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cqf.

com

Certificate in CERTIFICATE IN

Quantitative Finance FINANCE

Course guide for January and June 2010 programs


CQF

Engineered for the Financial Markets


A message from the Course Director
Welcome to our program for
practitioner education in quantitative
finance. In this brochure you will find
details of the Certificate in Quantitative
Finance, together with all the included
supplementary courses in C++, Lifelong
Learning and our Trading Simulator. All
training is delivered simultaneously live
in the classroom and via international
webcast. This global delivery puts us
at the forefront for distance learning.
Our team of lecturers consists of full-
time staff chosen for their training skills
and dedication to client satisfaction,
along with respected and experienced
practitioners working in investment
banks and hedge funds. Finance is an
extremely fast-paced and increasingly
sophisticated profession. We can help
you and your company stay ahead of
the competition. We are proud of the
quality and relevance of our quantitative
finance program, and we are continually
striving to keep it the best in the world.

I look forward to working with you.

Dr Paul Wilmott
Course Director

Dr Paul Wilmott is one of the world’s


most renowned educators in the field
of quantitative finance, as an academic
researcher, as a hedge fund practitioner
and as an educator. He and his skilled and
dedicated team bring their experiences to
the classroom in the world’s largest advanced
program in practical quantitative finance.

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Contents
Contents...........................................................................................................................................................................3
Introduction......................................................................................................................................................................4
Applicant Profile................................................................................................................................................................6
Case Study....................................................................................................................................................................... 8
Course Delivery................................................................................................................................................................ 9
Certificate in Quantitative Finance - Your Journey................................................................................................................ 10
Mathematics for Quantitative Finance Primer....................................................................................................................... 12
CQF Program Content..................................................................................................................................................... 13
Examination, Assessment and Accreditations...................................................................................................................... 15
CQF Alumni................................................................................................................................................................... 16
Lifelong Learning for CQF Alumni...................................................................................................................................... 17
Alumni Masterclasses....................................................................................................................................................... 18
Trading Simulator............................................................................................................................................................ 19
Practical Computational Finance in C++.............................................................................................................................. 20
Java and Xenomorph Time Series Workshop....................................................................................................................... 21
CQF Faculty.................................................................................................................................................................... 22
Entry Requirements.......................................................................................................................................................... 24
Pre-Application Steps....................................................................................................................................................... 25
How to Apply and Course Dates........................................................................................................................................ 26
Fees and Financing........................................................................................................................................................... 27
About Wilmott................................................................................................................................................................. 28
About 7city Learning........................................................................................................................................................ 29
Frequently Asked Questions............................................................................................................................................. 30

New for 2010

Xenomorph Time Series Workshop – A new time series workshop on advanced data
analysis. This market data session examines volatility, correlation and algorithmic trading in detail.
Java – Interactive lessons will take you from an introductory level right through to a
Black-Scholes charting GUI calculator, resulting in optional windows with zoomable payoff diagrams.
Schaum Text Books – The Mathematics Primer now comes complete with four landmark textbooks on
calculus, differential equations and linear algebra, ensuring your start in the course is as solid as possible.
Internships – Your transition into quantitative work is now easier than ever. A range of internships are now
available for select self-funded delegates.

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Introduction
The Certificate in Quantitative Finance (CQF) is a six month part-time course designed to provide high-level training for
individuals working in, or intending to move into, derivatives, development, quantitative trading or risk management. The CQF
is unique in its structured approach and commitment to the field of real-world quantitative finance. At all times in the program
the emphasis is on practical implementation of techniques and on the questioning and analysis of models and methods.

­ he CQF has been designed by Dr Paul Wilmott, one of the most experienced and respected trainers in quantitative finance. He has lectured
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extensively in both academia and to the banking and hedge funds community. His association with both the theoretical aspects of quantitative
finance and its 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 is on the education of practitioners and those looking to become practitioners, making entry into this subject,
and progression to the highest level, as painless as possible. He firmly believes that the subject can be understood by anyone with a modest or
rusty background in mathematics. Dr Wilmott has brought together the most widely-recognised tutor faculty, many of whom are world renowned
in their areas of expertise.

The CQF program is built around a fully examined core of six modules. The course covers all aspects of the theory and practice of quantitative
tools, products, and methods. Yet this is only one part of the program; it is preceded by a mathematics refresher course, and followed by C++
and Java programming classes, a Trading Simulator, and Lifelong Learning. The content for these “Extras” is almost five times the size of the six-
month core CQF, and is yours, at no extra cost, for the rest of your career.

Engineered for the financial markets, the CQF provides in-depth coverage and analysis of practical quantitative techniques important in today’s,
and tomorrow’s, financial landscape.

DELEGATE PROFILE JUNE 2008

Verena Beller
Previous Degrees:
Bachelors and Masters in Pure and Applied Mathematics, University of Vienna, Austria

Current Position:
Associate Quantitative Analytics, Risk Management, Commonwealth Bank of Australia

“ I signed up for the CQF because I wanted to change from a pure mathematical background into quantitative finance.
After six years of studying, I was ready to start working and didn’t necessarily want to spend another two years doing another masters. However,
the lack of practical applications in my degree and my lack of programming experience made it very difficult to get the job I wanted – a quantitative
role in risk management. So when I found out about the CQF program, I thought that’s perfect for me: an intense six-month course that will provide
practical quantitative finance applications as well as some exposure to programming in VBA and C++.
To do the CQF was the best decision I have ever made. It’s very well recognized all around the world, and it definitely fulfilled what it promised, plus
more. It provides a great practical knowledge in quantitative finance and a great introduction to VBA and C++. You are also invited to worldwide
presentations about the most recent hot topics in quantitative finance, and if you can’t attend you can see the recorded version online. This is just
one of many other great opportunities that the CQF program offers.
Because I live in Australia I had to do the whole course as a distance learner. Some people might think of it as worth less or more difficult than going
to the actual lectures held in London. I have to say I was very impressed with the distance learner course. The quality of the lectures was perfect,
and you can log on in real time to participate live over the internet. If, as in my case, the time difference makes it difficult to participate live, you can
watch the recorded lectures and send emails to the lecturers or the 7city assistants if you have any questions or need some help. The 7city staff is
very friendly and helpful, so I can really recommend it to anyone.
The best thing that came out of the CQF program for me, is that I finally got the job that I have always wanted – a job in quantitative analytics in
risk management.
People asked me if I would have been able to get that job without doing the CQF program. And honestly, I have to say no. I learned so much in the
CQF, which of course with my masters in mathematics I would have been able to pick up on the job at some stage. But without the CQF program I


probably would have never got the chance to prove that. In my job interview, I was asked all sorts of very detailed questions that were all covered by
the CQF program, and if I hadn’t done the course I wouldn’t have been able to answer a single one of them.

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Stats and Facts

Key Facts
• The largest and fastest-growing
quant course in the world
• Six-month part-time course
• More flexible, targeted and cost
effective than any university financial
engineering program
• Course fees include materials and
books, Mathematics Primer, six core
modules, C++ and Java, a Trading
Simulator and Lifelong Learning

Student/Alumni Stats
Of those taking the course:
• 65% work within the financial
services industry
• 60% are sponsored by their employer
• 77% take the entire course online

Key Facts from the January


2009 Program
Number of students admitted:
• 195
Average Age:
• 29
Range of ages:
• 22 to 57
Average work experience:
• 3 - 7 years
Range of work experience:
• 0 – 34 years
Number of nationalities:
• 29

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Applicant Profile
CQF delegates come from a rich diversity of backgrounds, responsibilities, and nationalities, bringing a wealth of
experience to the program.

