Overview Body of knowledge Testing FAQ

Body of Knowledge
Financial Engineering for Investment

Data Science
Mathematics

Data Science
Foundations

Advanced
Data Science

Data Science
for Finance

Financial Engineering
for Investment

Quantitative Risk
Management

Quantitative Portfolio
Management

Financial Engineering for Investment

About quantitative finance: P and Q

Executive summary

Valuation foundations

Points of interest and pitfalls

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

Intertemporal consistency

The "Checklist": executive summary

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

Monte Carlo

Historical

Application to credit risk

Square-root rule and generalizations

Step 4. Projection - Historical

Step 4. Projection - Monte Carlo

Univariate analytical projection

Multivariate analytical projection

Efficiency: Lévy processes

Mean-reversion (continuous state)

Mean-reversion (discrete state)

Long memory: fractional Brownian motion

Volatility clustering

Multivariate mean reversion

Pricing at the horizon

Exact repricing

Carry

Taylor approximations

Joint P&L distribution

Step 5. Pricing at the horizon - Historical

Step 5. Pricing at the horizon - Monte Carlo