no additional charge. It is now offered to all alumni as additional, non-required material.

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CQF FacultyWorld-renowned practitioners and respected academics

Riaz Ahmad Dr 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).

Alice Auld Dr Alice Auld studied mathematics at Cambridge University, obtaining an MA, followed by an MSc in Pure Mathematics at UMIST (Manchester) and a PhD in Lie Algebra from Manchester University. She has lectured at Manchester Metropolitan University and taught first-and second-year degree mathematics at the London School of Economics where she was also an external examiner. Her main areas of mathematical interest are probability and pure mathematics, including algebra, calculus and trigonometry.

Moorad Choudhry Moorad Choudhry is Head of Treasury at Europe Arab Bank in London. He previously worked as Head of Treasury at KBC Financial Products and also worked as a gilt-edged market maker and sterling bond trader with ABN AMRO Hoard Govett Sterling Bonds Limited and Hambros Bank Limited, and in structured finance services with JPMorgan Chase Bank. He began his City career at the London Stock Exchange in 1989. Moorad is a Visiting Professor at the Department of Economics, London Metropolitan University; a Visiting Research Fellow at the ICMA Centre, University of Reading; a Senior Fellow at the Centre for Mathematical Trading and Finance, Cass Business School; and a Fellow of the Securities and Investment Institute.

Dominic Connor Dominic Connor has been programming in C and C++ since the 1980s when he graduated from Queen Mary’s College, London. He has built trading systems for bond and equity markets, secure networks for the British government, reviewed C++ and compilers for PC Magazine, and debugged operating systems for IBM and Microsoft. At some point he has written code for every major environment including Windows, OS/2, Reuters, Bloomberg, VMS, AS/400, DOS, VM and Unix.

Rad Dimitric Dr Rad Dimitric is an active research mathematician who publishes and teaches in several fields of mathematics, such as financial engineering, logic, algebra, history and the pedagogy of mathematics. He has taught several thousand students and undertaken research in Belgrade, Berkeley, Dublin, Exeter, Pittsburgh and Stanford. He has completed the first in a four volume series in mathematics for financial engineering. His presumably non-mathematical work encompasses, painting, short story writing, translations to and from foreign languages, a cappella singing and more. Dr Dimitric is a CQF course co-director.

Andy Duncan Andy has a first class BSc honours degree in Psychology from the University of Sheffield in 1991, where he gained a particular interest in cognitive science, neuro-linguistic programming, the economics of human action, and artificial intelligence, basing his work mainly upon neural networks written with the C programming language. Using this knowledge, Andy later developed a varied consultancy career specialising in finance-based information technology, particularly in the field of derivatives pricing and trading systems, with long-term investment banking clients such as UBS and JP Morgan, particularly with the C++ and Java programming languages.

Neil Graham Neil Graham joined Barclays International in 1985 initially in the foreign exchange, money markets and derivatives operations areas before moving to the trading room in 1991. Here, his roles included both inter-bank and sales positions in spot and forward FX, money markets and treasury derivatives. After leaving Barclays in 1995, Neil became a local on the London International Financial Futures and Options Exchange (LIFFE) trading own account positions in interest rate, bond and equity derivatives. During his time on LIFFE, Neil also provided training to hedge-fund staff in FX and derivatives before moving to full-time training in 1997. At 7city, Neil is Head of Financial Product Training, designing and delivering a range of product courses for investment houses, data agencies and software houses in the US, UK and Europe (Scandinavia, mainland Europe and Eastern Europe).

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

Mike StauntonPaul Wilmott Espen Gaarder Haug Peter Jäckel

These books, and many more, are included in your course materials.

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Espen Gaarder Haug

These books, and many more, are included in your course materials.

Paul Wilmott Moorad Choudhry Paul Wilmott

Espen Haug Dr Espen Gaarder Haug has worked in derivatives trading and research for more than 15 years. He worked as a proprietary option trader at JPMorgan in New York, and as an option trader for two multi-billion dollar hedge funds, Amaranth and Paloma Partners. Before that, he worked for Tempus Financial Engineering, and as an option market maker in Chase Manhattan Bank (now JPMorgan Chase) and Den norske Bank. He has been involved in almost every option market, including equity, currency, fixed income, energy and commodities. Espen has a PhD from the Norwegian University of Science and Technology, and has published extensively in academic and industry journals such as: Quantitative Finance, International Journal of Theoretical and Applied Finance and Wilmott magazine. He is also a popular lecturer on option pricing, hedging and risk management

Peter Jäckel Peter Jäckel is the founder and Managing Director of OTC Analytics. He received his DPhil in Physics from Oxford University in 1995. After a period in academic research, he migrated into quantitative analysis and financial modelling in 1997, when he joined Nikko Securities. When Nikko closed down its European operations in 1998, he changed to NatWest, which later became part of the Royal Bank of Scotland group. In 2000, he moved to Commerzbank Securities’ product development group, and headed up the team jointly with a co-head from 2003. From September 2004 to May 2008, he was with ABN AMRO as Global Head of Credit, Hybrid, Inflation, and Commodity Derivative Analytics. Peter is the author of the book Monte Carlo Methods in Finance (2002) and a series of articles on financial mathematics and derivatives models.

