John Von Neumann Institute

Quantitative & Computational

Finance
Duc Pham-Hi , PhD
A.I scientist
IT Director
Bank Trader
Risk manager
Regulator

What is your goal ?

Make money while helping People, Firms, Society
with NEW knowledge and tools
1. Mathematical modelling
2. Computer programming
3. New macroeconomic thinking

New knowledge to be acquired

Economy and Society are in disequilibrium
Institutions and behaviour are changing
New rules are made and undone
What most execs have learned is already obsolete
and will have to be recalculated each time
Trust no one but your PC !

3 ingredients to your success

Models that represent realistic situations
Algebra, Stats, Probabilities, --- Uncertainties !
Composed by complex but tractable equations
Risks and Gains
Products : derivatives, options, CDS, CVA
Losses : market, credit, securities, liquidity,
Data in large volume, volatilities & velocities
To feed equations and parameters
To stay tuned to reality and opportunities and threats

Curriculum Overview
Electives
Specializatio
n
7. Risk
Modelling
6. Basel 2 &
3
5. Derivative
product pricing
4. Risk Analytics

Fundament
als
3. Stochastic Calculus
2. Philosophy
1. Probability +
statistics

8. Leadership
9. Linear algebra

Capsto
ne final
project

10.
Macroeconomic
modelling
11. Time series
analysis and
forecasting
12. Decision
making analytics
13. Machine
Learning & data
mining
14. Database & IT
infrastructure

Welcome to a world of new

knowledge and new know how
Get ready to help people and
Society
and to get rich as a consequence !