CQF Dates January 2010
All lectures take place from 6pm to 8:30pm London Time.
| Session | Date | Day | Laptop required | Modular Assessment | Title | Lecturer |
|---|---|---|---|---|---|---|
| Session 1.1 | 13 January | Wednesday | Yes | The Random Behaviour of Assets | Paul Wilmott | |
| Session 1.2 | 19 January | Tuesday | Calculus Refresher, Taylor Series and Transition Density Functions |
Paul Wilmott | ||
| Session 1.3 | 21 January | Thursday | Methods for Quant Finance:I | Riaz Ahmad | ||
| Session 1.4 | 26 January | Tuesday | Stochastic Calculus and Itô’s Lemma | Riaz Ahmad | ||
| Session 1.5 | 28 January | Thursday | Yes | From VBA to C++ Workshop | Mike Staunton | |
| Session 1.6 | 1 or 2 or 8 Feb* | Mon or Tues | Yes | *Due to technical restrictions delegate must register for one of these dates. | Introductory Trading Simulator | Alex Wirtz |
| Session 1.7 | 4 February | Thursday | Yes | Module 1 exam distributed | Simulating and Manipulating Stochastic Differential Equations | Riaz Ahmad |
| Session 2.1 | 10 February | Wednesday | Yes | Portfolio Management | Sebastien Lleo/Mike Staunton |
|
| Session 2.2 | 16 February | Tuesday | Exam deadline | Products and Strategies | Neil Graham | |
| Session 2.3 | 18 February | Thursday | Martingale Theory - Fundamentals | Seb Lleo | ||
| Session 2.4 | 23 February | Tuesday | Yes | Value at Risk and Volatility | Andy Duncan | |
| Session 2.5 | 25 February | Thursday | Yes | Binomial Model | Andy Duncan | |
| Session 2.6 | 2 March | Tuesday | Fundamentals of Optimization and Application to Portfolio Selection | Seb Lleo | ||
| Session 2.7 | 4 March | Thursday | Module 2 exam distributed | Methods for Quant Finance: II | Riaz Ahmad | |
| Session 3.1 | 10 March | Wednesday | Black-Scholes Model | Riaz Ahmad | ||
| Session 3.2 | 15 March | Monday | Martingale Theory - Application to Option Pricing | Seb Lleo | ||
| Session 3.3 | 16 March | Tuesday | Exam Deadline | Advanced Greeks | Espen Haug | |
| Session 3.4 | 22 or 23 or 24 March* | Mon or Tues | Yes | *Due to technical restrictions delegates must register for one of these dates. | Trading Simulator - Trading Equity Optins | Alex Wirtz |
| Session 3.5 | 25 March | Thursday | Understanding Volatility | Paul Wilmott | ||
| Session 3.6 | 29 March | Monday | Yes | Monte Carlo and Finite Differences | Paul Wilmott | |
| Session 3.7 | 1 April | Thursday | Module 3 exam distributed | Martingales and PDEs: Which, when and why Part I | Seb Lleo | |
| Session 4.1 | 7 April | Wednesday | Yes | Fixed Income Products and Analysis | Andy Duncan | |
| Session 4.2 | 13 April | Tuesday | Exam Deadline | Stochastic Interest Rate Modelling | Riaz Ahmad | |
| Session 4.3 | 15 April | Thursday | Calibration and data Analysis | Paul Wilmott | ||
| Session 4.4 | 21 April | Wednesday | Probabilistic methods for interest rates | Seb Lleo | ||
| Session 4.5 | 28 April | Wednesday | Heath Jarrow and Morton Model | Paul Wilmott | ||
| Session 4.6 | 4 May | Tuesday | Module 4 exam distributed | The Libor Market Model | Peter Jaeckel | |
| Session 5.1 | 6 May | Thursday | Yes | Structural Models | Alonso Pena | |
| Session 5.2 | 11 May | Tuesday | Intensity Models | SiYi Zhou | ||
| Session 5.3 | 13 May | Thursday |
|
Introduction to Credit Derivatives | Moorad Choudhry | |
| 17 May | Monday | Exam deadline and Module 6 Project distributed (NB deadline 9th Aug '10) | ||||
| Session 5.4 | 18 May | Tuesday | Yes | Credit Default Swaps | Alonso Pena | |
| Session 5.5 | 20 May | Thursday | Yes | Collateralized Debt Obligations | SiYi Zhou | |
| Session 5.6 | 26 May | Wednesday | Module 5 exam distributed | Advanced Credit Derivatives | Seb Lleo | |
| Session 6.1 | 1 June | Tuesday | Time Series in Financial Markets | Brian Sentance | ||
| Session 6.2 | 3 June | Thursday | Exotic Options | SiYi Zhou | ||
| Session 6.3 | 8 June | Tuesday | Exam Deadline | Incomplete Markets: Jump Diffusion and Stochastic Volatility | Riaz Ahmad | |
| Session 6.4 | 10 June | Thursday | 'Advanced' Volatility Modeling in Complete Markets | Paul Wilmott | ||
| Session 6.5 | 15 June | Tuesday | Further Monte Carlo | Peter Jaeckel | ||
| Session 6.6 | 17 June | Thursday | Martingales and PDEs: More "Which, When and Why" Part II | Seb Lleo | ||
| Session 6.7 | 22 June | Tuesday | Further Finite Difference Methods | Riaz Ahmad | ||
| Session 6.8 | 24 June | Thursday | Discrete Hedging and Transaction Costs | Paul Wilmott | ||
| Session 6.9 | 29 June | Tuesday | Correlation Sensitivity and State Dependence | Paul W & SiYi Zhou |