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

Alonso PeñaDr Alonso Peña works as a quantitative analyst in the Structured Products group for Thomson Reuters plc. He holds a PhD degree from the University of Cambridge (finite element analysis) and is a CQF alumnus. His area of expertise is the pricing of financial derivatives, in particular structured products. He has publications in the fields of quantitative finance, applied mathematics, neuroscience and the history of science. He is currently Honorary Visiting Senior Research Fellow at the University of Cambridge (2006-2009) and in the Teaching Staff of the Mathematical Institute at the University of Oxford. Alonso has recently been appointed Adjunct Professor at the SDA Bocconi Business School in Milan.

Mike Staunton Dr Mike Staunton is a visiting lecturer in Numerical Methods at Cass Business School in London. He has taught spreadsheet modelling to executives and graduate students since 1985, including for many years an annual program on Equity Portfolio Management in Geneva. He is the co-author, along with Mary Jackson, of Advanced Modelling in Finance using Excel and VBA, published by John Wiley in 2001. He is also Director of the London Share Price Database at London Business School and, together with Elroy Dimson and Paul Marsh, has written Triumph of the Optimists: 101 Years of Global Investment Returns, published by Princeton University Press in 2002.

Paul Wilmott Dr Paul Wilmott is internationally renowned as a leading expert on quantitative finance. His research work is extensive, with more than 100 articles in leading mathematical and finance journals, as well as several internationally acclaimed books on mathematical modelling and derivatives, including the best-selling Paul Wilmott On Quantitative Finance, published by John Wiley & Sons. Paul has extensive consulting experience in quantitative finance with leading US and European financial institutions. He has founded a volatility arbitrage hedge fund and a university degree course. Paul has lectured at all levels, to students and to practitioners.

Si Yi Zhou Before joining 7city CQF faculty Si Yi Zhou worked as a risk analyst in a consulting firm to provide constructive solutions to banks and insurance companies. He has worked on many projects with leading financial institutions and academics to solve practical issues in the financial markets. In particular he is experienced in credit derivative pricing, portfolio credit risk and correlation analysis.

CQF alumni are invited to work with Course Directors on a range of research projects following the completion of their program.

CQF Faculty

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Entry RequirementsGeneral requirementsEach delegate who is accepted on the course has a high level of intellectual curiosity, a strong interest in finance, and strong analytical skills.

Although there is no specific degree requirement, most delegates will have backgrounds in quantitative disciplines such as mathematics, statistics, the physical sciences, engineering, operations research, computer science, finance, or economics.

Master of Business Administration delegates should also have familiarity with calculus, spreadsheets and computational problem solving.

Mathematics requirementsThe CQF requires a certain minimum level of mathematics. This is the key criteria in determining whether delegates will successfully complete the course.

To ensure delegates have the necessary mathematics to enrol onto theCQF we require each applicant to complete a pre-course mathematics test. This evaluation will highlight the level of mathematics required at the start of the program.

Many delegates starting the CQF do so believing that their mathematics is rusty. As part of our offering for the CQF we include the Mathematics Primer for delegates who want a structured approach to bringing their numerical skills up to speed. In addition we can recommend appropriate text books to refresh their abilities.

IT requirementsThe program is very practical and some classes require delegates to use Excel and VBA. Therefore all delegates should be familiar with Excel or a similar spreadsheet package before joining the program. Delegates attending the classroom program will require a lap-top computer.

Delegates will not require prior experience in VBA as this will be introduced at the start of the course and supporting workshops will be provided during the first half of the program.

• Information Sessions around the world

• View our sample lectures online

• Pre-course mathematics test to evaluate mathematics level

• A Mathematics Primer to help those feeling “rusty”

• Talk to our alumni and discuss their CQF experience

• Contact us to discuss your eligibility

Key Facts

For more information on entry requirements, pre-application steps and how to apply, simply go to cqf.com/apply.

