> Certificate in Quantitative Finance

January 2005

The demand for education in quantitative finance has never been greater. However, the ability to supply a high-quality programme to satisfy that demand is as limited as ever. In putting together this Certificate, we have focused on finding the most experienced lecturers, and the most relevant and up-to-date content. This is then provided in the most convenient and accessible manner.

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Welcome to the CQF

The demand for education in quantitative finance has never been greater. However, the ability to supply a high-quality programme to satisfy that demand is as limited as ever. In putting together this Certificate we have focused on finding the most experienced lecturers and the most relevant and up-to-date content. This is then provided in the most convenient and accessible manner. Lecturing on the Certificate we have experienced traders, hedge fund managers, researchers and programmers. Each person is at the top of their field. Many of our lecturers have written the text books that define the subject of quantitative finance. Thanks to these lecturers, the course content is both cutting edge and practical. And since our lecturers are also active researchers you will find out about the advantages and pitfalls of models and algorithms. I look forward to seeing you as a participant on our Certificate programme. If you have any questions, please email me, [email protected].

Paul Wilmott

Course Director

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Contents
Why Choose the CQF? Lecturer Biographies Course Syllabus Who Should Attend? Case Study Profiles CQF Interview Course Format Distance Learning Additional Modules Examination Assessment PRMIA Exemptions Certificate Enrolment Details Lecture Timetable 04 05 06 08 10 12 14 14 16 18 19 20 21

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"The CQF has been challenging and rewarding. The standard of lecturing has been exceptional, with a focus on the key theoretical concepts in quantitative finance and their implementation in software"
Dr Warren Mellor CQF Delegate

Why Choose the CQF?

Course Developers
The Certificate in Quantitative Finance (CQF) has been designed by Dr Paul Wilmott, one of the most experienced and respected trainers in quantitative finance. He has lectured extensively in both academia and to the banking community and has also founded a successful university degree course. His association with both the theoretical aspects of quantitative finance and the real-world application makes him uniquely able to design and deliver a structured course that meets the needs of the modern quantitative analyst. His emphasis in the education of practitioners is making entry into this subject, and progress, as painless as possible. He firmly believes that the subject can be understood by anyone with a modest background in mathematics. The CQF has been designed with the busy, career-minded, goal-orientated, practitioner in mind. Twenty-four straight-to-the-point formal evening lectures and other more informal workshops deliver the necessary knowledge base and skills needed to succeed in this fast-paced working environment. In a complex financial world, a detailed understanding of the application of quantitative techniques is essential. The CQF provides an in-depth coverage of practical quantitative methods important in todays financial markets.

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

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Lecturer Biographies
Espen Haug
Espen Gaarder Haug is a leading expert on derivatives theory and its practical implications. Haug is currently working as a proprietary derivatives trader for J.P. Morgan New York. Prior to joining J.P. Morgan he worked for several years as a senior option trader for Paloma Partners and Amaranth Advisors, a marketneutral hedge fund based in USA. He has developed systems and tools for options and interest rate derivatives for the Chase Manhattan Bank Derivatives Research and Trading Group (Europe), and has also worked for several years in Den Norske Bank. Further, he has published numerous articles on options and risk management in academic journals and industry journals. His book The Complete Guide to Option Pricing Formulas has become a standard reference among Wall Street professionals.

Mike Staunton
Dr Mike Staunton is a visiting lecturer in Numerical Methods at City University Business School in London. He has taught spreadsheet modelling to executives and graduate students since 1985, including for many years an annual programme on Equity Portfolio Management in Geneva. He is the co-author, along with Mary Jackson, 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.

David Epstein
David Epstein is a marketer/structurer for the Risk Solutions team at Credit Agricole Indosuez (CAI), providing structured solutions for corporates and financial institutions. Prior to joining CAI, David worked as a Quantitative Analyst at Credit Agricole Lazard Financial Products (CAL FP) Bank, developing models and pricing tools for structured finance, equity and fund-of-funds derivatives. He is a visiting research fellow at the Oxford Centre for Industrial and Applied Mathematics (OCIAM), Oxford University and holds a DPhil in applied mathematics from Oxford University, where he specialised in the application of uncertain parameter theory to financial modelling.

Nick Mayor
Nick Mayor is manager for the Lansdowne Partners UK Equity Fund. The fund is the largest UK-only hedge fund portfolio, and the first to surpass the milestone of $1bn of net assets. Prior to joining Lansdowne Partners, Nick worked as a senior economic consultant with London Economics. He has over five years experience in the financial industry, previously working in retail, internet, pharmaceutical and telecoms equity research with ABN AMRO. He has an MPhil in Economics and a BA in Philosophy, Politics and Economics, both from Oxford University, and has published several key papers within the domain of equity valuation.

