Certificate in Quantitative Finance

UK
Jilly Chavda
EMEA
Geoff Brown
AMERICAS Christian Figorito
Ben OMalley
APAC

E: jilly.chavda@fitchlearning.com
E: geoff.brown@fitchlearning.com
E: christian.figorito@fitchlearning.com
E: ben.omailley@fitchlearning.com

CERTIFICATE IN

FINANCE

T: +44 (0)20 7496 8679

T: +44 (0)20 7496 8636
T: +1 646 943 6207
T: +65 6572 7978

CQF

www.cqf.com

Certificate in Quantitative Finance

Global Standard in Financial Engineering

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Knowledge | Skills | Conduct

17th Floor, 25 Canada Square, Canary Wharf, London, E14 5LQ
55 Broad Street, 3rd Floor, New York, NY 10004
70 West Madison Street, Chicago, IL 60602
36 Robinson Road, #12-06, Singapore 068877
2801, Tower 2, Lippo Centre, 89 Queensway, Hong Kong
Dubai International Financial Centre, Al Fattan Currency House, Tower 2, Level 8, Office No. 804, PO Box 482058

Awarded by

Delivered by

The CQF program has been recognized by GARP and qualifies for 40 CPD credits.
The CQF program has been recognized by the CFA Institute and is eligible for 40 CE credits.

Affiliates

Real-world financial
engineering

Contents

Finance is an increasingly sophisticated

and competitive sector to work in and
the demand for education in quantitative
finance has never been greater. With a
focus on the practical implementation of
quantitative techniques, the Certificate
in Quantitative Finance (CQF) is taught
by leading practitioners and is designed
to help you advance in the financial
landscape. Once you qualify, our everexpanding Lifelong Learning library will
support you throughout your career.

About the CQF ................................................. 3

To date, more than 3500 professionals

worldwide have completed the program
and the Certificate has gained global
recognition as the benchmark qualification
for anyone in, or aspiring to enter, the
sphere of quantitative finance.

Your CQF journey ............................................. 4

Diverse delegate profile ..................................... 6
CQF alumni community ..................................... 7
Flexible program delivery ................................... 8
Mathematics for Quantitative Finance Primer ........ 9
CQF program content .......................................10
Module six - Advanced electives ........................12
Online learning resources . ................................13
Lifelong Learning .............................................15
CQF faculty .....................................................16
How to apply ...................................................19
FAQs ..............................................................20
CQF Institute ...................................................22

Dr. Paul Wilmott

CQF Program founder

The program was helpful because I was able to apply the theoretical
knowledge I had before to the practical problems you encounter in real
life. It gives you a broad spectrum of knowledge and you can apply
whatever is necessary to your current role.
Salvatore Stefanelli, CQF alumnus

About the CQF

A world-class professional qualification in quantitative finance
Founded by Dr. Paul Wilmott, the Certificate in Quantitative Finance program is designed for individuals working
in, or intending to move into, derivatives, IT, quantitative trading, insurance, model validation or risk management.
Delivered online, the program comprises six modules and offers two study options for completing the program,
either in six months or two three-month levels.
With a unique focus on real-world financial engineering, the CQF program provides practical analysis of quantitative
techniques used in the industry and is taught by leading experts. Once certified, you will gain access to our free
continuing professional development program to keep you up to date with the latest industry developments.
Awarded by the CQF Institute, the program is delivered by Fitch Learning, a leading global training company with
centers in London, New York, Singapore, Hong Kong, Chicago and Dubai.

WHY TAKE THE CQF PROGRAM?

Receive an internationally renowned
professional qualification
The CQF is a prestigious qualification that provides
in-depth analysis of practical quantitative methods
for financial markets.

Benefit from expert teaching

The CQF faculty is a highly acclaimed team of
experts combining experienced practitioners
and leading academics specializing in the field of
quantitative finance
Delegates receive a free one-year subscription to
Wilmott Magazine.

Develop career-enhancing skills

The program is a key career development tool for
professionals from a rich diversity of backgrounds
and responsibilities who want to build their skills in
quantitative finance.

Specialize with our advanced electives

In module six we offer you the opportunity to choose
from a range of electives in specialist areas.

Study part-time and online

The program is offered via flexible online learning,
starting twice a year in January and June
All lectures are streamed live over the internet and
are recorded and made available on the CQF Portal
within 24 hours
The CQF App allows delegates to download
lectures for offline viewing.

Access our free Lifelong Learning library

CQF alumni gain access to our ever-expanding
Lifelong Learning library with over 750 hours of extra
lectures on the latest quantitative finance topics.
Become part of our global alumni network
CQF alumni benefit from a strong business
community of more than 3500 quantitative
professionals
We invest in the future of our alumni network
through a range of social and educational events.

