Program
Lifelong Learning
CQF alumni have permanent, unrestricted access to their CQF lectures. In addition, all alumni also receive access to the entire lifelong learning library.
Our additional lectures, classes, workshops and programming modules are more than 2.5 times the size of the core CQF, and when you sign on to the course all of it is yours at no extra cost, in perpetuity. This means that alumni can maintain and further their professional development, keeping their knowledge and skills at the forefront of the field, at no additional cost.
The CQF library is vast and constantly being updated and added to. Please read on below for a selection of the additional material.
Lifelong Learning
Lifelong learning is the biggest component of the additional lectures and contains a library of over 500 hours of lectures on every conceivable finance subject. Delivered by some of the most eminent practitioners and academics, the content is ever expanding, as additional lectures continually take place.
CREDIT
| Lecture | Lecturer |
|---|---|
| Recent Developments in Credit Risk | Wim Schoutens |
| Modeling and Measuring Sovereign Credit Risk | Ephraim Clark |
| Credit Modeling (Lecture IV) | Claudio Albanese |
| Credit Modeling (Lecture III) | Claudio Albanese |
| Credit Modeling (Lecture II) | Claudio Albanese |
| Credit Modeling (Lecture I) | Claudio Albanese |
| Copulas: Applications to the Pricing of Credit Derivatives | Seb Lleo |
| The Pricing of CDO's Using Levy Copulas | Wim Schoutens |
| Jumps in Credit Risk Modeling and Intensity Models: Theory, Calibration, Pricing | Wim Schoutens |
| CDS Pricing: Market Approach | Moorad Choudhry |
| Synthetic CDO Note Pricing | Moorad Choudhry |
| Copula and Implementing CDO Pricing | Siyi Zhou |
| CDOs, Correlation Products and Dangers Therein | Paul Wilmott |
| Copulas and CDO Implementation | Siyi Zhou |
| Correlation Sensitivity and State Dependence | Paul Wilmott and Siyi Zhou |
| Structural Models | Alonso Pena |
| Intensity Models | Siyi Zhou |
| Introduction to Credit Derivatives | Moorad Choudhry |
| Credit Default Swaps | Alonso Pena |
| Advanced Credit Derivatives | Seb Lleo |
ECONOMICS
| Lecture | Lecturer |
|---|---|
| The Credit Crunch: Past, Present and Future | Michael J. Oliver |
| What Signals Worked and What Did Not, 1980-2009 | Bill Ziemba |
EQUITY
| Lecture | Lecturer |
|---|---|
| Convertible Bonds | Paul Wilmott |
| The Feedback Effect of Hedging in Illiquid Markets | Paul Wilmott |
| Dividend Modeling and Option Pricing (Some Practitioners' Models and a New Model) | Ralf Korn |
| Ten Ways to Derive Black-Scholes | Paul Wilmott |
| Pricing a Class of Options via Moments and SDP Relaxations | Milhail Zervos |
| How to Hedge | Paul Wilmott |
| Multi-Asset Options | Paul Wilmott |
| Miscellaneous Options | Paul Wilmott |
| Lookback Options | Paul Wilmott |
| Asian Options | Paul Wilmott |
| Strongly Path Dependent Options | Paul Wilmott |
| Barrier Options | Paul Wilmott |
| Introduction to Exotic and Path-Dependent Options | Paul Wilmott |
| Black-Scholes Model | Paul Wilmott |
| Binomial Model | Paul Wilmott |
| Random Behaviour of Assets | Paul Wilmott |
| The "Non-Greek" Non-Foundation of Derivative Pricing | Elie Ayache |
| Term Sheets | Paul Wilmott |
| Exotic Options | Paul Wilmott |
| Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation | Wim Schoutens |
| Repo Rates and Short Selling Restrictions | Paul Wilmott |
| The Life of a Fundamental Analyst | Anneke Minnema |
FIXED INCOME
| Lecture | Lecturer |
|---|---|
| Black 76 | Espen Haug |
| Fixed Income Modeling (Lecture IV) | Claudio Albanese |
| Fixed Income Modeling (Lecture III) | Claudio Albanese |
| Fixed Income Modeling (Lecture II) | Claudio Albanese |
| Fixed Income Modeling (Lecture I) | Claudio Albanese |
| The Market Price of Risk | Paul Wilmott |
| Managing Smile Risk | Pat Hagan |
| Advanced BGM | Peter Jaeckel |
| The Heath, Jarrow and Morton Model | Paul Wilmott |
| Probabilistic Methods for Interest Rates | Seb Lleo |
MATHEMATICS
| Lecture | Lecturer |
|---|---|
| Can You Count on your Correlation Matrix? | Nick Higham |
| Singular Peturbation Problems Arising in Mathematical Finance: Fluid Dynamics Concepts in Option Pricing | Peter Duck |
| Derivatives and Stochastic Control | Paul Wilmott |
| Method Of Separation Of Variables | Riaz Ahmad |
| Introduction to Copulas | Seb Lleo |
| Fundamentals of Optimization | Seb Lleo |
| Can You Feel the Heat? Inverse Problems in Finance | Andreas Binder |