Elie Ayache
Elie Ayache graduated from Ecole Polytechnique in 1987. He then held a position at Banque Indosuez in Paris as one among the first option traders on the floor of MATIF. In 1990, Elie, cofounded Transoptions Finance, a subsidiary of Credit Agricole, which specialised in option market making. He personally stood on the floor of LIFFE, in the Bund option pit, until 1995. From 1996 to 1998, Elie headed the R&D of Dexia Asset Management in Paris, where he developed derivatives pricing models. In 1998, Elie created ITO33, a software company specialising in mathematical models and numerical solutions for derivative instruments, particularly Convertible Bonds and volatility smiles.

Peter Jckel
Dr Peter Jckel received his DPhil from Oxford University in 1995. In 1997, he moved into quantitative analysis and financial modelling when he joined Nikko Securities. Following that he worked as a quantitative analyst in the Quantitative Research Centre of the enlarged Royal Bank of Scotland Group where his primary responsibilities were independent model validation and derivatives modelling research. Peter is now the Global Co-Head of Financial Engineering at Commerzbank Securities. His present role involves the mathematical analysis of equity, credit, and interest rate derivatives, the design of numerical methods for pricing and risk calculations, and many other aspects of financial engineering such as fundamental research into new modelling approaches and related mathematical issues. Peter is the author of Monte Carlo Methods in Finance, published by John Wiley & Sons.

Riaz Ahmad
Dr Riaz Ahmad received his PhD in Mathematics from University College London, having graduated with a degrees and masters in Mathematics from Kings College and Imperial College respectively. Prior to being appointed as full time Course Director of the CQF, Riaz was a postdoctoral fellow in Mathematics at Oxford University. He was also the assistant academic director of the Universitys MSc Mathematical Finance Program. Riaz oversees the Quantitative Finance Series and consults on mathematical finance issues to City Institutions.

Dr Paul Wilmott

Espen Gaarder Haug

Dr Peter Jckel

Dr Mike Staunton

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Course Syllabus
The CQF Programme consists of six modules. Each module covers a different aspect of quantitative finance and comprises a lecture, discussions and computer workshops. Delegates will be required to complete a written exam on completion of each module to gain certification in that module.
o Applied It calculus: Discrete-time random walks, continuous Wiener processes via rescaling and passing to the limit, quadratic variation, elementary It integrals and Its lemma. o The random nature of prices: Examination of data, unpredictability, the need for probabilistic models, drift and volatility. o Review of options as speculative investments: Taking a view, gearing, strategies that benefit from moves in the asset or in volatility. o The binomial model: Up and down moves, delta hedging and self-financing replication, no arbitrage, a pricing model, risk-neutral probabilities.

2. Risk and Return 1. Basic Building Blocks of Finance Theory and Practice
It will be necessary to bring all students up to the same technical level. Most students will be familiar with the contents of this first module, but any gaps in a students background will be identified and appropriate private study recommended. We introduce the rules of applied It calculus as a modelling framework. Simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations are introduced. The random nature of asset price movements is considered. Discrete-time random walks are introduced and the continuous-time lognormal random walk is obtained by rescaling and passing to a limit. o Mathematics preliminaries: Review of ordinary calculus, Taylors theorem in one and several variables, ordinary differential equations and the diffusion equation. o Fokker-Planck and Kolmogorov equations: similarity solutions. o Probability preliminaries: Review of discrete and continuous random variables, transition density functions, moments and important distributions, the Central Limit Theorem. This unit deals with the classical portfolio theory of Markowitz, the Capital Asset Pricing Model, more recent developments of these theories, also option types and strategies. o Simulations: The lognormal random walk, probability density functions. o Risk and reward: Measuring return, expectation and standard deviation. o Modern Portfolio Theory (Markowitz): Expected returns, variances and covariances, benefits of diversification, the opportunity set and the efficient frontier, the Sharpe ratio, and utility functions. o Capital Asset Pricing Model: Single-index model, beta, diversification, optimal portfolios, the multi-index model. o Value at risk: Profit and loss for simple portfolios, tails of distributions, Monte Carlo simulations and historical simulations, stress testing and worst-case scenarios. o Financial markets and products: Bonds, equities, currencies, commodities and indices. o Introducing futures, forwards and options: Simple contingent claims, definitions and uses. o Review of option strategies: Building up special payoff structures using vanilla calls and puts, horizontal, vertical and diagonal spreads.