Daniel HawkinsPrevious Degree: MSci Theoretical Physics, University of Durham

Current Position: Head of Equity Derivatives Strategy, Nomura Europe

In my opinion, the CQF is a well-tailored, mathematically based course which looks to cover broad areas of the quantitative finance spectrum, beginning with the basic framework across asset classes and expanding them into complex ideas and strategies in a very approachable manner, incorporating some of the more recent areas of interest in finance (for example, the CDO market in the credit arena). The course is deliberately given a practical slant, incorporating modelling in Excel/VBA, which gives a hands-on approach for students to allow an understanding of mathematical theories outside the textbooks.

One of the main strengths is the flexibility of the course, being geared towards individuals with time-consuming careers, allowing live remote access to courses and the opportunity to watch the recorded lectures at a later date. This allowed me to catch up on any missed lectures, as well as clarify certain areas where my notes were left somewhat wanting!

“

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Pre-Application Tips

Tip 1 Information Sessions: Potential applicants should try to attend or watch a recording of an Information Session. These are held all over the world and provide a very good opportunity to obtain an overview of the course format, content, and delivery. In addition delegates can meet some of the course faculty and we invite alumni to each of the events. Check out our upcoming information sessions, or watch a pre-recorded session now.

Tip 2 Past Classes: Feel free to view snippets of the following classes:

• Visual Basic

• Monte Carlo Simulations

• Differential Equations

• Numerical Methods

• and many more.

These classes highlight the style of teaching and content delivered throughout the course.

Tip 3 Pre-Course Mathematics Test: this test serves both as part of the admissions procedure and as a very useful tool for potential applicants to judge their mathematics background against the level of mathematics required at the start of the course. It is available on request at [email protected]. All delegates have to complete the test before starting the program.

However, we recognise that many delegates have not formally studied mathematics for a significant period of time and there is an element of “rustiness” with most applicants. The key indicator for potential applicants is the recognition factor and providing there is sufficient time, the CQF faculty can support those delegates who recognise the subjects tested but need to go back to basics in order to complete the paper.

Tip 4 Mathematics Primer: The Mathematics Primer was designed for those delegates requiring a structured approach to refreshing their basic mathematics knowledge, prior to commencing the full CQF program. The course is delivered before the start of each CQF program. However delegates can commence the Primer at any time since the course notes and classes can be accessed online and are fully supported by the Course Directors.

The Primer is delivered via 15 hours of intensive lectures and covers the following subjects:

• Calculus

• Linear Algebra

• Probability

• Differential Equations

• Analysis

• Statistics

Tip 5

Additional Reading: Some delegates can prepare via their university notes. However for delegates who require additional guidance a copy of our CQF Learning Pathway (syllabus) is available on request at [email protected]. This includes a full course reading list which highlights the books recommended for additional mathematics support.

Tip 6Past Delegates: This is considered the most important and valuable step. Past delegates are able to relate the course to their technical experience and provide a realistic insight into the commitment and level of knowledge required to complete the program. They can also discuss the practical applications of the program and the benefits accrued in the workplace following the course. Potential applicants can request contact details for alumni at [email protected], with specific alumni from the following categories:

• Industry sector

• Academic background

• Geographical region.

Tip 7Finally, all potential applicants are advised to contact a member of the CQF team to discuss their individual situation and whether they are appropriate for the course.

The CQF is a mathematical finance program and we want to make sure that, should you be accepted on to the course, you will be comfortable with the level of analysis and academic rigour associated with the program. Additionally, we also want to give you feedback as to whether the course is suitable for you or not. The combination of these factors means that it is crucial for potential applicants to obtain as much insight and feedback into the program as possible. We have listed a series of pre-application tips that we strongly advise all delegates follow before submitting an application.

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How to Apply and Course DatesWe 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. Please read the entry requirements and pre-application steps on pages 24-25 before applying for the course.

We operate a rolling admissions system, so early application is strongly advised due to the restricted number of delegates allowed on each program.

Mathematics PrimerThe Mathematics Primer is held in New York and London 4-6 weeks prior to the commencement of each CQF course. For more information about dates and times, check out cqf.com/primer. You can also take the Mathematics Primer prior to the start of the CQF online.

CQF CourseThe January 2011 course will commence on 12th January and the June course will commence on 29th June. However these dates are subject to change, so for the latest course dates, module schedules and class times, go to cqf.com and search under ‘Apply’.

Course Dates

Apply online at cqf.com/apply, 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 three business days indicating whether you have been granted preliminary acceptance onto the course, and the time-scale within which you must make your decision on the offer. We might also invite you to be interviewed over the phone with a Course Director.

