Program

Logo ARPM Quant Marathon

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses, plus optional coding refresher courses for preparation purposes.

Financial Engineering for Investment

25-hours course
This course prepares for the Financial Engineering for Investment module of the ARPM Certificate Body of Knowledge.
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
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
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)
Volatility clustering
Multivariate mean reversion
Pricing at the horizon
Exact repricing
Carry
Taylor approximations
Joint P&L distribution

Testimonials

Our thousands of Alumni include senior executives from world-renowned banks such as Goldman Sachs and Morgan Stanley, funds such as BlackRock, Two Sigma and AQR, and a wide range of other professionals and academics with different backgrounds.

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