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 student familiar with techniques in current use. o The Black-Scholes model: A stochastic differential equation for an asset price, the delta-hedged portfolio and self-financing replication, no arbitrage, the pricing partial differential equation and simple solutions. o The greeks: delta, gamma, theta, vega and rho and their uses in hedging. o Risk-neutrality: Fair value of an option as an expectation with respect to a risk-neutral density function. o Early exercise: American options, elimination of arbitrage, modifying the binomial method, gradient conditions, formulation as a freeboundary problem. o Elementary numerical analysis: Monte Carlo simulation and the explicit finite-difference method. o Value at Risk: Portfolios of derivatives.

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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. o Fixed-income products: Fixed and floating rates, bonds, swaps, caps and floors. o Yield, duration and convexity: Definitions, use and limitations, bootstrapping to build up the yield curve from bonds and swaps. o Stochastic interest rate models, one and two factors: Transferring ideas from the equity world, differences from the equity world, popular models, data analysis. o Calibration: Fitting the yield curve in simple models, use and abuse. o Convertible bonds: Conversion, callability, putability, random factors.

5. Advanced Topics I
The lognormal random walk and the Black-Scholes model have been very successful in practice. Yet there is plenty of room for improvement. The benefits of new models will be discussed from theoretical, practical and commercial viewpoints. When pricing complex products it is necessary to be able to correctly value vanilla products. Modern models adopt frameworks that ensure that basic products are perfectly calibrated initially.The models derived in earlier parts of the course are only as good as the solution. Increasingly often the problems must be solved numerically. We explain the main numerical methods, and their practical implementation.

o Non-probabilistic models: Uncertainty in parameter values versus randomness in variables, non-Brownian processes, nonlinear equations. o Static hedging: Hedging exotic target contracts with exchange-traded vanilla contracts, optimal static hedging. o Stochastic volatility: Modelling and empirical evidence, pricing and hedging, mean-variance analysis. o Jump diffusion: Discontinuous price paths, the Merton model, jump distributions, expectations and worst-case analysis. o Fixed income: Use of Black-Scholes-like models and assumptions in the fixed-income world, pros and cons. o Monte Carlo simulations: Use for option pricing, speculation and scenario analysis, differences between equity/currency/commodity and the fixed-income worlds, accuracy, variance reduction, bootstrapping. o Finite-difference methods: Crank-Nicolson, and Douglas multi-time level methods, convergence, accuracy and stability. o Quasi-Monte Carlo methods: Low-discrepancy series for numerical quadrature, Halton, Sobol, Faure and Haselgrove methods.

o Credit risk and credit derivatives: Products and uses. o Transition matrices: Modelling change of rating, dynamics. o Incomplete markets: Energy and weather derivatives. o Real Options: The use of Real Options as an investment decision tool and the estimation of the parameters used in these models. o Heath, Jarrow and Morton: Modelling the evolution of the forward rate curve, principal component analysis. o Brace, Gatarek and Musiela: The evolution of forward rates continued, the discretematurity case.

6. Advanced Topics II
Uncertainty plays an important role in asset allocation, deciding the "optimal" composition of a portfolio of investments and other investment decisions, from deciding when to start an advertising campaign for a new product, to deciding whether to close down an oil well. We study the products exposed to credit risk, model the risk of default as well as the perceived risk of default. Other incomplete markets are examined and modelled.

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Who Should Attend?

The typical participant will be a market practitioner currently employed in a bank or other financial institution. However, the course is also suitable for graduate students wishing to enter the financial markets. Some mathematical experience and knowledge of the financial markets is useful.
The Certificate will be of special interest to individuals working in: o Derivatives o Risk Management o Structuring o Trading o Fund Management o IT o Investment Banking o Hedge Funds o Financial Software o Consulting If you have any questions about your eligibility for the programme, please call +44 (0)20 7796 1910 and we will be happy to talk with you in greater detail.

Candidate Selection
Delegates should have a numerate academic qualification, which may include one of the following: o Degree in physics, mathematics, chemistry, engineering, econometrics or computer science o Master of Business Administration You should also have familiarity with spreadsheets and computational problem solving. Delegates wishing to apply for the programme will be required to submit a completed application form together with a CV, detailing their academic and professional experience. Application forms can be requested by contacting [email protected]. Early application is strongly recommended due to the restricted number of delegates allowed on to each programme.