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 those working in:

• Derivatives • Risk Management • Asset Allocation


• Structuring • Trading • Actuarial/Insurance/Pensions Industry
• Fund Management • IT • Universities
• Investment Banking • Hedge Funds • Consultancies
• Financial Software • Banking • Regulation

Class Profiles
Delegate Profile by Occupation

Risk Management 20% Hedge Funds 7%

IT 16% Structuring 6%

Trading 11% Fund Management 5%

Quantitative Analysis 10% Others 5%

Consulting 7% Academia 3%

Derivatives 7% Actuary 3%

Delegate Profile by Academic Discipline

Finance 20% Economics 6%

Mathematics 17% Statistics 6%

Computer Science 15% Banking 5%

Engineering 15% Physics 4%

Business 9% Others 3%

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Geographical Profiles

North America = 297 UK = 559 Middle East and Africa = 18 Asia Pacific = 90

South America = 5 Europe = 206 China = 98

Delegates from the following organisations have successfully completed the CQF

ABN AMRO Deutsche Bank Marshall Wace


Accenture Duff & Phelps Mellon Capital Management
Alexia Asset Management Dresdner Kleinwort Merrill Lynch
Abu Dhabi Investment Authority EDF Trading Mitsubishi UFJ Securities International
Bank of America Ernst and Young Moody’s
Bank for International Settlements Exane Morgan Stanley
Baramex Fidelity International Nationwide Financial
Barclays Capital Fitch Ratings Nationwide Building Society
Barclays Global Investor GE Capital Solutions Nomura
BNP Paribas Goldman Sachs Och-Ziff Capital
BP Oil International Gordian Knott RBoS
British Energy HSBC IB Reuters
Calyon HBOS RWE
Chicago Trading Company IBM Schroders
Citadel Indus Valley Partners Thomson Reuters
Citco ING Trafigura
Citigroup Investment Bank of Greece UBS
Commerzbank JP Morgan Unicredit
CSFB KPMG Wachovia
Deloitte Lloyds Watson Wyatt
Derivative Trading Systems Ltd Man Financial West LB

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Case Study:
Nationwide Financial and the CQF
1. Please tell me about Nationwide’s risk management 4. What changes has Nationwide seen in its risk
department. management staff once they have completed the CQF?
Nationwide’s Quantitative Risk Management is an area within Nationwide Junior candidates without the CQF are typically in a support role,
Financial (a U.S. financial services company) devoted to hedging variable working side-by-side with more experienced practitioners. Once
annuity financial guarantees. The department was formed in 2002 and is a candidate has entered the CQF, however, they quickly begin to
responsible for the entire variable annuity hedging practice. understand the “why” of their work. No longer are they simply running
Variable annuities are a form of retirement investment account. To a set of calculations, simply developing a faster bit of code, simply
protect these retirement savings, life insurers offer financial performance running a set of reports, simply reconciling a set of trades.
guarantees of varying complexity. Candidates begin to see the variable annuity guarantee portfolio
These financial guarantees are a large source of systematic risk for as a large exotic derivative portfolio with an understandable set of
insurers and must be hedged. The complexity of these financial behaviors. Markets move up or down, yield curves change, and the
guarantees and their entanglement with actuarial risks like mortality, portfolio responds in understandable ways. When it doesn’t they
contract surrender rates, etc. makes this hedging very challenging. recognize the unusual and can ask, “Why?” This begins a process of
inquiry and learning that creates senior candidates.
And eventually candidates begin to bring this same understanding to
2. Why does Nationwide put its entire risk management a broader universe of instruments and can begin thinking about hedge
departmental staff through the CQF? strategies. What instruments make natural hedges? When do those
These financial guarantees and hedging practices (beyond simple hedges break down? What risks are left? Can I do the same thing
strategies like cash flow matching, duration matching, etc.) are more cheaply?
relatively new to the insurance industry. There is no established pool Ultimately, this disciplined approach to financial risk is valuable
of “quants” to staff and develop these hedging programs, no standard throughout the organization and candidates find themselves recruited
software for managing these hybrid actuarial/financial risks, no into more senior roles throughout the organization.
generally accepted practices, etc.
The CQF program allows Nationwide to take capable individuals from
other fields – actuaries, energy traders, mathematicians, economists,
etc. – and quickly train them in the fundamentals of hedging and
financial risk transfer.

3. What do you think the CQF offers that other programs


and courses don’t?
The CQF program is technically rigorous and quickly develops the
expertise and intuition for derivative instruments. At the same time,
the program starts at a level that is reasonable for most technical
professionals. Stochastic calculus, Martingale processes and other
mathematical beasts often make for an intimidating initiation to this
field. The CQF program focuses on the essential functionality for the
financial practitioner and is quite flexible about working with students
from varying backgrounds.
Nationwide especially appreciates the practical emphasis of the
CQF that complements the academic training. Reality often deviates
markedly from theory. CQF lecturers are the “rock stars” of financial
derivatives and help to bring practical tools and instill a healthy respect
for what can go wrong in practice. Classroom and distance learning
in conjunction with on-the-job exercises and coaching quickly brings
students to a point where they can tackle real-world problems.

CQF Internships Program

For those self-funded delegates interested in a smooth transition into a quantitative role, our new internships program will get your foot
in the door at a number of organisations around the world. This service is available to select delegates who meet the requirements of our
internships process. For more information about the CQF Internships Program, check out cqf.com/internships.

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Course Delivery
Part-time Classes and Workshops
The CQF is designed for delegates in full-time work and does not require any time away from the workplace. By dividing the course content over 25
weeks, delegates slowly build up their knowledge session by session.
Delegates are provided with a complete set of course notes for each class and these are annotated by the course instructor during the session.
Some classes will comprise computer workshops and delegates receive data files 24 hours before the class.

Classroom Delivery
All the classes are delivered from our London Training Center at 6pm
(London local time). Workshops are now delivered both in our London
and New York Training Centers. Delegates can access the class via
three methods:

Classroom
23% of delegates in each program follow the majority of the course by
attending the classes held at our London Training Center.

Live Webcast
32% of our delegates work through most of the course by dialling in
live via the internet.

Recorded Classes
45% of delegates take most of the course via this option.

Online Access
Delegates who choose to dial into the class can view both the instructor
and the presentation simultaneously, as if they were in the class. If
delegates have a question they post this to the tutor chat box. The tutor
will then repeat the question to the class, before proceeding to answer.
The same approach is applied if a delegate in the London class poses
a question.

Each weekly class is recorded while being delivered. The classes are
then posted online. Every delegate is provided with their own online
account allowing them access to the following:
• Recorded class lectures
• Annotated class notes
• Data
• Sample code and spreadsheets
• Additional/non-examined classes

“ The ease and convenience of the distance learning CQF option saved me the time and


effort of traveling to and from a formal classroom and is very welcome in this day and
age. I would definitely recommend this option to anyone taking the CQF.
John Mohsbeck, CQF Delegate, Jan 07

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Certificate in Quantitative Finance -
Your Journey

For more detailed information on your CQF Journey, please see opposite
MATHEMATICS FOR
QUANTITATIVE
FINANCE PRIMER

Core of the program XENOMORPH


TIME SERIES
CERTIFICATE IN ANALYSIS

QUANTITATIVE FINANCE

JAVA

LIFELONG
LEARNING
An ever-expanding library

TRADING C++
SIMULATOR

...with more being added to all the time. And it’s all included once you sign up to the CQF!

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MATHEMATICS FOR QUANTITATIVE FINANCE PRIMER


The CQF program begins with the Mathematics Primer, a 12 hour lecture series on all the mathematical preliminaries you need to
know before commencing the quantitative finance lectures. The Primer has been designed to get people back up to speed with their
mathematics, since the vast majority of CQF delegates describe themselves as mathematically “rusty” before they begin. If you are similarly
rusty, do not worry, the Primer is the perfect solution. See page 12 for more information on the Mathematics Primer.

CERTIFICATE IN QUANTITATIVE FINANCE

When people say “I have the CQF” it means they have taken the six-month, core
quantitative finance course, and passed all of the examinations and successfully Module 1 - Exam Module 1
completed the final project. The core, examined part of the CQF commences in January
and June each year. Module 2 - Exam Module 2
The core program consists of six modules, one per month, each on a different field
within quantitative finance. Each module builds on previous modules to give delegates Module 3 - Exam Module 3
both a deep and broad understanding of the principles, the tools, the models and the
numerical methods of quantitative finance. Module 4 - Exam Module 4
Live classes are held in London, broadcast simultaneously live over the internet, and
recorded. The majority of delegates take advantage of the distance learning options, and Module 5 - Exam Module 5
all students whether local or distance have access to all CQF recordings in perpetuity.
Module 6 - Final Project
See pages 13-14 for a detailed breakdown of the CQF syllabus.

THESE “EXTRAS” ARE INCLUDED IN THE CQF AND ARE NOT COMPULSORY

Lifelong Learning
Quantitative finance is always expanding. There are new contracts to value and risk manage, there are new models, even sometimes new
asset classes, and, of course, new mathematical and numerical tools. We want CQF alumni to be the best-educated practitioners and to that
end we include the Lifelong Learning and extended Alumni Masterclasses, what we all colloquially call the “Extras”. Just like the rest of the
CQF, the 2.5-hour Lifelong Learning lectures are by experienced practitioners and respected academics on important topics and new ideas.
These lectures form an ever-expanding library of material. Watch a lecture (or attend live when it is first given) when you need to brush up
on a topic, or watch all of them in sequence (beware though, there’s a lot of material here!). The Alumni Masterclasses are one or two-day
extended courses. As always, the Lifelong Learning and Alumni Masterclasses are included in the CQF package. See page 17 for a sample
list of Lifelong Learning lectures and page 18 for details of the Alumni Masterclasses.

