Financial Engineering for Investment

25-hours course
Mathematics
Python
MATLAB
Data Science for Finance
Quantitative Risk Management
Financial Engineering for Investment
Quantitative Portfolio Management
This course prepares for the Financial Engineering for Investment module of the ARPM Certificate Body of Knowledge.
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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
Projection
Efficiency: Lévy processes
Ornstein-Uhlenbeck
Mean-reversion (continuous state)
Mean-reversion (discrete state)
Long memory: fractional Brownian motion
Volatility clustering
Multivariate Ornstein-Uhlenbeck
Relationship between (V)AR and (MV)OU
Multivariate analytical projection
Monte Carlo
Historical
Application to credit risk
Square-root rule and generalizations
Fundamental axioms
Stochastic discount factor
Fundamental theorem of asset pricing
Risk-neutral pricing
Capital asset pricing model framework
Covariance principle
Completeness
Equilibrium: pure capital asset pricing model
Equilibrium: Buhlmann pricing equation
Arbitrage pricing theory
Intertemporal consistency
Fundamental axioms
Valuation as evaluation
Pricing at the horizon
Exact repricing
Carry
Taylor approximations
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