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"I completed my BSc in Electrical Engineering two years ago. My thesis consisted of predicting share prices in the stock market by means of a multilayer neural network. This combined with my interest in numerical methods, PDE and ODE, led me to the field of derivatives. Before I started the CQF course my knowledge in this field was limited. Today, and only after three months of taking part in the programme, my knowledge base has been greatly enhanced. All the course material is well explained and easy to follow and there is always a workshop (Excel and VBA Simulations) after each session. In fact putting theory into practice is what I value the most, and the CQF definitely provides that experience. The quality of the teaching is high - all the lecturers are Quant professionals at the top of their field. The online experience is excellent and very convenient, especially for someone like me who cannot attend every session."
Victor Gonzalez CQF Delegate

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Case Study Profiles

Harish Vaghjiani
Academic background: BSc Physics, Queen Mary College, University of London 1989 PhD Physics, Imperial College, University of London 1993 MSc Mathematical Trading & Finance, City University Business School 1999 Current position and responsibilities:
Quantitative Analyst, Nomura Credit Derivatives.

Stephane Junod
Academic background: Degree in
Econometrics and Economics 1994 Master in Banking and Finance 1995; Lausanne Business School

Dominic Boachie
Academic background: BSc Maths and Computing MSc Decision Science Current position and responsibilities:
Systems Analyst: Involved in the analysis and design of application systems to suit business requirements.

Professional qualification:
Member of the IAFE

Current position and responsibilities:

Deutsche Bank Global Equity Derivatives Director Exotic Structuring Team Responsible for pricing, structuring and innovation for Equity, Funds and Hybrid underlyings.

What were your key objectives when enrolling on to the CQF programme?
Strengthen my knowledge in finance. To aid my progression into the role of a Quantitative Analyst or similar. To have a deeper understanding of derivative products and how they are modelled.

What were your key objectives when enrolling on to the CQF programme?
One of the main reasons was to elevate my career prospects within the field of quantitative finance. I expected the course to be taught by lecturers that are able to deliver complex finance concepts in an accessible and transparent manner, designed for people with a practical outlook at applying financial models. Paul Wilmotts lectures and practical sessions achieved this.

What were your key objectives when enrolling on to the CQF programme?
Get a better mathematical background to enable me to read/understand advanced papers and to implement more advanced models.

What advice would you give to potential delegates looking to apply for a place on the CQF?
Delegates should brush up on their maths, before starting- especially Integration and differentiation and solving second order differential equations. It is a very intensive course, so they should ensure they can make time to do the weekly homework and monthly exam.

What have been the benefits of attending the programme?

Broader understanding of the underlying mathematics of different models. A clear understanding of different models and their implementations. The programme provides me with the tools to dig further.

What have been the benefits of attending the programme?

In my opinion this course played a key part in securing my current position as a quantitative analyst on Nomuras Credit Derivatives desk. The fact that I was awarded a Wilmott Scholarship helped too. To mention a few benefits, l have achieved a strong working knowledge of Stochastic Calculus, MonteCarlo and Finite Difference techniques, and the confidence to apply them.

What advice would you give to potential delegates looking to apply for a place on the CQF?
If you are committed to a career in quantitative finance this course is a must. Be prepared to devote a significant amount of time to each module to get the best out of this well structured course.

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John Webb
Academic background: Leeds University
BSc Physics PhD Physics

Andrea Germani
Academic background: Business in
Economics, Universita Bocconi, Milano 1999

Peter Sime
Academic background: MA Mathematics Oxford 1976 MSc Econometrics, Birkbeck 1980 Professional qualification:
Member of the Institute of Chartered Accountants in England and Wales Member of the Securities Institute.

Current position and responsibilities:

Quantitative Analyst (portfolio planning): Analysis and management of the credit risk portfolio for the Corporate Banking division of Barclays Bank PLC

Current position and responsibilities:

Head of Derivatives Unit, Banca Popolare di Lodi

What were your key objectives when enrolling on to the CQF programme?
I have always been very interested in the quantitative approach to finance. The quality of the CQF lecturers and syllabus was a very important feature in deciding to apply for the CQF. My objective is to understand the risk and pricing of derivatives and to obtain the tools to understand the next generation of derivatives.

Current position and responsibilities:

Director of Compliance, Wachovia Bank

What were your key objectives when enrolling on to the CQF programme?
To gain a better and more in-depth understanding of quantitative finance and its application in modern banking, to enable me to further pursue a career in quantitative finance.