Computational Languages included


In the core, six-month part of the CQF all programming during lectures is done in Excel and Visual Basic because of the ease of
implementation. However, within banks and hedge funds the most common programming languages are C++ and Java.

Both C++ and Java courses are included with your CQF fees. They are specially tailored for those who may be completely unfamiliar with
these languages, and take you through to the most advanced computational exercises. Students will get most benefit from these courses
if they take them after completing the six core modules of the CQF. As with all program material, the C++ and Java lecture series can be
accessed in perpetuity, in your own time and at your own pace, at no extra cost. See pages 20-21 for more information.

Trading Simulator
For those of you whose goal it is to become a trader then you’ll learn important skills from our in-house Trading Simulator. Even if you are
already a trader, then you can benefit from the Simulator by trying out strategies and valuation and risk management methodologies that
you have learned in class. See page 19 for further information about the CQF Trading Simulator.

Everything you see in this brochure is included in the CQF package at no extra cost.

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Mathematics for Quantitative
Finance Primer
Classroom program in London, New York and distance learning
The CQF program begins with the Mathematics Primer, 12 hours of intensive training covering all the mathematical
preliminaries you need to know before commencing the quantitative finance lectures. The Primer has been designed to
get people back up to speed with their mathematics, since the vast majority of CQF delegates describe themselves as
mathematically “rusty” before they begin. If you are similarly rusty, do not worry, the Primer is the perfect solution.

The program covers the following:


Calculus and Differential Equations Refresher Linear Algebra and Probability Refresher
Calculus: Linear Algebra:
• Functions and limits • Matrices and Vectors
• Differentiation and integration • Systems of linear equations
• Complex numbers • Eigenvalues and eigenvectors
• Functions of several variables
Elementary Probability Theory:
Differential Equations: • Discrete and continuous distributions
• First order equations • Simple moments (mean and variance)
• Second and higher order equations • Higher moments (skew and kurtosis)
• Important distributions
• Correlation
• Central Limit Theorem

The Mathematics Primer now also comes complete with four landmark textbooks on calculus, differential equations, probability and linear
algebra, ensuring your start in the course is as solid as possible. These books are an essential component in getting a solid grasp of the
fundamentals, and for the first time in 2010 are included in the course at no additional cost.

Mathematics Primer Enrolment Conditions


Please note that the Mathematics Primer is offered at no additional cost to confirmed CQF delegates i.e. delegates who have confirmed their intention to take the CQF
by arranging payment for their deposit or full fees.
1. Delegates not intending to to take the full CQF and just the Mathematics Primer are charged £1,595 + VAT (US$2,399 in the Americas) for this program.
2. D
 elegates who attend the Mathematics Primer on the basis that they are taking the CQF and later cancel their CQF training are liable for the full cost of the
Mathematics Primer.
3. Delegates intending to take just the Mathematics Primer and later take the CQF will have their CQF fees discounted by the value of the Mathematics Primer.
4. D
 elegates paying for the CQF on a modular basis and wishing to follow the Mathematics Primer will be charged £1,595 + VAT ($2,399) prior to commencing the
Mathematics Primer, but this fee will be taken from their final modular payment.

For the latest Mathematics Primer dates visit cqf.com/primer.

DELEGATE PROFILE JUNE 2003

Hansjoerg Schmidt
Previous Degree: Economics, University of Zurich
Current Position: Head Fixed Income Asset Management, IASF, Zurcher Kantonalbank

“ After several years of working in research and risk management, I decided to brush up on my quantitative skills. The CQF was the right choice in every


respect. It covers a broad range of subjects but does so in a consistent and constructive manner. The faculty’s approach in lecturing is intuitive and fun,
and never gets lost in lengthy mathematical derivations. Finally, a very attractive feature of the course was its accessibility via the internet.


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CQF Program Content


The examined part of the CQF program comprises six modules. Each module covers a different aspect of quantitative finance
and consists of lectures and discussions. Delegates are encouraged to complete weekly exercises prior to the commencement
of the next class. At the end of each module, delegates take a written exam to gain certification in that module.

Module 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 student’s background will be identified. We introduce the rules of applied Itô calculus as a modelling framework. Simple stochastic
differential equations and their associated Fokker-Planck and Kolmogorov equations are introduced.
• Important mathematical tools and results • Gaussian, Poisson, Cauchy, Binomial, etc. • Transition density functions
• Taylor series • Central Limit Theorem • Partial differential equations
• Ordinary differential equations • The random behaviour of asset prices • Applications of multiple integration
• Probabilistic concepts • Stochastic calculus and Itô’s Lemma

Module 2
Risk and Return
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. We see the rudiments of option pricing principles and theory in the binomial model.

• Modern Portfolio Theory • Financial markets and products • Change of numéraire


• Capital Asset Pricing Model • The binomial model for asset prices • The Radon-Nikodym derivative
• Asset allocation in continuous time • Numerical Methods • Portfolio Optimization
• Value at Risk • Further Itô integration
• Modelling and measuring volatility • Martingale theory

Module 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.
• The Black-Scholes model • Elementary Monte Carlo simulations • Parallels between probabilistic and
• Hedging and the Greeks • Elementary finite-difference methods deterministic methodologies
• Option strategies • Martingale theory for pricing
• Early exercise and American options • Girsanov’s Theorem

DELEGATE PROFILE JUNE 2005

Curtis Zubot
Previous Degree: Economics, University of Alberta

Current Position: Commodities Trader, Citigroup

“ Most people interested in quantitative finance are already very mathematical. Better than any course I have ever been involved in, the CQF acknowledges
that people like me are not interested in expanding my mathematical background, but rather would like to learn how to apply my talents. The instructors do


an excellent job of helping bridge the gap between academia and the real world. Three months after completing the CQF I was promoted from fundamentals
analyst to options trader. The CQF helped me make the leap faster than I ever thought possible.

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CQF Program Content

Module 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.
• Fixed-income products • Affine stochastic models • Calibration
• Yield, duration and convexity • Change of numéraire • Data analysis
• Stochastic spot-rate models • Heath, Jarrow and Morton

Module 5
Credit Products and Risk
Credit risk plays an important role in current financial markets. We see the major products and examine the most important models. The modeling
approaches include the structural and the reduced form, as well as copulas.
• Credit risk and credit derivatives • Synthetic CDO pricing • Copulas
• CDS pricing, market approach • Risk of default, structural and reduced form • Implementation of copula models

Module 6
Advanced Topics
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.

• Exotic options • Non-probabilistic volatility models • Monte Carlo methods, Brownian bridge,
• Static hedging • Correlation, problems and solutions advanced schemes
• Transaction costs and discrete hedging • Hidden risks in CDOs, and solutions • Quasi-Monte Carlo methods, Sobol’, and more
• Deterministic volatility and calibration • Brace, Gatarek and Musiela • Finite-difference methods, multi factor,
• Stochastic volatility and jump diffusion implicit, Crank-Nicolson

Course Reading

Delegates will be provided with the following course reading material:


• Paul Wilmott Introduces Quantitative Finance (P. Wilmott)
• Paul Wilmott On 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)
• Derivatives: Models on Models (E.G. Haug)
• Monte Carlo Methods in Finance (P. Jäckel)
• Frequently Asked Questions in Quantitative Finance (P. Wilmott)
• Structured Credit Products: Credit Derivatives and Synthetic Securistisation (M. Choudhry)
• Schaum’s Outline of Calculus (E. Mendelson and F. Ayres)
• Schaum’s Outline of Differential Equations (R. Bronson)
• Schaum’s Outline of Probability, Random Variables, and Random Processes (H. Hsu)
• Schaum’s Outline of Linear Algebra (S. Lipschutz and M. Lipson)
• 1 year’s subscription to Wilmott magazine
• 1 year’s subscription to Wilmott journal

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Examination and Assessment


Examination Assessment 3. Project
The Certificate in Quantitative Finance is awarded to delegates based All delegates have to complete a project for Module 6. This is a
on their performance in the compulsory module examinations and the practical programming project which is set during the second half
final project. There are three main areas of assessment: of the course and designed to ensure delegates apply their theoretical
knowledge to real-life problems, that they can then take back to
the workplace.
1. Weekly Exercises
Delegates are provided with exercises following the first four sessions Final Examination/Distinctions
of each module. The exercises test the information covered during The final three-hour examination is optional and takes place in
the respective session and can be in the form of mathematical exam centers worldwide. Delegates who score 80% or above receive
computations, mini essays or spreadsheet exercises. The exercises are a distinction.
optional and allow each delegate to determine if they have understood
the concepts taught. If delegates experience problems with a certain
area, a one-to-one tutorial can be arranged. Wilmott Prize for Excellence
From each class, one delegate will receive the “Wilmott Prize for
2. Module Examination Excellence”. The award will be made to the delegate attaining the
The objective of the exam is to ensure delegates have a full highest score in the final examination.
understanding of the principles taught and their applications.
Examinations are issued for the first five modules, following the last Publication of Results
session of each module. Each exam is a one-week take-home exam Each program’s results are listed in the following publications:
explicitly for the purposes of practical application rather than academic
• The Economist (global edition)
exam-taking. Delegates must receive a mark of 60% or greater to pass
the module. • Wilmott magazine

CQF Accreditations
CFA Institute Continuing Education (CE)
CFA Institute has a commitment to Continuing Education (CE), and encourages CFA Institute members to maintain
and improve their professional competence. 7City Learning is registered with the CFA Institute as a program-level
Approved Provider. Coursework for the CQF is eligible for 40 CE credits (equivalent to two years recommended
minimum) and will be automatically recorded in CFA Institute members’ CE Diaries.
For more information about the CFA Institute CE Program visit cfainstitute.org/ceprogram.

