Program

The Quant Marathon includes four all-encompassing, mutually exclusive, core learning courses that cover all of the topics of the ARPM Lab, plus several refresher topics 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.
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
One-step historical projection
Univariate analytical projection
Efficiency: Lévy processes
Mean-reversion (continuous state)
Mean-reversion (discrete state)
Volatility clustering
Multivariate mean reversion
Multivariate analytical projection
Monte Carlo
Historical
Application to credit risk
Square-root rule and generalizations
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
Pricing at the horizon
Exact repricing
Carry
Taylor approximations

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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