Choose between two study options

Full Program: complete the six modules in
six months
Level I & Level II: complete the six modules in
two three-month levels. Levels can be taken in
separate programs.

Your CQF journey

Find out more about the CQF program

by attending one of our live information
sessions or global online webinars, where
you can:
Meet members of the faculty
Discuss details about the program
Find out more about your
career options.

Submit your application online at

www.cqf.com/apply. You will receive a
decision regarding your application within
48 hours.
Should you have any questions
about the application process,
contact us at info@cqf.com or
call +44 (0)845 072 7620.

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Supporting you beyond the program

The optional primers are designed to help

get you up to speed ahead of the program.
Mathematics for Quantitative
Finance Covers mathematical
preliminaries used within quant finance.
Finance Introduces key concepts and
asset classes needed for quant finance.
Introduction to Python Introduces
scientific computing in Python to enable
new users to begin implementing models.

Register for an information session at

www.cqf.com

IN
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We invest in the future of our CQF alumni by offering a free

continuing professional development (CPD) program, called
Lifelong Learning. It is designed to support you for the whole of
your career. Lifelong Learning consists of:

The CQF program comprises six modules, which will need to be

completed to gain the CQF qualification.
Study options available to you:
Full Program complete the six modules in six months
Level I & Level II complete the six modules in two threemonth levels

Lectures A library of over 750 hours of lectures on every

conceivable finance subject with regular new additions on the
latest topics and techniques being used in industry.

Each module covers a different aspect of quantitative finance

and consists of lectures and discussions. At the end of modules
two to five, delegates take a written exam. In module six
delegates can choose from a range of advanced electives and
complete a practical project, developing implementation skills.

Master classes Over 100 hours of additional material to help

you delve deeper into subjects.

Module One Building Blocks of Quantitative Finance

Module Two Quantitative Risk and Return
Module Three Equities and Currencies
Module Four Fixed Income and Commodities
Module Five Credit Products and Risk
Module Six Advanced Electives
Final Exam for Distinction (Optional) The final threehour examination takes place in exam centers worldwide.
Delegates who score 80% or above receive a distinction grade.

Certificate in Mathematical Methods (CM2) An intensive

course of 51 recorded lectures (equivalent to more than the first
two years of a university mathematics degree).
C++ Over 70 hours of tuition across 28 recorded sessions
covering the theory of design and translating pricing models
into working C++ code.
JAVA Introductory Java course especially designed for quants.

Diverse delegate profile

Background and occupation
CQF delegates come from a rich diversity of different backgrounds and responsibilities, bringing a wealth of
experience to the program.

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DELEGATE
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CROSS SECTION OF DELEGATE EMPLOYERS

ABN AMRO
Abu Dhabi Investment Authority
Accenture
Alexia Asset Management
Banamex
Bank for International Settlements
Bank of America Merrill Lynch
Barclays
BNP Paribas
BP Gas Trading
British Energy
Calyon
Chicago Trading Company
Citadel
Citco
Citi Group
Commerzbank
Crdit Agricole
Credit Suisse
Deloitte
Derivative Trading Systems Ltd
Deutsche Bank
Duff & Phelps

EDF Trading
Ernst & Young
Fidelity International
Fitch Ratings
GE Capital Solutions
Goldman Sachs
Gordian Knot
HBOS
HSBC IB
IBM
ING
Intesa San Paolo
J.P. Morgan
KPMG
Lloyds Bank
Man Financial
Marshall Wace
Mellon Capital Management

Mitsubishi UFJ Securities International

Moodys
Morgan Stanley
Nationwide Building Society
Nationwide Financial
Nomura
Och-Ziff Capital
PAAMCO
RBS
RWE
Schroders
Thomson Reuters
Towers Watson
Trafigura
UBS
Unicredit
Watson Wyatt
Wells Fargo

CQF alumni community

An influential network of quant professionals
The CQF alumni network is an exclusive global community, which consists of over 3500 quantitative finance
professionals in more than 90 countries. We invest in the future of the network through a range of events, a
directory and a dedicated portal. In addition, the CQF Institute provides networking opportunities to connect you
with the wider quantitative finance community.

Countries with alumni

Amit Marwaha
Previous qualifications: MBA Finance, The University of Texas at Austin
Current position: Equity Research Analyst, Fidelity Investments
The CQF was a good way of improving my math while working at the same time. The CQF has definitely had an
impact on my job. It has given me the information, tools and the knowledge necessary to speak to clients and
price assets in an effective manner.

Anuj Gupta
Previous qualifications: MPhil in Advanced Chemical Engineering, University of Cambridge
Current position: Global Head, Equity & Commodity Valuation Methodologies, UBS Investment Bank
The CQF not only teaches you the mathematics underpinning the different financial models, it also highlights
their main assumptions and potentials dangers. It has certainly helped me enhance my career aspirations while
keeping abreast with cutting-edge modeling developments.