Exemptions
PRMIA Exemptions
The Education and Standards Committee of PRMIA (Professional Risk Managers International Association) has
granted all CQF holders exemptions to the PRM qualification for:
• Exam I – Finance Theory, Financial Instruments and Markets
• Exam II – Mathematical Foundations of Risk Measurement
In order to receive the PRM qualification, delegates obtaining the CQF are required to complete
a cross-over exam encompassing:
• Exam III – Risk Management Practices


• Exam IV – Case Studies and PRMIA Standards of Best Practice, Conduct and Ethics, Bylaws

The CQF course is unique in that it is very practical and tailored to the needs of busy
practitioners. The course provides a highly structured way to learn all the mathematics


needed to understand quantitative finance, apply it to practical problems and situations
and to make a career in one of a number of aspects of the complex world of derivatives.
Peter Sime, CQF Delegate, Jan 03

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CQF Alumni
The CQF alumni community is continually expanding as a network of friends and contacts all over the world. The current
network consists of over 1200 CQF alumni, an exclusive global community of quantitative practitioners. We invest in
the future of the network through a range of events, publications, a directory and a dedicated website. As a CQF
alumnus, and even before you complete the CQF, you will become part of an active community, attending social and
educational events.
Various resources are available exclusively to help CQF alumni and these are all located on the alumni website
(cqfalumni.com), which you will have automatic access to when you join the CQF.

CQF Alumni Directory


The online directory enables you to stay in touch with
classmates and locate new business-related contacts.

Continuing Education
Continuing education is paramount in the world of
mathematical finance. To ensure CQF alumni are supported
after they have obtained their qualification, additional regular
classes are delivered on both technical and topical issues.
These classes are delivered by the CQF faculty in addition to
world-class practitioners including:
• Professor Bill Ziemba
• Nassim Nicholas Taleb
• Pat Hagan
• Professor Wim Schoutens
• Henriette Prast
• Philippe Henrotte
• Aaron Brown
• Nasir Afaf
• and more…

All classes can be attended in the classroom and live or


recorded via the alumni website as part of the CQF
continuing-education program.
The CQF is unique in allowing delegates permanent,
unrestricted access to their CQF lectures along with current
and future “Extras”, such as Lifelong Learning, Masterclasses,


etc. This means that alumni can maintain and further their
professional development, keeping their knowledge and skills
at the forefront of the field, at no additional cost.
The CQF library is constantly being updated and added to. One of the most useful and rewarding
Additional classes and resources are stored in this single place, experiences is continued access to course
allowing delegates and alumni to track and enhance their
knowledge base.
material, additional topical seminars and other
reference materials. This provides the means


CQF Alumni Newsletter to stay current and review old topics as and
The CQF alumni newsletter Quant Bites keeps you up-to-date when necessary.
with what is happening in the CQF alumni community and will
inform you of related courses and events. Kashif Rashid, CQF Delegate, Jan 2007

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Lifelong Learning for CQF Alumni


Our additional lectures, classes, workshops and programing modules are more than 2.5 times
the size of the core CQF, and when you sign on to the CQF, all of it is yours, at no extra cost, in
perpetuity. Lifelong Learning is the biggest component of these “Extras”; a library of over 200
hours of lectures on every conceivable finance subset. Delivered by some of the most eminent
practitioners and academics, the content is ever expanding, as additional lectures continually take place.
Below is a small selection of the Lifelong Learning lectures.
Mathematics The Mathematics of American Options Riaz Ahmad
Can You Feel the Heat? Inverse Problems in Finance Andreas Binder
Fundamentals of Optimization Sebastien Lleo
Can You Count on Your Correlation Matrix? Nicholas J Higham
Singular Perturbation Problems Arising in Mathematical Finance Peter Duck

Statistics Financial Modelling using GARCH Processes Kyriakos Chourdakis

Numerical Methods Monte Carlo Simulation and Early Exercise Paul Wilmott
VBA Workshop Mike Staunton
An Introduction to Spreadsheet Risk Grenville Croll
Software Issues in Wavelet Analysis of Financial Data Robert Tong

Equity Exotic Options Paul Wilmott


The “Non-Greek” Non-Foundation of Derivative Pricing Elie Ayache
How to Hedge: Which Free Lunch Would You like Today, Sir? Paul Wilmott
Equity-to-Credit: the Death of the Implied Volatility Philippe Henrotte
Volatility Forecasting, Option Trading and Crash Metrics Paul Wilmott
Convertible Bonds Paul Wilmott

Fixed Income The Heath, Jarrow and Morton Model Paul Wilmott
Advanced BGM Peter Jäckel
Managing Smile Risk Patrick Hagan
Fixed Income Modelling Claudio Albanese

Portfolio Management Beyond Black-Litterman Attilio Meucci

Credit Jumps in Credit Risk Modelling Wim Schoutens


Pricing of CDOs using Levy Copulas Wim Schoutens
Copulas: Applications to the Pricing of Credit Derivatives Sebastien Lleo
Credit Modelling: A Structural Model for Credit-equity Claudio Albanese
Derivatives and Bespoke CDOs
Recent Developments in Credit Risk Wim Schoutens

Risk Management Infinite Variance: Who Cares about Variance? Nassim Nicholas Taleb
There is No Way to Run an Economy Aaron Brown
Scenarios and Risk Control for Hedge Funds Bill Ziemba
Volatility in Disguise: How to add Pricing Libraries for Short Andreas Binder
Rate Models into a VaR System
Understanding the Financial Markets in the Subprime Era Bill Ziemba
Classic Quant Mistakes Paul Wilmott

Trading The Scandal of Prediction Nassim Nicholas Taleb


The Market Price of Interest Rate Risk Paul Wilmott
Trading Derivatives: Real Markets, Real Model, Real Smiles Nasir Afaf

Other Quant Day Numerical Algorithms Group

Programming What the Spreadsheet Said to the Database Brian Sentance


The New C++ Standard Roger Orr
Live Models Cristian Alzati

For the full list of master and extra classes visit cqf.com/extras.

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Alumni Masterclasses
Continue to learn, and delve deeper into specific subjects, with the CQF’s Masterclasses.

Volatility, Advanced Modelling Operator Methods in Fixed


with PC Workshops Income and Credit
This course takes a critical look at the most important unknown in Operator methods are an emerging framework for
derivatives pricing: volatility. The main modelling approaches are all modelling financial derivatives. The first half of this course covers
presented, along with their advantages and disadvantages. Concepts Stochastic Monetary Policy Models for Interest Rate Derivatives, and
are studied from both a scientific and a practical point of view with the applications to callable CMS spread range accruals. The second half
goal being to give the delegates the deepest possible understanding of covers Structural Models for Credit Equity Derivatives and applications
the significance of their choice of model. to bespoke synthetic CDOs.
Tutor: Paul Wilmott Tutor: Claudio Albanese
Duration: 2 days, recordings are separated into 8 sessions Duration: 2 days, recordings are separated into 8 sessions

VG Modelling: Pricing Financial Derivatives in Intraday High-Frequency Trading: From


Equity and Credit Risk Empirical Evidence to Quantitative Optimization
This course provides an introduction to the use of the Variance Gamma This course covers factors that affect intraday trading, how to capture
(VG) based models for equity and credit risk. The course takes a intraday statistical invariants, and how to understand and implement
practical approach to describing the theory of advanced models, and quantitative formalization of intraday trading.
features many examples of how they may be used to solve problems in Tutor: Charles-Albert Lehalle
finance, with emphasis on the pricing of financial derivatives.
Duration: 1 day, recordings are separated into 4 sessions
Starting from the analysis of data, we build up models driven by
the nowadays popular VG Lévy processes that incorporate stylized
features like jumps and stochastic volatility.
Tutor: Wim Schoutens
Duration: 2 days, recordings are separated into 8 sessions

Exotic Equity Derivatives, Pricing and Hedging


Exotic Equity Options, Pricing and Hedging is a detailed course on
the pricing and hedging of exotic equity derivatives, starting from
the analysis of data to build up a vanilla pricing model and then
extending this to exotic, over-the-counter products. We examine the
mathematical modelling and the numerical aspects, as well as choice of
model and dynamic and static hedging. Many real-life term sheets will
be analysed.
Tutor: Paul Wilmott
Duration: 2 days, recordings are separated into 8 sessions

Behavioral Science In Finance: Phenomena,


Diagnosis, Therapy
This one day course will give an overview of the latest research
in behavioral economics and discuss its implications for market
participants. It will challenge the view that individuals take rational
decisions provided that they have access to full information.
Tutor: Henriette Prast
Duration: 1 day, recordings are separated into 4 sessions

For the full list of master and extra classes visit cqf.com/extras.

