Alumni Masterclasses

The Alumni Masterclasses allow alumni to delve deeper into specific subjects after they have completed the core CQF program. These one or two day courses are delivered by leading practioners and respected academics. The full list comprises more than 100 hours of additional material and is included in the cost of the CQF.

Volatility, Advanced Modeling with PC Workshops

Tutor: Paul Wilmott

Duration: 2 days

What you will learn:

  • Important volatility forecasting methods
  • The different meanings of volatility
  • Calibration to market prices, representing the skew and smile
  • Deterministic volatility surfaces
  • Stochastic volatility
  • Uncertain volatility
  • Robustness and minimizing model error, static hedging
  • Volatility, static and dynamic hedging and portfolio theory.

VG Modeling: Pricing Financial Derivatives in Equity and Credit Risk

Tutor: Wim Schoutens

Duration: 2 days

What you will learn:

  • See more realistic VG models for stocks and credit risk work on real data
  • Which Levy processes are useful for financial modeling purposes and which are not?
  • How to price an option surface of vanillas under advanced models within a second
  • Learn about the very recent multivariate VG models that can be calibrated on univariate vanilla surfaces
  • Learn about the new credit risk models driven by Levy processes and see how they can nicely capture the CDS term structure
  • Learn how to simulate fast VG based models:
    • to price exotics
    • to run scenarios for risk-management purposes
    • to simulate your insurance-linked products under a more advanced setting

Exotic Equity Derivatives, Pricing and Hedging

Tutor: Paul Wilmott

Duration: 2 days

What you will learn:

  • The Black-Scholes pricing and framework
  • How to categorize exotic options
  • The mathematics of path dependency and decision processes
  • Pricing models
  • Hedging strategies
  • Numerical methods for pricing

Behavioral Science In Finance: Phenomena, Diagnosis, Therapy

Tutor: Henriette Prast

Duration: 1 day

What you will learn:

  • The latest research into behavioural economics and its implications
  • Anomalies in financial markets and their behavioural explanation
  • The lifecycle saving and investment
  • The new paradigm of wealth planning

Operator Methods in Fixed Income and Credit

Tutor: Claudio Albanese

Duration: 2 days

What you will learn:

  • Stochastic Monetary Policy Models for Interest Rate Derivatives
  • Applications to callable CMS spread range accruals
  • Structural Models for Credit Equity Derivatives
  • Applications to bespoke synthetic CDOs

Intraday High-Frequency Trading: From Empirical Evidence to Quantitative Optimization

Tutor: Charles-Albert Lehalle

Duration: 1 day

What you will learn:

  • The factors that affect intraday trading
  • How to capture intraday statistical invariances (volume, volatility curves, etc.)
  • Understanding and implementing research on quantitative formalization of intraday trading