You will then be required to fill out a short enrolment form, accepting your place on the CQF. As part of completing this enrolment form, you will be required to pay a non-refundable deposit of £900 (US$1,750 in the Americas) which will entitle you to reserve a place on the program and get access to preliminary course materials and lectures, including the Mathematics Primer.

You will also be required to complete a mathematics test before the course begins. This test will not determine whether you get onto the course (your academic and professional experience will determine this), but simply indicate to us what areas of mathematics are your strongest and weakest. You may complete this test up to one week after taking the Mathematics Primer.

Once you pay the balance of the course (if you are paying up-front) or for the first module (if you are paying on a modular basis), you will be able to take your place once the course commences.

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John HurleyPrevious Degrees: BS, MA and PhD in Mathematics, State University of New York

Current Position: Security Policy Architect, major computer hardware manufacturer

The CQF is to my mind the most cost-effective program available for quantitative finance. The materials and lectures are well done, and the authors of the definitive works in particular areas of finance are also instructors for the course. The topics covered spanned a useful subset of the finance industry, and being able to continue studying the materials even after the course ends is a tremendous bonus.“ ”


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Fees and Financing‘Upfront’ Fees

The full fee is normally paid before the program commences.

‘Per Module’ Fees

Alternatively you can also choose to pay the fee on a ‘per module’ basis on the condition that the fee is paid prior to the commencement of each module.

These fees cover the CQF program for 2011 including costs of registration, course reading material, tuition, examination, the Mathematics Primer, the core CQF, C++ and Java programming courses, Masterclasses, Lifelong Learning, membership to CQF alumni and access to recordings of all mentioned classes in perpetuity.

*VAT (at the prevailing rate) will be charged to UK and EU residents.

Enrolment conditions

Approved delegates will be required to pay a non-refundable depositof £900* (US$1,750 in the Americas) which will entitle them to:

• reserve a place on the next CQF program

• receive preliminary reading material (four Schaum textbooks associated with the Mathematics Primer)

• access recorded Mathematics Primer lectures and associated material on request**

• join a live (classroom or distance) Mathematics Primer prior to commencing the CQF on request**. The remainder of your course fees will be due in advance of the course start date.

** Please note that the Mathematics Primer is offered at no additional cost to confirmed CQF delegates, i.e. delegates who have confirmed their intention to take the CQF by arranging payment for their deposit or full fees. Please refer to page 12 for Mathematics Primer enrolment conditions.

If cancellations of confirmed bookings are received in writing more than 30 days before the start date we will retain your non-refundable deposit and the cost of the Mathematics Primer and return the balance of your fees. Cancellations of confirmed bookings are subject to a refund of 50% if notification is provided within 30 days before the start date; no refund is applicable if notification of cancellation is within 15 days before the start date or non-attendance. Delegates will receive course reading material on receipt of a completed course enrolment form.

Financing and ScholarshipsA number of scholarships are available to assist with the support of tuition fees for select delegates. cqf.com has more information about these scholarships, such as how to apply for them and the varyingqualifying parameters involved.

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.

Wilmott ScholarshipFor those who are unemployed, full-time students or living in a developing country on a low income, the Wilmott Scholarship covers 35% of the tuition fees.

Pacific American ScholarshipA scholarship exists for those who are of Pacific American descent andare unemployed. Recipients of this program will have 50% of the total CQF tuition covered.

How do I apply?Please contact the admissions office to request your Scholarship Application Form at [email protected].

As part of the application procedure you will need to include an up-to-date resume which briefly summarises your work experience and academic history.

CQF Classroom Learning £11,950*

CQF Distance Learning £ 10,950* $17,950

Course Fee* UK and rest of the

world in £

Course Fee for North and South America in US$

Course options

Modular payment option £2,150* classroom learning Total of £12,900* for the 6 modules

Modular payment option £1,990* distance learning Total of £11,940* for the 6 modules

Course Fee* UK and rest of the

world in £

Course Fee for North and South America in US$

Course options

US $3,550Total of US $21,300for the 6 modules

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About 7city Learning

Training Competencies

Passion…Innovation. Professionalism. Intellect.

Since our inception in 2000, 7city has become a trusted training provider to financial institutions around the globe. At our training centers in London, New York and Singapore and via our cutting-edge virtual learning portals, we are proud to work with over 20,000 students each year.

Our leading edge of training solutions includes preparation for regulatory licenses and professional qualifications, introductory training for financial instruments or graduate programs, as well as uniquely tailored benchmark certificates. The CQF is 7city’s flagship course.