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Trading Simulator
The CQF Trading Simulator fully backs up the lecture and workshop lessons so that students
can try out new ideas in a realistic setting, incorporating real-time events based on live data
from the ever-fluctuating marketplace. The solution is easy to access as it is internet-based
and will run in your browser.

Core features:
Equity, FX, Money Markets, Fixed Income:
Single or multi-player mode:
The simulator is based on a repertoire of authentic scenarios which track
Delegates can use the simulator in scheduled trading sessions with others
price changes across a range of asset classes.
or run a scenario by themselves.
Instructor-generated scenarios:
In-depth reporting:
Scenarios can be comprised of historical data, random walks or instructor-
The simulation’s reporting package tracks trade results, including
designed situations.
compliance with exposure limits, trading volume, frequency,
Structured teaching approach: profit, etc.
Instructors can initially demonstrate a model or approach within the
assumptions of that approach and then stress-test it.

Interactive parameter setting:


Instructors can change parameters mid-scenario, ensuring a close and
timely response to the learning needs of the moment.

A range of option greeks:


Main option greeks are displayed in real-time: students see delta, gamma
and vega exposures and ways to hedge or speculate on these.

Fundamentalist and technicalist strategies:


Scenarios may contain news flow to encourage the analysis of
fundamentals, and their effect on market prices.

Multiple interaction types:


Traders can quote spreads to each other in a peer to peer OTC market or
trade with artificial-intelligence traders on buy or sell sides.

For more information about the CQF Trading Simulator, simply go to cqf.com/simulator.

DELEGATE PROFILE JANUARY 2006

Jean-Francois Blottiere
Previous Degrees: MBA in Capital Markets, ESSEC
DEA - Mathematics Applied to Finance, University of Paris VI
Current Position: Fixed Income Portfolio Manager, Federal Finance Gestion

“ I believe that the CQF is one of the most efficient and effective ways to fast track his or her understanding and practical knowledge in quantitative finance.
The CQF is designed for the real world and offered me the tools to handle the pricing of all the complex derivatives a fixed income portfolio manager
can nowadays be exposed to, be they interest rate structured products or credit structured products. It equipped me with confidence to deal with ever-


evolving structures proposed by banks, and above all with the ability to price and analyse the sensitivities of these products. This incredible program
offers in the matter of six months a level of credibility and recognition from colleagues, counterparts and peers, that could be achieved no other way.

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Practical Computational
Finance in C++
Want to learn C++ programming but have no experience? Or just want to brush up or take your
skills to the next level? This course features more than 70 hours of tuition across 28 sessions.

C++ in finance
The vast majority of professional software development in quant
finance is in C++. To be an effective member of a quant team you need
to write high-quality code, and you must also be able to understand
the C++ written by others.

Goals of the syllabus


By the end of this syllabus you will be able to take important pricing
models, and translate them into working C++ code. Starting with
elementary C++, the 28 sessions will cover both the principles and
practicalities of producing robust code in a quant finance environment.
You will learn not only the theory of design, but also specific details of
implementing hardcore techniques in financial mathematics, as well as
connecting your software to applications such as Excel. Uniquely, this
course covers the pitfalls and problems that you will face in debugging and
faulty design, equipping you for the realities of programming in banks.

Mathematical finance in C++


You will learn the techniques necessary to convert pricing models into the
algorithmic form suitable for coding in C++. A wide variety of numerical
schemes used in quantitative finance will be used for examples.

Extending the CQF


C++ is critical to a role as a modern quant in a top-tier investment bank,
so as part of the continual improvement of the CQF program we are
including the entire Computational Finance series as a self-contained
subset of the recorded alumni classes. CQF delegates who want to take
this syllabus are advised to do so after they have completed the CQF, or
in parallel with the CQF after discussion with a Course Director.

“ The C++ course taught me how to implement important quantitative techniques. Turning the
formulas into C++ code really gave me a solid understanding of the concepts.
Christopher Grune, CQF Delegate, June 04

For the full C++ course contents visit cqf.com/c++.

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Java and Xenomorph Time


Series Workshop
Java Xenomorph Time Series Workshop
In addition to the primary quantitative programming skill of C++, there In order to effectively apply financial theory it is important to understand
has been an increasing use of Java as a programming language within the market data, its characteristics and the practical problems it presents. After
quantitative finance community, particularly when building interactive web a discussion on market data and how it can be manipulated, econometrics
sites to price exotic products. and technical analysis methods are touched upon, before looking at the
practical issues of calculating volatility and correlation from historical data
on a daily and intraday basis. The statistics used in algorithmic trading and
spread trading are also outlined. Finally, time series analysis is extended to
more complex data such as volatility surfaces and the behavioral finance
aspects of time series analysis to news are illustrated and discussed.

To provide for this trend, as well as offering an entire syllabus to cover


C++, the CQF program also provides an introductory Java course
specifically designed for quants. In seven interactive lessons, each lasting
about one hour, you will be taken from a basic “Hello Quant World”
program all the way through to a Black-Scholes charting GUI calculator,
which prices call and put options and which creates optional windows with
zoomable payoff diagrams.
The topics covered include everything you will need to understand the basic
framework of how Java works, concentrating upon Java objects and classes;
object inheritance; interfaces; arrays and ArrayLists; Swing GUIs; and JAR
libraries, plus much more along the way, before moving on to make use of
Java’s financial capabilities in its various mathematical libraries.
The technologies covered include the Java SE Development Kit,
the NetBeans integrated development environment (IDE), and the
JFreeChart Library.
After completing the seven lessons, you will be able to expand your Java
skills into virtually any direction that you need, particularly within the
financial arena.

DELEGATE PROFILE JUNE 2008

Paolo Piacentini
Previous Degree: BSc Computer Science, University of Milan, Italy
Current Position: Confidential

“ The CQF content is superbly comprised and extremely captivating. The team of instructors is composed of top professionals in the industry. You really notice
and appreciate it when they eleborate and explain the hidden subtleties of the models, hardly visible at first but encountered day by day, in real operations.


Pure academics do not often have such experience. If you have a Masters or PhD, the CQF is the perfect vehicle for entering into the realm of mathematical
modelling for quantitative finance.


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CQF Faculty
World-renowned practitioners and respected academics
Led by Dr Paul Wilmott, the CQF faculty is a highly acclaimed team of instructors combining leading academics and
practitioners specialised in the field of quantitative finance.

Riaz Ahmad
Dr Riaz Ahmad is full-time director at 7city for all mathematical
and computational finance based courses. In addition he oversees
7city’s Quantitative Finance series and consults on mathematical
finance issues to City Institutions. Riaz received advanced degrees in
mathematics from University College London and Imperial College
London. He has held academic positions and lectured in mathematical
finance at University College London (UCL), Lahore University
of Management Sciences (LUMS) and Oxford University
(Mathematical Institute).