What were your key objectives when enrolling on to the CQF programme?
To apply my mathematics background to the area of derivatives.

What have been the benefits of attending the programme?

The CQF has given me an in-depth understanding of the core principles of quantitative finance in a relatively short time. The practical application of the material taught in the course has given me the level of confidence that I needed to feel able to apply what I have learned through the CQF into a live business environment.

What have been the benefits of attending the programme?

Achieved a much deeper understanding of many aspects of derivatives. Brought my mathematics back up to date.

What have been the benefits of attending the programme?

The programme is very practical and I think this is a key factor of the course. The tutors are very supportive and always try to provide solutions to problems, however difficult. Paul Wilmott is a great tutor and the lessons are always clear and interesting.

What advice would you give to potential delegates looking to apply for a place on the CQF?
Ensure that your calculus is up to date and that you have sufficient time to fully complete the coursework.

What advice would you give to potential delegates looking to apply for a place on the CQF?
If you are serious about a career in quantitative finance and want to cover the core principles of the subject in-depth and in a short time, then you should seriously consider applying for a place on the CQF.

What advice would you give to potential delegates looking to apply for a place on the CQF?
Delegates should have a basic understanding of derivatives and mathematics. The CQF will provide the tools for practitioners who want both a technical and intuitive understanding of derivatives.

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CQF Interview
Sbastien Lleo, MBA, CFA, FRM, PRM CQF Delegate
Sbastien is a senior investment analyst and attended the CQF programme from Ontario, Canada through 7C-Live!

Q: How practical is the CQF?

"The CQF achieves a rare feat. It simultaneously provides critical insights into the theory of quantitative finance and very practical considerations regarding the implementation of techniques and methods."

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

"I applied to the CQF because of my interest in financial engineering and quantitative finance. Knowing the work of several course directors, I was certain the course would be extremely well taught and include both a presentation of the essential theoretical background and a discussion of the latest techniques and approaches."

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

"I expect to gain a fundamental understanding of the theory and practice of quantitative finance. By this, I mean that the knowledge and insight gained should withstand the test of time, fads and fashions, and provide me with a deep understanding of the underlying assumptions and building blocks of quantitative finance."

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

"I consider that some knowledge of elementary calculus and linear algebra as well as a basic understanding of finance theory are a prerequisite for the course. Of course, knowledge in vector calculus, differential equations, probability theory, mathematical statistics and an understanding of asset valuation and financial economics are a definitive plus. However, a lot can be picked up along the way. So I would tend to say that this course assumes very little in terms of prior knowledge in the field of quantitative finance. All it takes, really, is an appetite for the field and some affinity with numbers and mathematics."

Q: As a distance learning delegate, how have you found the course delivery?
"The course delivery is outstanding. Jonathan Shaw, in charge of technologyrelated aspects, is doing a remarkable job to ensure that the distant learners have as good a course experience as the delegates present in the classroom. I think it was a wonderful challenge to open such an ambitious programme to distance learners right from the first year. This demonstrates 7city Learning and Dr Paul Wilmotts professionalism and commitment to the programme."

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"The CQF has been challenging and rewarding. The standard of lecturing has been exceptional, with a focus on the key theoretical concepts in quantitative finance and their implementation in software - the practical implementation of quantitative techniques is treated as importantly as the underlying theory. The exercises and exams for each module rally the best out of the delegates."

Q: How have you coped with the monthly exams?

"The programme is fast paced, with one module a month and homework to do every week. However, it is not too difficult to deal with monthly exams. To the contrary, it keeps delegates focused on the learning process and ensures no one will be left behind after the end of a module."

Q: How does the CQF compare with the other programmes you have completed?
"The CQF is entirely designed around the field of quantitative finance and is taught by a faculty of experts. These two characteristics, no matter how simplifying they are, help distinguish it from other programmes available. The possibility of taking the entire course as a distance learner is another unique feature of the programme."

Q: What are the best parts of the programme?

"The best part of the programme is the programme itself. The course is very well structured and organized, the lectures are captivating and the lecturers are amazing. The homework is not a mere repeat of the topics tackled in class, but expand on the subject and give us the opportunity to acquire depth and breadth. The cycle of monthly modules and monthly exams keep the delegates focused on the learning process. Finally, the 7city team deserves to be congratulated on its professionalism and the level of service provided. All this makes of the CQF an outstanding programme."

Q: Who would you recommend the course for?

