CQF Dates June 2010
All lectures take place from 6pm to 8:30pm London Time.
| Session | Date | Day | Laptop required | Modular Assessment | Title | Lecturer |
|---|---|---|---|---|---|---|
| Session 1.1 | 30th June | Wednesday | Yes | The Random Behaviour of Assets | Paul Wilmott | |
| Session 1.2 | 5th July | Monday | Taylor Series and Transition Density Functions | Paul Wilmott | ||
| Session 1.3 | 12th July | Monday | Stochastic Calculus and Itô’s Lemma | Riaz Ahmad | ||
| Session 1.4 | 13th or 14th or 15th July* | Wed or Thurs | Yes | *Due to technical restrictions delegate must register for one of these dates. | Introductory Trading Simulator | Alex Wirtz |
| Session 1.5 | 20th July | Tuesday | Yes | VB Workshop | Mike Staunton | |
| Session 1.6 | 22nd July | Thursday | Yes | Module 1 exam distributed | Simulating and Manipulating Stochastic Differential Equations | Riaz Ahmad |
| 3rd August | Tuesday | Exam deadline | ||||
| Session 2.1 | 5th August | Thursday | Products and Strategies | Neil Graham | ||
| Session 2.2 | 10th August | Tuesday | Yes | Portfolio Management | Sebastien Lleo/Mike Staunton |
|
| Session 2.3 | 11th August | Wednesday | Martingale Theory - Fundamentals | Seb Lleo | ||
| Session 2.4 | 17th August | Tuesday | Yes | Binomial Model | Andy Duncan | |
| Session 2.5 | 19th August | Thursday | Yes | Module 2 exam distributed | Value at Risk and Volatility | Andy Duncan |
| Session 3.1 | 24th August | Tuesday | Black-Scholes Model | Riaz Ahmad | ||
| Session 3.2 | 26th August | Thursday | Discrete Hedging and Transaction Costs | Paul Wilmott | ||
| 31st August | Tuesday | Exam deadline | ||||
| Session 3.3 | 2nd September | Thursday | Martingale Theory – Application to Option Pricing | Seb Lleo | ||
| Session 3.4 | 6th or 7th or 8th September* | Tues or Wed | Yes | *Due to technical restrictions delegates must register for one of these dates. | Trading Simulator - Trading Equity Options | Alex Wirtz |
| Session 3.5 | 14th September | Tuesday | Understanding Volatility | Riaz Ahmad | ||
| Session 3.6 | 16th September | Thursday | Yes | Monte Carlo and Finite Differences | Paul Wilmott | |
| Session 3.7 | 20th September | Monday | Module 3 exam distributed | Martingales and PDEs: Which, when and why Part I | Seb Lleo | |
| Session 4.1 | 22nd September | Wednesday | Yes | Stochastic Interest Rate Modelling | Riaz Ahmad | |
| Session 4.2 | 27th September | Monday | Fixed Income Products and Analysis | Andy Duncan | ||
| Session 4.3 | 29th September | Wednesday | Calibration and data Analysis | Paul Wilmott | ||
| 4th October | Monday | Exam deadline | ||||
| Session 4.4 | 5th October | Tuesday | Probabilistic methods for interest rates | Seb Lleo | ||
| Session 4.5 | 7th October | Thursday | Heath Jarrow and Morton Model | Riaz Ahmad | ||
| Session 4.6 | 13th October | Wednesday | Module 4 exam distributed | The Libor Market Model | Peter Jaeckel | |
| Session 5.1 | 20th October | Wednesday | Introduction to Credit Derivatives | Moorad Choudhry | ||
| Session 5.2 | 26th October | Tuesday | Yes | Exam deadline and Module 6 project distributed (NB deadline for project 17th Jan 2011) | Structural Models | Alonso Pena |
| Session 5.3 | 28th October | Thursday |
|
Intensity Models | SiYi Zhou | |
| Session 5.4 | 2nd November | Tuesday | Yes | Credit Default Swaps | Alonso Pena | |
| Session 5.5 | 4th November | Thursday | Yes | Collateralized Debt Obligations | SiYi Zhou | |
| Session 5.6 | 11th November | Thursday | Module 5 exam distributed | Advanced Credit Derivatives | Seb Lleo | |
| Session 6.1 | 22nd November | Monday | Exotic Options | SiYi Zhou | ||
| 23rd November | Tuesday | Exam deadline | ||||
| Session 6.2 | 24th November | Wednesday | Further Finite Difference Methods | Riaz Ahmad | ||
| Session 6.3 | 30th November | Tuesday | 'Advanced' Volatility Modeling in Complete Markets | Paul Wilmott | ||
| Session 6.4 | 2nd December | Thursday | Further Monte Carlo | Peter Jaeckel | ||
| Session 6.5 | 6th December | Monday | Time Series in Financial Markets | Brian Sentance | ||
| Session 6.6 | 7th December | Tuesday |
Incomplete Markets: Jump Diffusion and Stochastic Volatility |
Riaz Ahmad | ||
| Session 6.7 | 9th December | Thursday | Martingales and PDEs: “Which, when and why” Part II | Seb Lleo | ||
| Session 6.8 | 13th December | Monday | Energy Derivatives | Iris Mack | ||
| Session 6.9 | 15th December | Wednesday | Correlation Sensitivity and State Dependence | SiYi Zhou |