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Special topics:
Data Science for Finance
Fin. Eng. for Investment
Quant. Risk Mngt.
Quant. Portfolio Mngt.
Refresher - Mathematics
Refresher - Python
Refresher - MATLAB
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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.
REGISTER NOW
1. Introduction
About ARPM
(Lab, Courses, Certification)
ARPM Lab
– how it works
ARPM Lab
– contents
About Quantitative Finance: P vs Q
Notation
The “Checklist” executive summary
Financial engineering for investment – overview
2. Valuation
Background definitions
Valuation foundations
Points of interest
Linear pricing theory: core
Linear pricing: fundamental axioms
Stochastic discount factor
Fundamental theorem of asset pricing
Risk-neutral pricing
Summary
Capital asset pricing model framework
Covariance principle
3. Valuation
Summary
Linear pricing theory: further assumptions
Completeness
Equilibrium: pure capital asset pricing model (CAPM)
Arbitrage pricing theory (APT)
Intertemporal consistency and martingales
Non-linear pricing theory
Non-linear pricing: fundamental axioms
Non-linear pricing: valuation as evaluation
4. Risk drivers identification
Risk drivers identification – overview
Equities risk drivers
Fixed-income risk drivers
Currencies risk drivers
Strategies risk drivers
Summary
5. Risk drivers identification
Derivatives risk drivers
Credit risk drivers
Insurance risk drivers
Operations risk drivers
Summary
6. Projection
Introduction
Projection – overview
One-step historical projection
Analytical univariate projection
Efficiency: Lévy processes
Univariate Ornstein-Uhlenbeck process
Mean reversion (continuous state)
Mean reversion (discrete state)
Long memory: fractional Brownian motion
Volatility clustering: stochastic volatility; time change
7. Projection
Introduction
First order autoregression
VAR(1)
Multivariate Ornstein-Uhlenbeck
Analytical multivariate projection
Monte Carlo projection
Multivariate Markov chains
Historical bootstrapping
Square-root propagation of risk, generalizations, violations
8. Pricing at the horizon
Pricing at the horizon – overview
Exact repricing
Equities
Currencies
Fixed income
Derivatives
Credit
9. Pricing at the horizon
Introduction
Carry
Currencies
Fixed income
Derivatives
Taylor approximation
Equities
Fixed income: duration-convexity
Derivatives: delta-gamma-vega-…
Hybrid stress-matrix
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