Alumni Lectures

The Alumni Lectures are the biggest component of Lifelong Learning and contains and library of over 750 hours of lectures on every conceivable finance subject. Delivered by some of the most eminent practitioners and academics, the content is ever expanding as additional lectures continually take place. When you start the CQF they are offered to you at no extra cost, in perpetuity.


Lecture Title Lecturer
Recent Developments in Credit Risk Wim Schoutens
Modeling and Measuring Sovereign Credit Risk Ephraim Clark
Copulas: Applications to the Pricing of Credit Derivatives Seb Lleo
The Pricing of CDO's Using Levy Copulas Wim Schoutens
Jumps in Credit Risk Modeling and Intensity Models: Theory, Calibration, Pricing Wim Schoutens
CDS Pricing: Market Approach Moorad Choudhry
Synthetic CDO Note Pricing Moorad Choudhry
Copula and Implementing CDO Pricing Siyi Zhou
CDOs, Correlation Products and Dangers Therein Paul Wilmott
Copulas and CDO Implementation Siyi Zhou
Correlation Sensitivity and State Dependence Paul Wilmott and Siyi Zhou
Structural Models Alonso Pena
Intensity Models Siyi Zhou
Introduction to Credit Derivatives Moorad Choudhry
Credit Default Swaps Alonso Pena
Advanced Credit Derivatives Seb Lleo


Lecture Title Lecturer
Convertible Bonds Paul Wilmott
The Feedback Effect of Hedging in Illiquid Markets Paul Wilmott
Dividend Modeling and Option Pricing (Some Practitioners' Models and a New Model) Ralf Korn
Ten Ways to Derive Black-Scholes Paul Wilmott
Pricing a Class of Options via Moments and SDP Relaxations Milhail Zervos
How to Hedge Paul Wilmott
Multi-Asset Options Paul Wilmott
Miscellaneous Options Paul Wilmott
Lookback Options Paul Wilmott
Asian Options Paul Wilmott
Strongly Path Dependent Options Paul Wilmott
Barrier Options Paul Wilmott
Black-Scholes Model Paul Wilmott
Binomial Model Paul Wilmott
Random Behaviour of Assets Paul Wilmott
The "Non-Greek" Non-Foundation of Derivative Pricing Elie Ayache
Term Sheets Paul Wilmott
Exotic Options Paul Wilmott
Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation Wim Schoutens
Repo Rates and Short Selling Restrictions Paul Wilmott
The Life of a Fundamental Analyst Anneke Minnema

Fixed Income

Lecture Title Lecturer
Black 76 Espen Haug
The Market Price of Risk Paul Wilmott
Managing Smile Risk Pat Hagan
Advanced BGM Peter Jaeckel
The Heath, Jarrow and Morton Model Paul Wilmott
Probabilistic Methods for Interest Rates Seb Lleo
Fixed Income Modeling (Lecture IV) Claudio Albanese
Fixed Income Modeling (Lecture III) Claudio Albanese
Fixed Income Modeling (Lecture II) Claudio Albanese
Fixed Income Modeling (Lecture I) Claudio Albanese

Risk Management

Lecture Title Lecturer
Understanding the Financial Markets in the Subprime Era Bill Ziemba
Classic Quant Mistakes Paul Wilmott
Long Short Portfolio Optimization Under Mean-Variance-CVaR Framework Gautam Mitra
Validation of Derivatives Pricing Models Dario Cziraky
Trading Derivatives: Real Markets, Real Model, Real Smiles Nasir Afaf
Scenarios and Risk Control for Hedge Funds Bill Ziemba
The Scandal of Prediction (audio only) Nassim Nicholas Taleb
That's No Way to Run an Economy Aaron Brown
Infinite Variance Seb Lleo
CrashMetrics Paul Wilmott


Lecture Title Lecturer
A Market Impact Model that Works Dan di Bartolomeo
Optimal Execution of Portfolio Transactions: A Review Ekaterina Kochieva


Lecture Title Lecturer
Can You Count on your Correlation Matrix? Nick Higham
Singular Peturbation Problems Arising in Mathematical Finance: Fluid Dynamics Concepts in Option Pricing Peter Duck
Derivatives and Stochastic Control Paul Wilmott
Method Of Separation Of Variables Riaz Ahmad
Introduction to Copulas Seb Lleo
Fundamentals of Optimization Seb Lleo
Can You Feel the Heat? Inverse Problems in Finance Andreas Binder
Differential Equations Riaz Ahmad
Quants Toolbox Riaz Ahmad
Martingales Riaz Ahmad
American Options Riaz Ahmad
Stochastic Calculus Riaz Ahmad
Linear Algebra Riaz Ahmad
Black Scholes, Mathematical Methods and Intro to Numerical Methods Riaz Ahmad
Methods for Quant Finance: I Riaz Ahmad
Methods for Quant Finance: II Riaz Ahmad
Martingales and PDEs: Which, When and Why Seb Lleo
Martingales and PDEs: More Which, When and Why Seb Lleo
Complex Analysis Riaz Ahmad

Numerical Methods

Lecture Title Lecturer
Software Issues in Wavelet Analysis of Financial Data Robert Tong
VBA Workshop Mike Staunton
An Introduction to Spreadsheet Risk Grenville Croll
Monte Carlo Simulation and Early Exercise Paul Wilmott
Finite Difference Model Paul Wilmott
Monte Carlo Simulations Paul Wilmott
Numerical Integration Paul Wilmott
Convertible Bond Coding Workshop Paul Wilmott
VG Modeling Paul Wilmott

Portfolio Management

Lecture Title Lecturer
Equity Portfolio Risk Management Jason MacQueen
Frankenstein's Model or the Perfect Union? Richard Young and Jason MacQueen
The Polphemus Perspective – Use of Single Factor Risk Models Jason MacQueen
Risk Decomposition and Risk Budgeting Jason MacQueen
Reverse Optimization for Portfolio Rebalancing Jason MacQueen
Markowitz was Wrong! Jason MacQueen
ICA and Hedge Fund Returns Andrew Robinson
Beyond Black-Litterman Attilio Meucci
Symmetric Downside Sharpe Ratio Bill Ziemba
Investment Lessons From Blackjack And Gambling Paul Wilmott
Fundamentals of Optimization and Application to Portfolio Selection Seb Lleo


Lecture Title Lecturer
The New C++ Standard Roger Orr
Introduction to Volatility Trading and Variance Swaps Sebastien Bossu

Further Lectures

Lecture Title Lecturer
Quant Day NAG & Paul Wilmott
Is a Manhattan Project necessary to prevent financial Armageddon? Iris Mack
Real Options Nick Mayor
Lateral Thinking Alice Auld
Acceptability Applications Dilip Madan
Problem Solving Lecture II Alice Auld
Behavioral Finance Andy Duncan
Behavioral Science in Finance Henriette Prast
How the Fundamental Analysts Work in Banks Anneke Minnema
Scaling Financial Analysis Applications with Matlab and Star-P Andy Greenwell
The Risky Horror Show Andreas Binder
Computing a Nearest Correlation Matrix with Factor Structure Nick Higham
Using GPUs for Computational Finance Mike Giles
CQF Research Workshop 1 – Feedback, High Frequency Trading, Serial Autocorrelation Memory etc. Paul Wilmott
The Credit Crunch: Past, Present and Future Michael J. Oliver
What Signals Worked and What Did Not, 1980-2009 Bill Ziemba
Financial Modelling using Garch Processes Kyriakos Chourdakis