Body of Knowledge

Data Science
Financial Engineering
for Investment
Quantitative Risk
Management
Quantitative Portfolio
Management

Financial Engineering for Investment

About the ARPM Lab
About quantitative finance: P and Q
Notation
The "Checklist": executive summary
Valuation foundations
Points of interest and pitfalls
Risk drivers identification
Equities
Currencies
Fixed-income
Derivatives
Credit
Insurance
Operations
Strategies
Case studies - Checklist: summary
Step 1. Risk drivers identification - Historical
Step 1. Risk drivers identification - Monte Carlo
Projection
One-step historical projection
Univariate analytical projection
Efficiency: Lévy processes
Mean-reversion (continuous state)
Mean-reversion (discrete state)
Long memory: fractional Brownian motion
Volatility clustering
Multivariate mean reversion
Multivariate analytical projection
Monte Carlo
Historical
Application to credit risk
Square-root rule and generalizations
Step 4. Projection - Historical
Step 4. Projection - Monte Carlo
Fundamental axioms
Fundamental theorem of asset pricing
Risk-neutral pricing
Capital asset pricing model framework
Covariance principle
Completeness
Equilibrium: pure capital asset pricing model
Arbitrage pricing theory
Intertemporal consistency
Fundamental axioms
Valuation as evaluation
Pricing at the horizon
Exact repricing
Carry
Taylor approximations
Step 5. Pricing at the horizon - Historical
Step 5. Pricing at the horizon - Monte Carlo
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