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www.cqf.comMODULE TWORisk and ReturnWe deal with the classical portfolio theory of Markowitz, theCapital Asset Pricing Model and more recent developmentsof these theories. We investigate risk and reward, lookingat risk management metrics such as VaR. We also see therudiments of option pricing principles and theory in thebinomial model.• Modern Portfolio Theory• Capital Asset Pricing Model• Sharpe Ratio and Market Price of Risk• Arbitrage Pricing Theory• Portfolio Optimization for Portfolio Selection• The Black-Litterman Model• Value at Risk• Volatility Clustering and Other Stylized Facts• Properties of Daily and High Frequency Asset Returns• Volatility Models: the ARCH FrameworkMODULE THREEEquity, Currency and Commodity DerivativesThe Black-Scholes theory, built on the principles ofdeltahedging and no arbitrage, has been very successfuland fruitful as a theoretical model and in practice. Thetheory and results are explained using different kinds ofmathematics to make the delegate familiar with techniquesin current use.• The Black-Scholes Model• Hedging and the Greeks• Option Strategies• Early Exercise and American Options• Finite-Difference Methods• Monte Carlo Simulations• Exotic Options• Volatility Arbitrage Strategies• Martingale Theory for Pricing• Girsanov’s Theorem• Advanced Greeks• Derivatives Market PracticeMODULE FIVEMODULE SIXCredit Products and RiskCredit risk plays an important role in current financialmarkets. We see the major products and examine the mostimportant models. The modeling approaches include thestructural and the reduced form, as well as copulas.• Structural Models• Reduced-Form Model and the Hazard Rate• Credit Risk and Credit Derivatives• Credit Valuation Adjustment (CVA)• CDS Pricing, Market Approach• Synthetic CDO Pricing• Risk of Default, Structural and Reduced Form• Implementation of Copula Models• Statistical Methods for Estimating Default ProbabilityAdvanced TopicsThe benefits of new models will be discussed fromtheoretical, practical and commercial viewpoints. Themodels derived in earlier parts of the course are only asgood as the solution. Increasingly, often the problemsmust be solved numerically. We explain the main numericalmethods, and their practical implementation.• Deterministic Volatility and Calibration• Stochastic Volatility and Jump Diffusion• Non-Probabilistic Volatility Models• Correlation Sensitivity and State Dependence• Monte Carlo Methods, Brownian Bridge, Advanced Schemes• Quasi-Monte Carlo Methods, Sobol and more• Dynamic Asset Allocation• NAG and Excel for Quant• Cointegration: Modeling Long-term Relationships• Risk Management in Energy Derivatives• Speculation in Energy DerivativesModules One to Five are examined at the end of each respective module. For Module Six all delegates have to complete a practicalproject and apply their theoretical knowledge to real-world problems.13