CQF Schedule - January 2014 Cohort

Date Day Laptop required Notes Title Lecturer

Module 1

14th January Tuesday YES The Random Behaviour of Assets Paul Wilmott

16th January Thursday PDE’s and Transition Density Functions Riaz Ahmad

21st January Tuesday YES Applied Stochastic Calculus Riaz Ahmad

23rd January Thursday Products and Strategies Neil Graham

28th January Tuesday

Martingale Theory – Fundamentals

Seb Lleo

30th January Thursday YES Binomial Model Randeep Gug

Module 2

04th February Tuesday Portfolio Management Seb Lleo

05th February Wednesday Fundamentals of Optimization and Application to Portfolio Selection

Seb Lleo

11th February Tuesday YES VBA Sanjay Bhandari

18th February Tuesday YES Value at Risk Azmi Ozunlu

25th February Tuesday YES Asset Returns: Key, Empirical

Stylised Facts Stephen Taylor

26th February Wednesday YES Volatility Models: The ARCH Framework Stephen Taylor

Module 3

04th March Tuesday Black-Scholes Model Riaz Ahmad

CQF Schedule - January 2014 Cohort

05th March Wednesday Martingale Theory - Applications to Option Pricing Seb Lleo

06th March Thursday Martingales and PDEs: Which, When and Why. Seb Lleo

11th March Tuesday YES Understanding Volatility Richard Diamond

18th March Tuesday YES Intro to Numerical Methods Paul Wilmott

20th March Thursday

Further Numerical Methods Riaz Ahmad

24th March Monday Exotic Options Riaz Ahmad

26th March Wednesday Derivatives Market Practice in the Time Before Quant Theory Espen Haug

27th March Thursday Advanced Greeks Espen Haug

01st April Tuesday Mathematica for Quantitative Finance

02nd & 03rd April

Wednesday & Thursday

Trading Simulator – Trading Equity Options Neil Graham

Module 4

08th April Tuesday YES Fixed Income Products and Analysis Stuart Jackaman

10th April Thursday Stochastic Interest Rate Modelling Riaz Ahmad

15th April Tuesday Calibration and Data Analysis Paul Wilmott

16th April Wednesday Probabilistic Methods for Interest Rates Seb Lleo

23rd April Wednesday YES Heath Jarrow and Morton Model Richard Diamond

24th April Thursday

Fixed Income Market Practices Pat Hagan

30th April Wednesday Volatility Smiles and the SABR Model Pat Hagan

06th May Tuesday The Libor Market Model Peter Jaeckel

CQF Schedule - January 2014 Cohort

Module 5

07th May Wednesday YES Introduction to Credit Derivatives Moorad Choudhry

08th May Thursday Structural Models Alonso Pena

12th May Monday Intensity Models SiYi Zhou

14th May Wednesday YES

Credit Default Swaps Alonso Pena

15th May Thursday YES Credit Valuation Adjustment Alonso Pena

20th May Tuesday YES Collateralized Debt Obligations SiYi Zhou

22nd May Thursday YES Statistical Methods in Estimating Default Probability Richard Diamond

27th May Tuesday Final Project Workshop - Part I Richard Diamond

Module 6

29th May Thursday YES NAG and Excel for Quant Finance

02nd June Monday Correlation Sensitivity and State Dependence Siyi Zhou

04th June Wednesday 'Advanced' Volatility Modelling in Complete Markets Paul Wilmott

05th June Thursday Co-integration: Modelling Long Term Relationships Richard Diamond

10th June Tuesday Further Monte Carlo Peter Jaeckel

12th June Thursday Dynamic Asset Allocation Seb Lleo

17th June Tuesday Final Project Workshop: Part II Richard Diamond

18th June Wednesday YES New York Risk Management in Energy Derivatives (“Hedging”) Iris Mack

19th June Thursday YES New York Speculation Using Energy Derivatives (“Trading”) Iris Mack

CQF Schedule - January 2014 Cohort

23rd June Monday Forecasting by Using Option Prices Stephen Taylor

24th June Tuesday

Incomplete Markets: Jump Diffusion and Stochastic Volatility

Riaz Ahmad