Alice Auld
Alice studied mathematics at Cambridge University, obtaining an MA, Neil Graham
followed by an MSc in Pure Mathematics at UMIST (Manchester) Neil joined Barclays International in 1985 initially in the foreign
and Madrid and a PhD in Lie Algebra from Manchester University. exchange, money markets and derivatives operations areas before
She has lectured at Manchester Metropolitan University and taught moving to the trading room in 1991. Here, his roles included both inter-
first-and second-year degree mathematics at the London School of bank and sales positions in spot and forward FX, money markets and
Economics where she was also an external examiner. Her main areas of treasury derivatives. After leaving Barclays in 1995, Neil became a local
mathematical interest are probability and pure mathematics, including on the London International Financial Futures and Options Exchange
algebra, calculus and trigonometry. (LIFFE) trading own account positions in interest rate, bond and equity
derivatives. During his time on LIFFE, Neil also provided training to
Elie Ayache hedge-fund staff in FX and derivatives before moving to full-time
Elie Ayache graduated from Ecole Polytechnique in 1987. He then held training in 1997. At 7city, Neil is Head of Financial Product Training,
a position at Banque Indosuez in Paris as one among the first option designing and delivering a range of product courses for investment
traders on the floor of MATIF. In 1990, Elie co-founded Transoptions houses, data agencies and software houses in the US, UK and Europe
Finance, a subsidiary of Credit Agricole, which specialised in option (Scandinavia, mainland Europe and Eastern Europe).
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 Espen Haug
Dexia Asset Management in Paris, where he developed derivatives Dr Espen Gaarder Haug has worked in derivatives trading and research
pricing models. In 1998, Elie created ITO33, a software company for more than 15 years. He worked as a proprietary option trader at
specialising in mathematical models and numerical solutions JPMorgan in New York, and as an option trader for two multi-billion
for derivative instruments, particularly convertible bonds and dollar hedge funds, Amaranth and Paloma Partners. Before that, he
volatility smiles. worked for Tempus Financial Engineering, and as an option market
maker in Chase Manhattan Bank (now JPMorgan Chase) and Den
Moorad Choudhry norske Bank. He has been involved in almost every option market,
Moorad Choudhry is Head of Treasury at Europe Arab Bank in including equity, currency, fixed income, energy and commodities.
London. He previously worked as Head of Treasury at KBC Financial Espen Haug has a PhD from the Norwegian University of Science
Products and also worked as a gilt-edged market maker and sterling and Technology, and has published extensively in academic and
bond trader with ABN AMRO Hoard Govett Sterling Bonds Limited industry journals such as: Quantitative Finance, International Journal of
and Hambros Bank Limited, and in structured finance services with Theoretical and Applied Finance and Wilmott magazine. He is also a
JPMorgan Chase Bank. He began his City career at the London Stock popular lecturer on option pricing, hedging and risk management.
Exchange in 1989. Moorad is a Visiting Professor at the Department of
Economics, London Metropolitan University; a Visiting Research Fellow Peter Jäckel
at the ICMA Centre, University of Reading; a Senior Fellow at the Peter Jäckel is the founder and Managing Director of OTC Analytics.
Centre for Mathematical Trading and Finance, Cass Business School; He received his DPhil in Physics from Oxford University in 1995. After
and a Fellow of the Securities and Investment Institute. a period in academic research, he migrated into quantitative analysis
and financial modelling in 1997, when he joined Nikko Securities. When
Dominic Connor Nikko closed down its European operations in 1998, he changed to
Dominic has been programming in C and C++ since the 1980s when NatWest, which later became part of the Royal Bank of Scotland group.
he graduated from Queen Mary’s College, London. He has built In 2000, he moved to Commerzbank Securities’ product development
trading systems for bond and equity markets, secure networks for the group, and headed up the team jointly with a co-head from 2003. From
British government, reviewed C++ and compilers for PC Magazine, and September 2004 to May 2008, he was with ABN AMRO as Global Head
debugged operating systems for IBM and Microsoft. At some point of Credit, Hybrid, Inflation, and Commodity Derivative Analytics. Peter
he has written code for every major environment including Windows, Jäckel is the author of the book Monte Carlo Methods in Finance (2002)
OS/2, Reuters, Bloomberg, VMS, AS/400, DOS, VM and Unix. and a series of articles on financial mathematics and derivatives models.

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These books are included in your course materials.

Paul Wilmott Espen Gaarder Haug Mike Staunton Peter Jäckel

Sébastien Lleo Mike Staunton


Dr Sébastien Lleo is a researcher at Imperial College London. His research Dr Mike Staunton is a visiting lecturer in Numerical Methods at Cass
interests include investment management, risk management, asset Business School in London. He has taught spreadsheet modelling to
pricing, stochastic control and stochastic analysis. Sébastien worked executives and graduate students since 1985, including for many years
for seven years in the investment industry, at the Bank of Canada and an annual program on Equity Portfolio Management in Geneva. He is
at CMHC Pension Fund. Sébastien holds a PhD in mathematics from the co-author, along with Mary Jackson, of Advanced Modelling in
Imperial College London (UK), an MBA from University of Ottawa Finance using Excel and VBA, published by John Wiley in 2001. He is
(Canada), and an MSc in Management from Reims Business School also Director of the London Share Price Database at London Business
(France). He is a CFA Charterholder, a Professional Risk Manager, a School and, together with Elroy Dimson and Paul Marsh, has written
Certified Financial Risk Manager and a CQF alumnus. Triumph of the Optimists: 101 Years of Global Investment Returns,
published by Princeton University Press in 2002.
Alonso Pena
Alonso Peña works as a quantitative analyst in the Structured Products Paul Wilmott
group for Thomson Reuters plc. He holds a PhD degree from the Dr Paul Wilmott is internationally renowned as a leading expert on
University of Cambridge (finite element analysis) and is a CQF alumnus. quantitative finance. His research work is extensive, with more than
His area of expertise is the pricing of financial derivatives, in particular 100 articles in leading mathematical and finance journals, as well as
structured products. He has publications in the fields of quantitative several internationally acclaimed books on mathematical modelling and
finance, applied mathematics, neuroscience and the history of science. derivatives, including the best-selling Paul Wilmott On Quantitative
He is currently Honorary Visiting Senior Research Fellow at the University Finance, published by John Wiley & Sons. Paul has extensive
of Cambridge (2006-2009) and in the Teaching Staff of the Mathematical consulting experience in quantitative finance with leading US and
Institute at the University of Oxford. Alonso has recently been appointed European financial institutions. He has founded a volatility arbitrage
Adjunct Professor at the SDA Bocconi Business School in Milan. hedge fund and a university degree course. Paul has lectured at all
levels, to students and to practitioners.
Tim Mills
Tim Mills is Senior Manager of Derivatives Trading at Nationwide Building Si Yi Zhou
Society, responsible for hedging the Society’s mortgage, commercial loan Before joining 7city CQF faculty Si Yi worked as a risk analyst in
and savings portfolio, and in overall charge of the Society’s derivatives a consulting firm to provide constructive solutions to banks and
portfolio and interest rate positioning. After receiving a Bachelor of insurance companies. He has worked on many projects with leading
Commerce (Hons) in Finance and Economics from the University of financial institutions and academics to solve practical issues in the
Toronto, he has worked for more than 10 years in the financial industry, financial markets. In particular he is experienced in credit derivative
qualifying as a CFA and ACA with KPMG. pricing, portfolio credit risk and correlation analysis.

CQF alumni are invited to work with Course Directors on a range of research projects following the completion of their program.

These books are included in your course materials.

Espen Gaarder Haug Paul Wilmott Moorad Choudhry Paul Wilmott

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Entry Requirements
General requirements
Each delegate who is accepted on the course has a high level
of intellectual curiosity, a strong interest in finance, and strong
analytical skills.
Although there is no specific degree requirement, most delegates will
have backgrounds in quantitative disciplines such as mathematics,
statistics, the physical sciences, engineering, operations research,
computer science, finance, or economics.
Master of Business Administration delegates should also have familiarity
with calculus, spreadsheets and computational problem solving.

Mathematics requirements
The CQF requires a certain minimum level of mathematics. This is
the key criteria in determining whether delegates will successfully
complete the course.
To ensure delegates have the necessary mathematics to enrol onto the
CQF we require each applicant to complete a pre-course mathematics
test. This evaluation will highlight the level of mathematics required at
the start of the program.
Many delegates starting the CQF do so believing that their
mathematics is rusty. As part of our offering for the CQF we include
the Mathematics Primer for delegates who want a structured approach
to bringing their numerical skills up to speed. In addition we can
recommend appropriate text books to refresh their abilities. Key Facts
IT requirements • Information Sessions around the world
The program is very practical and some classes require delegates to use • View our sample lectures online
Excel and VBA. Therefore all delegates should be familiar with Excel or
• Pre-course mathematics test to evaluate mathematics level
a similar spreadsheet package before joining the program. Delegates
attending the classroom program will require a lap-top computer. • A Mathematics Primer to help those feeling “rusty”
Delegates will not require prior experience in VBA as this will be • Talk to our alumni and discuss their CQF experience
introduced at the start of the course and supporting workshops will be • Contact us to discuss your eligibility
provided during the first half of the program.

For more information on entry requirements, pre-application steps and how to apply, simply go to cqf.com/apply.