"I would essentially recommend this course to anyone interested in the application of quantitative techniques to solve financial problems whether their background is in science and engineering or in economics and finance. The course is designed to be accessible."

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Course Format
The CQF Programme is based around a series of 24 compulsory formal lectures given by experienced practitioners and trainers. Delegates are given homework at the end of each lecture and an examination at the end of each module. In addition to these lectures, delegates are provided with other workshop-style sessions on spreadsheets, Visual Basic, advanced mathematical methods, problem solving and examination preparation and follow up. Delegates may also elect to join an additional C++ Programming module (see page 17). Lectures are held in London at the 7city offices close to Bank underground station. Lectures commence at 6pm and last two-and-a-half hours.
The Certificate comprises of the following elements o Part-time evening course, consisting of 24 formal lectures, one per week for six months o Weekly workshops o Avoidance of day release to attend courses o City of London course location o Lectures from a highly acclaimed team of instructors combining leading academics and practitioners o Coherent learning objectives, from fundamental concepts through to the latest advances o Innovative and relevant technical course content o Computer workshops, putting theory into practice o Emphasis on the implementation of models and algorithms

Recorded Sessions
Each weekly lecture and workshop is recorded and can be accessed via 7C-online accounts (provided to all delegates upon enrolment). All delegates have unlimited access to 7C-online for session-by-session playbacks. Delegates unable to attend a live classroom lecture enjoy the full support of 7C-online to ensure they keep up to speed with each module. In addition to recorded sessions, 7C-online stores the following for delegate access: o Programme syllabus o Lecture notes by session o Weekly exercises and solutions o Module exam papers and related solutions o Excel spreadsheets and VB programmes Course lecturers maintain a two-way dialogue with delegates to ensure questions are addressed during the session. Previous course delegates from locations throughout the world, including New York, Hong Kong, Toronto, Paris, Milan, Munich and Frankfurt, have attended live weekly lectures over the internet to complete each module of the CQF. Distance-learning delegates receive exactly the same pre- and post-course reading materials, are expected to complete weekly exercises and are subject to the same compulsory modular exams as classroom delegates.

Distance Learning
The CQF is also delivered as a distance-learning programme via 7C-Live. Distance-learning delegates conference into lectures and workshops and participate alongside classroom delegates. They enjoy the same level of interaction with the tutor. 7C-Live integrates data, voice, and video within a standard web browser so CQF course directors can hold real-time tutorials over the Internet with delegates using virtually any desktop, laptop, or wireless handheld device.

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o Delegates can see the tutor and classroom presentation simultaneously. o 7C-Live! allows easy orientation and ensures delegates receive a strong classroom experience. o Classroom presentation technology allows clear annotation of course notes.

o Delegates follow step-by-step construction of Excel and VBA models. o Each model solution is posted to 7C-online. o Delegates can review models via recorded playbacks.

o Delegates receive personal usernames and passwords for access to 7C-online. o Lecture notes for all sessions are stored in 7C-online. o 7C-online allows full accessibility to exercises, exams and solutions for each session and module.

o Delegates conference into each lecture to participate alongside classroom delegates. o Course instructors maintain two-way dialogue with delegates to ensure questions are addressed during the session.

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"I would highly recommend the course to delegates considering undertaking the CQF."
Dr Warren Mellor CQF Delegate

Additional Modules
Mathematics for Quantitative Finance
The mathematics primer is divided into two modules, each module delivered via a one-day programme:

Module M1: Calculus Refresher

Fuctions of a single variable:
o Ordinary calculus o Ordinary differential equations o Solution methods o Basic numerical integration o Simple integral equations

Module M2: Probability Refresher

Elementary probability theory:
o Distributions, discrete and continuous o First and second moments (mean and variance) o Higher moments (skew and kurtosis) o Important distributions o Several variables o Moment generating function o Central limit theorem

o Module M1:
Calculus and Differential Equations Refresher

o Module M2:
Linear Algebra and Probability Refresher
Mathematics finance is now a pre-requisite for City practitioners and this primer provides a refresher course.