| Differential Equations | Riaz Ahmad |
| Quants Toolbox | Riaz Ahmad |
| Martingales | Riaz Ahmad |
| American Options | Riaz Ahmad |
| Stochastic Calculus | Riaz Ahmad |
| Linear Algebra | Riaz Ahmad |
| Black Scholes, Mathematical Methods and Intro to Numerical Methods | Riaz Ahmad |
| Methods for Quant Finance: I | Riaz Ahmad |
| Methods for Quant Finance: II | Riaz Ahmad |
| Martingales and PDEs: Which, When and Why | Seb Lleo |
| Martingales and PDEs: More Which, When and Why | Seb Lleo |
| Complex Analysis | Riaz Ahmad |
NUMERICAL METHODS
| Lecture | Lecturer |
|---|---|
| Software Issues in Wavelet Analysis of Financial Data | Robert Tong |
| VBA Workshop | Mike Staunton |
| An Introduction to Spreadsheet Risk | Grenville Croll |
| Monte Carlo Simulation and Early Exercise | Paul Wilmott |
| Finite Difference Model | Paul Wilmott |
| Monte Carlo Simulations | Paul Wilmott |
| Numerical Integration | Paul Wilmott |
| Convertible Bond Coding Workshop | Paul Wilmott |
| VG Modeling | Paul Wilmott |
| Volatility, Advanced Modeling | Paul Wilmott |
OTHER
| Lecture | Lecturer |
|---|---|
| Quant Day | NAG & Paul Wilmott |
| Real Options | Nick Mayor |
| Lateral Thinking | Alice Auld |
| Acceptability Applications | Dilip Madan |
| Problem Solving Lecture II | Alice Auld |
| Behavioral Finance | Andy Duncan |
| Behavioral Science in Finance | Henriette Prast |
| How the Fundamental Analysts Work in Banks | Anneke Minnema |
| Scaling Financial Analysis Applications with Matlab and Star-P | Andy Greenwell |
| The Risky Horror Show | Andreas Binder |
| Computing a Nearest Correlation Matrix with Factor Structure | Nick Higham |
| Using GPUs for Computational Finance | Mike Giles |
| CQF Research Workshop 1 – Feedback, High Frequency Trading, Serial Autocorrelation Memory etc. | Paul Wilmott |
PORTFOLIO MANAGEMENT
| Lecture | Lecturer |
|---|---|
| Equity Portfolio Risk Management | Jason MacQueen |
| Frankenstein's Model or the Perfect Union? | Richard Young and Jason MacQueen |
| The Polphemus Perspective – Use of Single Factor Risk Models | Jason MacQueen |
| Risk Decomposition (and Risk Budgeting) | Jason MacQueen |
| Reverse Optimization for Portfolio Rebalancing | Jason MacQueen |
| Markowitz was Wrong! | Jason MacQueen |
| ICA and Hedge Fund Returns | Andrew Robinson |
| Beyond Black-Litterman | Attilio Meucci |
| Symmetric Downside Sharpe Ratio | Bill Ziemba |
| Investment Lessons From Blackjack And Gambling | Paul Wilmott |
| Fundamentals of Optimization and Application to Portfolio Selection | Seb Lleo |
PROGRAMMING
| Lecture | Lecturer |
|---|---|
| The New C++ Standard | Roger Orr |
| Live Models | Cristian Alzati |
| Supercomputing on Windows: An Introduction | Mike Pallot |
| Quant Development | David Carter-Hitchin |
| Agile Development | Allan Kelly and Giovanni Asproni |
| Taming the LINT Monster | ACCU |
| Advanced Excel – My Way | Mike Staunton |
| Parallel Pixie Dust: A Novel C++ Threading Library | Jason McGuiness |
| Anticipating Surprises | James Lyndsey |
RISK MANAGEMENT
| Lecture | Lecturer |
|---|---|
| Understanding the Financial Markets in the Subprime Era | Bill Ziemba |
| Classic Quant Mistakes | Paul Wilmott |
| Long Short Portfolio Optimization Under Mean-Variance-CVaR Framework | Gautam Mitra |
| Validation of Derivatives Pricing Models | Dario Cziraky |
| Trading Derivatives: Real Markets, Real Model, Real Smiles | Nasir Afaf |
| Scenarios and Risk Control for Hedge Funds | Bill Ziemba |
| The Scandal of Prediction (audio only) | Nassim Nicholas Taleb |
| That's No Way to Run an Economy | Aaron Brown |
| Infinite Variance | Seb Lleo |
| CrashMetrics | Paul Wilmott |
SOFT SKILLS
| Lecture | Lecturer |
|---|---|
| How to Disagree With Your Boss Without Insulting Him (or his mother) | Dominic Connor |
| How to Manage Quants | Dominic Connor |
| When it Hits the Fan: People Skills When Things Go Wrong | Dominic Connor |
| Getting Credit for Your Work | Dominic Connor |
| Ethics | Dominic Connor |
| Negotiation 101 | Dominic Connor |
| Professionalism | Dominic Connor |
STATISTICS
| Lecture | Lecturer |
|---|---|
| Financial Modelling using Garch Processes | Kyriakos Chourdakis |
TRADING
| Lecture | Lecturer |
|---|---|
| A Market Impact Model that Works | Dan di Bartolomeo |
| Optimal Execution of Portfolio Transactions: A Review | Ekaterina Kochieva |
| Intraday High-frequency Trading: From Empirical Evidence to Quantitative Optimization | Charles-Albert Lehalle |
| Introduction to Volatility Trading and Variance Swaps | Sebastien Bossu |