DELEGATE PROFILE JUNE 2008

Daniel Hawkins
Previous Degree: MSci Theoretical Physics, University of Durham
Current Position: Head of Equity Derivatives Strategy, Nomura Europe

“ In my opinion, the CQF is a well-tailored, mathematically based course which looks to cover broad areas of the quantitative finance spectrum, beginning with
the basic framework across asset classes and expanding them into complex ideas and strategies in a very approachable manner, incorporating some of the
more recent areas of interest in finance (for example, the CDO market in the credit arena). The course is deliberately given a practical slant, incorporating
modelling in Excel/VBA, which gives a hands-on approach for students to allow an understanding of mathematical theories outside the textbooks.
One of the main strengths is the flexibility of the course, being geared towards individuals with time-consuming careers, allowing live remote access to


courses and the opportunity to watch the recorded lectures at a later date. This allowed me to catch up on any missed lectures, as well as clarify certain areas
where my notes were left somewhat wanting!

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Pre-Application Steps
The CQF is a mathematical finance program and we must ensure each delegate is fully prepared at the start of the
course. In addition, the program represents a significant commitment in terms of study time. The combination of these
factors means that it is crucial for potential applicants to obtain as much insight and feedback into the program as
possible. We have listed a series of pre-application steps that we strongly advise all delegates follow before submitting
an application.
Step 1 Step 5
Information Sessions: Potential applicants should try to attend an Additional Reading: Some delegates can prepare via their university
Information Session. These are held in Europe, US, the Middle East and notes. However for delegates who require additional guidance a
Asia and provide a very good opportunity to obtain an overview of the copy of our CQF Learning Pathway (syllabus) is available on request.
course format, content, and delivery. In addition delegates can meet This includes a full course reading list which highlights the books
some of the course faculty including Paul Wilmott and we invite alumni recommended for additional mathematics support.
to each of the events. To see a full list of Information Sessions for
the 2010 programs and to book your place, please visit our website
at cqf.com. For those applicants who cannot attend, a pre-recorded
Step 6
Information Session presentation can be viewed at cqf.com. Past Delegates: This is considered the most important and valuable
step. Past delegates are able to relate the course to their technical
experience and provide a realistic insight into the commitment and level
Step 2 of knowledge required to complete the program. They can also discuss
Past Classes: Feel free to view snippets of the following classes at cqf.com: the practical applications of the program and the benefits accrued in
• Visual Basic the workplace following the course. Potential applicants can request
contact details for alumni in the following categories:
• Monte Carlo Simulations
• Differential Equations • Industry sector
• Numerical Methods • Academic background
• and many more • Geographical region
These classes highlight the style of teaching and content delivered
throughout the course. Step 7
Finally, all potential applicants are advised to contact the CQF Course
Step 3 Directors (Dr Paul Wilmott and Dr Riaz Ahmad), the Program Manager
Pre-Course Mathematics Test: although the test is not part of the (Claire Riseley) or the Product Manager (Geoff Brown) to discuss their
admissions procedure, it serves as a very useful tool for potential specific situation in detail.
applicants to judge their mathematics background against the level
of mathematics required at the start of the course. All delegates
have to complete the test before starting the program. However, we
recognise that many delegates have not formally studied mathematics
for a significant period of time and there is an element of “rustiness”
with most applicants. The key indicator for potential applicants is the
recognition factor and providing there is sufficient time, the CQF faculty
can support those delegates who recognise the subjects tested but
need to go back to basics in order to complete the paper.

Step 4
Mathematics Primer: The Mathematics Primer was designed for those
delegates requiring a structured approach to refreshing their basic
mathematics knowledge, prior to commencing the full CQF program.
The course is delivered before the start of each CQF program. However
delegates can commence the Primer at any time since the course notes
and classes can be accessed online and are fully supported by the
Course Directors.
The Primer is delivered via 12 hours of intensive lectures and covers
the following subjects:
• Calculus
• Linear Algebra
• Probability
• Differential Equations

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How to Apply and Course Dates
We aim to make applying for the CQF as easy as possible. Should you have any questions about the application
process, send us an e-mail or give us a call. Please read the entry requirements and pre-application steps on pages
24-25 before applying for the course.

We operate a rolling admissions system, so early application is strongly advised due to the restricted number of delegates allowed on each program.

1.  Apply online at cqf.com/apply, or e-mail info@cqf.com and we will e-mail or post an


application form to you.

2.   e will acknowledge receipt of your application within two business days and it will be
W
reviewed within three business days indicating whether you have been granted preliminary
acceptance onto the course, and the time-scale within which you must make your decision on
the offer. We might also invite you to be interviewed over the phone with a Course Director.

3.  You will then be required to fill out a short enrolment form, accepting your place on the course.

4.  You will also be required to complete a pre-course mathematics test before the course
begins. This test will not determine whether you get onto the course, but simply indicate to
us what areas of mathematics are your strongest and weakest. You may complete this test up
to one week after taking the Mathematics Primer.

5.  If approved, you will then be required to pay a non-refundable deposit of £900 (US $1,750 in the
Americas) which will entitle you to reserve a place on the program and get access to preliminary
course materials and lectures, including the Mathematics Primer.

Course Dates
Mathematics Primer
The Mathematics Primer is held in New York and London 4 - 6 weeks prior to the commencement of each CQF course. For more information about
dates and times, check out cqf.com/primer.

CQF Course
The January course will commence on 13th January, and the June course will start on 30th June, 2010. For a comprehensive list of module dates
and class times, go to cqf.com/dates.

DELEGATE PROFILE JUNE 2008

John Hurley
Previous Degrees: BS, MA and PhD in Mathematics, State University of New York
Current Position: Security Policy Architect, major computer hardware manufacturer

“ The CQF is to my mind the most cost effective program available for quantitative finance. The materials and lectures are well done, and the authors of


the definitive works in particular areas of finance are also instructors for the course. The topics covered spanned a useful subset of the finance industry,
and being able to continue studying the materials even after the course ends is a tremendous bonus.

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Fees and Financing


Table of fees 2010 Funding
We appreciate that the CQF is a significant investment for self-financed
Course options Course Fee* UK Course Fee for
delegates and direct delegates to the following means of support.
and rest of the North and South
world in £ America in US$
For information on financial assistance to support your learning, please
CQF Classroom Learning £11,950* visit direct.gov.uk/adultlearning or contact 0800 100 900 (available in
CQF Distance Learning £ 9,950 $17,950 the UK only).

Per module payment option Financing and Scholarships


You can also choose to pay the fee per module on the condition that A number of scholarships are available to assist with the support of
the fee is paid prior to the commencement of each module. tuition fees for select delegates. cqf.com has more information about
these scholarships, such as how to apply for them and the varying
Course options Course Fee* UK Course Fee for
qualifying parameters involved. Candidates wishing to apply for a
and rest of the North and South
scholarship will need to be able to demonstrate why they will benefit
world in £ America in US$
from taking the CQF and why they should be worthy recipients of the
Modular payment option £2,150* discounted tuition.
classroom learning Total of £12,900*
Modular payment option £1,825* US $3,550 Thomson Reuters
distance learning Total of £10,950* for Total of US $21,300
the 6 modules for the 6 modules Scholarship
This scholarship is new for 2010! The Thomson Reuters Scholarship
These fees cover the CQF program for 2010 including costs of will be awarded to one applicant per course, whereby the recipient will
registration, course reading material, tuition, examination, the have his/her course tuition 100% waived.
Mathematics Primer, the core CQF, C++ and Java programming
courses, Masterclasses, Lifelong Learning, membership to CQF alumni All applications and supporting documents must be submitted at least
and access to recordings of all mentioned classes in perpetuity. two months prior to the course start date.
*VAT (at the prevailing rate) will be charged to UK and EU residents

Enrolment conditions
Wilmott Scholarship
Approved delegates will be required to pay a non-refundable deposit For those who are unemployed, full-time students or living in a
of £900* (US$1,750 in the Americas) which will entitle them to: developing country on a low income, the Wilmott Scholarship covers
35% of the tuition fees.
• reserve a place on the next CQF program
• receive their course reading materials (twelve quant textbooks, see
page 14) Pacific American Scholarship
• access recorded Mathematics Primer lectures and associated A scholarship exists for those who are of Pacific American descent and
material on request** are unemployed. Recipients of this program will have 50% of the total
CQF tuition covered.
• join a live (classroom or distance) Mathematics Primer prior to
commencing the CQF on request**. The remainder of your course
fees will be due in advance of the course start date. How do I apply?
**Please note that the Mathematics Primer is offered at no additional Please contact the admissions office to request your Scholarship
cost to confirmed CQF delegates i.e. delegates who have confirmed Application Form at info@cqf.com.
their intention to take the CQF by arranging payment for their
deposit or full fees. Please refer to page 12 for Mathematics Primer As part of the application procedure you will need to include an up-to-
enrolment conditions. date resume which briefly summarises your work experience and
academic history.
If cancellations of confirmed bookings are received in writing more than
30 days before the start date we will retain your non-refundable deposit
and the cost of the Mathematics Primer and return the balance of your
fees. Cancellations of confirmed bookings are subject to a refund of 50%
if notification is provided within 30 days before the start date; no refund
is applicable if notification of cancellation is within 15 days before the start
date or non-attendance. Delegates will receive course reading material on
receipt of a completed course enrolment form.