Functions of two or more variables:

o Partial differential calculus o Partial differential equations o Classification o The diffusion equation o Solution methods o Basic numerical methods

Elementary statistics:
o Data representation o Regression o Maximum likelihood estimation

Matrices:
o Matrix manipulation o Eigenvalues and eigenvectors o Exponentiation

Random walks:
o Trinomial o Transition probability density functions o Deterministic equations from random behaviour

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This course is a practical introduction to programming focused on financial applications designed to build up libraries of code used in many applications teaching is conducted by an expert who can pass on valuable advice a "must "for Quants to develop an understanding of the C++language.
Peter Sime MA(Oxon);MSc(Lon)Wachovia Bank NA, CQF Delegate

C++ for Quantitative Finance

Software development in C++ is one of the key technologies employed by global financial institutions, particularly due to its support of object-oriented programming. This has resulted in a minimum requirement for all quantitative professionals to have a solid core background in C++ modelling. The C++ programme is a self-contained course taking delegates from simple programming examples through to basic object-oriented applications, with real-world examples from the quantitative finance arena to illustrate the powerful nature of this language. The course assumes no previous knowledge of C/C++, although familiarity with basic high-level language programming concepts is considered an advantage.

Variables, types and Expressions:

o Identifiers o Data Types o Declarations o Constants and Enumerations o Assignment and Expressions

Pointers and linked lists:

o Declaring pointers o The '*','&','new'and 'delete'operators o Pointer arithmetic o Automatic and dynamic variables

Recursion: Branch and loop statements:

o Boolean Values o Expressions and Functions o For', 'While' and 'Do....While' Loops o Multiple selection and Switch statements o Blocks and Scoping o Recursion and iteration o Mechanics of a recursive call o Recursive data structures o Quick sort

Introduction classes:
o The object-oriented paradigm o Encapsulation and inheritance in C++ o Constructors, friends and overloaded operators o Static members

Functions and Procedural abstraction:

o User-defined functions o Value and Reference parameters o Polymorphism and Overloading o Procedural abstraction and good programming style o Splitting programs into different files

Numerical Methods:
o Approximating a PDF/CDF o Solutions of linear systems o Direct methods of solution and iterative techniques o Numerical integration o Power method o Explicit and implicit finite difference methods for parabolic PDEs o Monte Carlo method

Files and streams:

o Input and Output using files and streams o Streams as arguments to functions o Input and Output using '<' and '>'

Arrays and Strings:

o Declaring arrays and strings o Arrays as parameters o Sorting arrays o Two-dimensional arrays o String manipulation

Quantitative Finance:
o Pricing of European,American,Exotic and Basket options o Interest rates and products o Volatility modelling

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Dr Michael Rees Past winner of the Wilmott Prize

Examination Assessment
The Certificate in Quantitative Finance is awarded to delegates based on their performance in the compulsory module examinations.

Final Examination/Distinctions
The final three-hour examination is optional. Delegates attend the exam if they wish to obtain a distinction. The examanition is fully invigilated and covers subjects from all modules. From each class, one delegate will receive the "Wilmott Prize for Excellence". The award will be made to the delegate attaining the highest score in the final examination.

Module Examinations and the Certificate

Examinations are issued following the last session of each module. Three hours are allowed for answering the paper, and lecture notes and books can be used for reference. All examinations are to be completed on a selfregulated basis. Papers can be submitted in handwritten format, on disk or by email, before or at the following lecture. Mathematics can be handwritten or typeset. Delegate scores will be sent out to each delegate within 14 days of the examination paper being distributed for completion. Delegates marks on all modules except for the first module contribute towards the overall Certificate. Solutions for each exam are posted to 7C-online, once all papers are collated. Delegates will receive one of two results: o Course Pass o Course Fail

Examination Results
Examination results for the Certificate in Quantitative Finance are announced in the following publications: o Financial Times (UK and International Editions) o Economist o Wilmott magazine Delegates are listed by name (and company if appropriate). Only delegates receiving a pass or distinction are listed, in addition to the delegate receiving the "Wilmott Prize."

Pre- and Post-Module Sessions

On completion of the last session in each module, delegates are provided with the opportunity to attend a pre-exam problem session. A CQF course director takes delegates through a review of technical issues raised in the previous four sessions and allows delegates to ensure all queries are addressed, before attempting the relevant module exam.