Our designation of The Sunday Times Virgin Atlantic Fast Track status in 2005, 2006, 2007 and 2008 along with our World of Learning and Distance Learning Awards speak to our innovative techniques, technology and custom-fit methodologies.

GLOBAL EXAM TRAINING NON-EXAM TRAINING

BENCHMARK QUALIFICATIONS

PROFESSIONAL QUALIFICATIONS

FINANCIAL TRAINING MANAGEMENT & PERSONALDEVELOPMENT TRAINING

• FINRA REGULATORY LICENSING • IMC (UK Only)• IFQ (UK Only)• ACOR/AGSO (UK Only)• IAQ (UK Only)• SII LEVEL 3 CERTIFICATES

(UK Only)

• CFA• CAIA• CQF• SII DIPLOMA (UK Only)• ACCA (UK Only)• CIMA (UK Only)

• LEADERSHIP & MANAGEMENT DEVELOPMENT

• PERSONAL DEVELOPMENT TRAINING

• GENERAL FINANCE • CORPORATE FINANCE• DERIVATIVES• EQUITIES• FINANCIAL MATHEMATICS• FINANCIAL STATEMENT ANALYSIS• FIXED INCOME• INVESTMENT MANAGEMENT• SIMULATIONS• AND MORE…

GRADUTES AND INTERNS DEVELOPMENT

Should your company require any training or development needs simply get in touch with one of our Client Relationship Managers:

EMEAT: +44 (0) 845 072 7620 E: [email protected]

USAT: +011 1 646 943 6200 E: [email protected]

Asia PacificT: +65 6327 1581 E: [email protected]

7city.com

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Frequently Asked QuestionsWho should 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 you have passed your exams and completed the project there is a huge range of “Extras”’ to learn from and enjoy.

What happens if a delegate fails 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 inter-dependent program. It is not possible to take individual modules independent of the program.

Can I get help with funding?We offer the Thomson Reuters, Wilmott and Pacific American Foundation 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.

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 12) 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/apply, 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 endeavour to make a decision within three business days of a complete application being received.

When do I need to submit the mathematics test?We advise all delegates to first complete the application form 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.

What equipment do I need to view the webcast?To view the webcast live or recorded, you will need a computer with a sound card and a speaker. You will also need broadband internet access.

Can I sample a webcast?Absolutely. Go to cqf.com, and select ‘Webcasts’ under ‘Program’.

How long will I have access to the recorded lectures?Delegates have access to the recorded lectures in perpetuity.

What happens if a delegate is unable to complete the CQF 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). Delegates who defer their completion of the CQF program (classroom and distance learners) complete their training using the distance learning tools available including live webcast, recorded lectures and access to all relevant material online. Delegates have up to three years to complete the course.

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• Fastest-growing and largest quantitative finance program in the world

• Six-month part-time program

• Classroom or distance learning

• All classroom sessions are recorded so delegates have the option of studying in their own time

• All modules are supported by programming workshops

• Delivered every six months by leading academics and practitioners

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

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

• Includes additional lectures in C++ for financial programming, Mathematics Primer, Lifelong Learning, CQF alumni membership, all materials and books, and access to recordings in perpetuity

• CQF Information Sessions are held regularly in all major financial centers of the world

• Flexibility - delegates can defer their progress through the course for no charge

The Certificate in Quantitative Finance (CQF)

The best way to find out more about the CQF is to attend one of our Information Sessions, where you can meet the CQF team to discuss all details of the course. You will also be able to chat to alumni and gauge their feedback as to what the CQF did for them and their careers.

We regularly hold these sessions right around the world, so book your place early as some venues get booked out. Location, dates and even an online version of an information session can be viewed at cqf.com/infosession. All information sessions start at 6.30pm.

Check out the all-new cqf.com for further details about the program:

• Informational videos

• Latest Information Sessions

• Webcasts and demos of our online learning tools

• Latest news and events

• Media releases

cqf.com

Global Information Sessions

7city Learning


London Training Centre: 7city Learning , 4 Chiswell Street, London EC1Y 4UPTel +44 (0)845 072 7620 Fax +44 (0)20 7496 8607

New York Training Center: 7city Learning , 55 Broad Street, 3rd floor, New York, NY 10004Tel + 1 (800) 974-0394 Fax + 1 (212) 480-2974

Singapore Training Centre: 7city Learning , 3 Raffles Place, 07-01 Bharat Building, Singapore 048617Tel +65 6329 9646 Fax +65 6329 9699

CERTIFICATE IN

FINANCE

CQFEngineered for the Financial Markets

CQF Brochure 2011

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