Two payment options


• The full fee is normally paid before the program commences.
• Alternatively it is possible to pay on a per module basis. Each module
fee needs to be paid prior to its start.

27
About Wilmott
wilmott.com
The Wilmott website, magazine and journal are the first ports of call for state-of-the-art research and ideas exchange
in risk, derivatives and development. Wilmott.com is the world’s largest quant discussion forum where you can get
to meet the big names in quant finance and interact with your peers 24/7. Wilmott magazine has regular columns by
the great and the good in risk and derivatives. It has built a reputation for being ahead of events, warning readers of
potential crises before they happen. Wilmott journal publishes cutting-edge research and paradigm-shifting articles.

Wilmott magazine Wilmott journal

Wilmott.com

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E: info@cqf.com W: cqf.com

About 7city Learning


Passion… 7city.com
Innovation. Professionalism. Intellect.
Since our inception in 2000, 7city has become a trusted training provider to financial institutions around the globe. At
our training centers in London, New York and Singapore and via our cutting-edge virtual learning portals, we are proud
to work with over 20,000 students each year.

Our leading edge of training solutions includes preparation for regulatory


licenses and professional qualifications, introductory training for
financial instruments or graduate programs, as well as uniquely tailored
benchmark certificates. The CQF is 7city’s flagship course.

Our designation of The Sunday Times Virgin Atlantic Fast Track status
in 2005, 2006, 2007 and 2008 along with our World of Learning
and Distance Learning Awards speak to our innovative techniques,
technology and custom-fit methodologies.

Training Competencies

GLOBAL EXAM TRAINING NON-EXAM TRAINING

BENCHMARK PROFESSIONAL FINANCIAL TRAINING MANAGEMENT & PERSONAL


QUALIFICATIONS QUALIFICATIONS DEVELOPMENT TRAINING

• FINRA REGULATORY LICENSING • CFA • GENERAL FINANCE • L EADERSHIP & MANAGEMENT


• IMC (UK Only) • CAIA • CORPORATE FINANCE DEVELOPMENT
• IFQ (UK Only) • CQF • DERIVATIVES
• ACOR/AGSO (UK Only) • SII DIPLOMA (UK Only) • EQUITIES • P ERSONAL DEVELOPMENT
• IAQ (UK Only) • ACCA (UK Only) • FINANCIAL MATHEMATICS TRAINING
• S II LEVEL 3 CERTIFICATES • CIMA (UK Only) • FINANCIAL STATEMENT ANALYSIS
(UK Only) • FIXED INCOME
• INVESTMENT MANAGEMENT
• SIMULATIONS
• AND MORE…

GRADUTES AND INTERNS DEVELOPMENT

Should your company require any training or development needs simply get in touch with one of our Client Relationship Managers:

EMEA
T: +44 (0) 845 072 7620
E: clientservices@7city.com

USA
T: +011 1 646 943 6200
E: usclientservices@7city.com

Asia Pacific
T: +65 6327 1581
E: clientservices@7city.com.sg

29
Frequently Asked Questions
Who should attend the program? What level of mathematics is required?
The Certificate will be of special interest to those working in: Delegates should have a numerate academic qualification and should
• Derivatives have familiarity with spreadsheet and computational problem solving.
• Risk Management Delegates who feel their mathematics is a little rusty are encouraged
to attend our pre-course Mathematics Primer (see page 12) prior to
• Structuring
commencing the CQF. This program is offered to CQF delegates at
• Trading
no extra cost.
• Fund Management
• IT Investment
• Banking
• Hedge Funds
How do I apply?
• Financial Software Simply go to cqf.com/apply, where an online application form is
• Consulting available. Class sizes are restricted and places are awarded on a first-
• Universities come, first-served basis, provided a delegate’s application
has been approved and the mathematics entry test has been
• Regulation
completed successfully.

How long is the course? How long will it take to receive a decision on
The examined core part of the course is six months long, but this my application?
is only part of the CQF package. Before the CQF starts there is the We endeavour to make a decision within three business days of a
Mathematics Primer, and after you have passed your exams and
complete application being received.
completed the project there is a huge range of “Extras”’ to learn from
and enjoy.

When do I need to submit the mathematics test?


What happens if a delegate fails an exam? We advise all delegates to first complete the application form and
submit this for Course Director approval. They should then start
If a delegate is struggling with a module they are encouraged to working through the mathematics test, complete and return it by post
contact us as soon as possible so that a member of the CQF faculty or fax before the start of the course.
can give them extra help and support.

If a delegate fails one of the modules the CQF faculty will meet and
review their position. On the basis of this meeting they will then What equipment do I need to view the webcast?
recommend the delegate either retakes the examination or defers to To view the webcast live or recorded, you will need a computer
the next program using this extra time to revise the relevant topics. with a sound card and a speaker. You will also need broadband
There is no cost to defer the CQF program. internet access.

When does the course start? Can I sample a webcast?


The course is delivered twice a year, commencing in January Absolutely. Go to cqf.com, and select ‘Webcasts’ under ‘Program’.
and in June.

How long will I have access to the


Is it possible to complete selected modules? recorded lectures?
The CQF is designed to be taken as one complete and inter- Delegates have access to the recorded lectures in perpetuity.
dependent program. It is not possible to take individual modules
independent of the program.
What happens if a delegate is unable to
complete the CQF in six months?
Can I get help with funding? The majority of delegates complete the CQF in six months. However
We offer the Thomson Reuters, Wilmott and Pacific American it is possible for delegates to defer their completion of the CQF to
Foundation Scholarships, which provide funds to enable certain the next program (there is no charge for doing this). Delegates who
individuals in specific situations to attend the Certificate in defer their completion of the CQF program (classroom and distance
Quantitative Finance. These Awards will be made at the discretion of learners) complete their training using the distance learning tools
the Scholarships Committee to outstanding candidates who meet the available including live webcast, recorded lectures and access to
scholarship requirements and who, in the opinion of the committee, all relevant material online. Delegates have up to three years to
are deserving and will gain the most from the program. complete the course.

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The Certificate in Quantitative


Finance (CQF)

• Fastest-growing quantitative finance program in the world


• Six-month part-time program
• Classroom or distance learning
• All classroom sessions are recorded so delegates have
the option of studying in their own time
• All modules are supported by programming workshops
• Delivered every six months by leading academics and
practitioners and led by Dr Paul Wilmott
• Provides an in-depth coverage of practical quantitative
methods for today’s financial markets
• CQF alumni benefit from a rapidly expanding continuing
professional development program
• Includes additional lectures in C++ for financial
programming, Mathematics Primer, Lifelong Learning,
CQF alumni membership, all materials and books, and
access to recordings in perpetuity
• CQF Information Sessions are held regularly in all major
financial centers of the world

Global Information Sessions

The best way to find out more about the CQF is to attend
one of our Information Sessions, where you can meet Dr
Paul Wilmott and his team to discuss all details of the course.
You will also be able to chat to alumni and gauge their
feedback as to what the CQF did for them and their careers.
We regularly hold these sessions right around the world,
so book your place early as some venues get booked out.
Location, dates and even an online version of an information
session can be viewed at cqf.com/infosession. All
information sessions start at 6.30pm.

cqf.com

Check out the all-new cqf.com for further details about


the program:
• Informational videos
• Latest Information Sessions
• Webcasts and demos of our online learning tools
• Latest news and events
• Media releases

31
CERTIFICATE IN

FINANCE

CQF
Engineered for the Financial Markets

7city Learning
E: info@cqf.com W: cqf.com
London Training Centre: 7city Learning , 4 Chiswell Street, London EC1Y 4UP
Tel +44 (0)845 072 7620 Fax +44 (0)20 7496 8607
New York Training Center: 7city Learning , 55 Broad Street, 3rd floor, New York, NY 10004
Tel + 1 (800) 974-0394 Fax + 1 (212) 480-2974
Singapore Training Centre: 7city Learning , 3 Raffles Place, 07-01 Bharat Building, Singapore 048617
Tel +65 6329 9646 Fax +65 6329 9699