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We very were impressed with the high standard of the CQF. It provides students with in-depth understanding of the quantitative methods important in today's financial markets.
David R.Koenig, Chair of PRMIA's Board of Directors

PRMIA Exemptions
The Education and Standards Committee of PRMIA (Professional Risk Managers Association) has granted all CQF holders exemptions to the PRM qualification for: o Exam I Finance Theory, Financial Instruments and Markets o Exam II Mathematical Foundations of Risk Measurement Delegates obtaining the CQF are required to complete a cross-over exam encompassing: o Exam III Risk Management Practices PLUS o Exam IV Case Studies &&PRMIA Standards of Best Practice, Conduct and Ethics, Bylaws

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Course Option Full classroom programme Full classroom programme (incl. optional C++ course) Individual module Individual lecture Full distance-learning programme Full distance-learning programme (incl. optional C++ course) Mathematics for Quantitative Finance (2-days) C++ for Quantitative Finance (8-evenings)

Course Fee 9,250 + VAT 10,500 + VAT 1,750 + VAT 495 + VAT 5,950 + VAT 7,200 + VAT 990 + VAT 1,995 + VAT

Certificate Enrolment Details

Course Dates
Each module contains four sessions. All sessions commence at 6pm and will be held at one of 7citys training centres in the City of London. Refreshments available on site. You must complete all modules to attain the Certificate, however, you can select individual modules within a three-year period to complete the Certificate over a longer timeframe. New: Delegates may attend individual sessions (see page 21 for detailed lecture timetable).

Pre-Course Reading
Delegates will be provided with the following pre-course reading material: Paul Wilmott Introduces Quantitative Finance (P. Wilmott) Advanced Modelling in Finance Using Excel and VBA (M. Jackson and M. Staunton) The Complete Guide to Option Pricing Formulas (E.G. Haug) Paul Wilmott on Quantitative Finance (P. Wilmott) Monte Carlo Methods in Finance (P. Jckel)

For Further Information +44 (0) 20 7796 1910 +44 (0) 20 7796 1710 http://www.7city.com [email protected]
The organisers reserve the right to change or cancel the published course dates due to unforeseen circumstances. The companys liability will be limited to a transfer to the next appropriate date or a refund of the course fee. The organisers reserve the right to alter the contents of this programme and/or the course directors and venue due to circumstances beyond its control.

Programme Fees
Fees are due in advance of the programme or module start date. Cancellations of confirmed bookings are subject to a refund of 100% if notification is provided in writing more than 30 days before start date; subject to 50% refund if notification is provided within 30 days; no refund is applicable if notification of cancellation is within 15 days or non-attendance. VAT will be applied to EU billing addresses. Course text books are provided only as part of the full programme.

How to Apply
If you wish to apply for a place on the CQF programme, please contact [email protected] to request your application form. Class sizes are restricted and places are awarded on a first come basis, provided a delegates application has been approved.

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Lecture Timetable
CQF Module CQF 1.1 CQF 1.2 CQF 1.3 CQF 1.4 CQF 2.1 CQF 2.2 CQF 2.3 CQF 2.4 CQF 3.1 CQF 3.2 CQF 3.3 CQF 3.4 CQF 4.1 CQF 4.2 CQF 4.3 CQF 4.4 CQF 5.1 CQF 5.2 CQF 5.3 CQF 5.4 CQF 6.1 CQF 6.2 CQF 6.3 CQF 6.4 The Random Behaviour of Assets Calculus Refresher, Taylor Series and Transition Density Functions Probability, the Central Limit Theorem, Stochastic Calculus and Ito's Lemma Simulating and Manipulating Stochastic Differential Equations Portfolio Management Products and Strategies Value at Risk and Volatility Binomial Model Black-Scholes, Greeks Monte Carlo and Finite Differences Advanced Greeks Understanding Volatility Fixed Income Products and Analysis Stochastic Interest Rate Modeling Calibration and Data Analysis Convertible Bonds Discrete Hedging and Transaction Costs Stochastic Volatility and Jump Diffusion Further Monte Carlo Further Finite Difference Methods Advanced Volatility Modeling BGM Credit Risk and Credit Derivatives Real Options Wednesday 30th June Wednesday 7th July Wednesday 14st July Wednesday 21st July Wednesday 28th July Wednesday 4th August Wednesday 11th August Wednesday 18th August Wednesday 25th August Wednesday 1st September Wednesday 8th September Wednesday 15th September Wednesday 22th September Wednesday 29th September Wednesday 6th October Wednesday 13th October Wednesday 20th October Wednesday 27th October Wednesday 3rd November Wednesday 10th November Wednesday 17th November Wednesday 24th November Wednesday 1st December Wednesday 8th December Lecture Date

Delegates may attend individual lectures. If you would like to meet Paul Wilmott, the CQF team and find out more about the programme, please join us at a CQF Open Evening: o Thursday 14th October o Thursday 18th November The sessions will commence at 6.15pm and will be held at Princes House, 95 Gresham Street, London EC2V 7NA. To book your place, please call +44 (0)20 7796 1910 or email [email protected]

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