Elias-John Kies
Previous qualifications: HBBA, Business, Wilfrid Laurier University
Current position: Director of Analytics, EDGAR Online Inc.
I had a firm grasp on market fundamentals yet yearned for a deeper technical perspective to analyze the
increasingly complex capital markets. The CQF filled this gap perfectly. The value of the CQF increases every day
as extra lectures are continually added. I highly recommend the CQF to any serious investment professional.

www.cqf.com/cqf-alumni

Flexible program delivery

Two study options
The examined part of the CQF program comprises six modules, which will need to be completed to obtain the CQF
qualification. You can start the program in either January or June. Dedicated to delivering flexible learning, the CQF
offers two study options so you can decide how to complete the program.
Option 1 Full Program
The program can be taken in full by completing the six modules in six months. This option provides you with immediate access to all of
the materials you will need throughout the program, and to Lifelong Learning.
Option 2 Level I & Level II
The program can also be completed in two levels with each level comprising three modules, completed over a duration of three months
per level. Levels can be completed in separate programs.

CQF
QUALIFICATION

PROGRAM
PREPARATION

LIFELONG
LEARNING

LEVEL I
OPTIONAL
PRIMERS:
MATHEMATICS
PYTHON
FINANCE

OR

FULL
PROGRAM

CONTINUING
PROFESSIONAL
DEVELOPMENT
(included)

LEVEL II

Level I
Level I will give you an understanding of the essential tools needed in the industry. Access to the program preparation and the CQF App
are just some of the benefits you will receive. Upon completing this level, you will have an excellent knowledge of the mathematical tools
and concepts used in quant finance, covering areas of quantitative asset management and risk management, progressing onto pricing of
equities and currency derivatives.
Level II
Building on the key skills and knowledge of Level I, Level II will deepen your understanding and further your practical skills leading you
to completion of the CQF. Level II provides the opportunity to complete an applied project as well as access to expansive knowledge and
topical information with Lifelong Learning. Through completion of Level II, your knowledge will cover fixed-income products and interest
rate modeling, commodities, the latest techniques used in credit modeling and you will have the opportunity to specialize by choosing
advanced electives relevant to your current or future workplace.
8

Mathematics for Quantitative Finance Primer

Getting prepared
The CQF program begins with the Mathematics Primer (optional), including 12 hours of
intensive training covering all the mathematical preliminaries you need to know before
commencing the CQF lectures. The Primer has been designed to get you back up to speed
with your mathematics.

THIS PROGRAM COVERS THE FOLLOWING:

Calculus and Differential Equations Refresher
Calculus:
Functions and Limits
Differentiation and Integration
Complex Numbers
Functions of Several Variables

Visual Basic for Applications

The Primer is multi-faceted and includes
Visual Basic for Applications, starting with the
basics and working up to the more complex
features of VBA using Windows Excel.

Differential Equations:
First-order Equations
Second and Higher-order Equations
Linear Algebra and Probability Refresher
Linear Algebra:
Matrices and Vectors
Systems of Linear Equations
Eigenvalues and Eigenvectors
Probability:
Probability Distribution Function
Cumulative Distribution
Expectation Algebra
Key Discrete and Continuous Distributions
Including the Normal Distribution
Central Limit Theorem
Statistics:
General Summary Statistics
Maximum Likelihood Estimator
Regression and Correlation
For more information, visit www.cqf.com/program

CQF program content

Outlining the modules

MODULE ONE
Building Blocks of Quantitative Finance
This module introduces the rules of applied It calculus
as a modeling framework. We build tools in both
stochastic calculus and martingale theory and look
at simple stochastic differential equations and their
associated Fokker-Planck and Kolmogorov equations.

FULL PROGRAM

LEVEL I

Random Behavior of Assets

Important Mathematical Tools and Results
Taylor Series
Central Limit Theorem
Partial Differential Equations
Transition Density Functions
Fokker-Planck and Kolmogorov
Stochastic Calculus and Its Lemma
Manipulating Stochastic Differential Equations
Products and Strategies
Martingale Fundamentals
Martingale Advanced
The Binomial Model for Asset Prices

MODULE FOUR
Fixed Income and Commodities
This module reviews the plethora of interest rate
models used within the industry. We discuss the
implementation and limitations of these models and the
need for a more sophisticated framework in order to
understand these processes. Many of the ideas seen in
the equity-derivatives world are encountered again here
but in a more complex form.

LEVEL II

Fixed-Income Products and Market Practices

Yield, Duration and Convexity
OIS Discounting
Stochastic Spot-Rate Models
Affine Stochastic Models
Probabilistic Methods for Interest Rates
Change of Numraire
Heath, Jarrow and Morton
Calibration
Data Analysis
Libor Market Model
SABR Model
Monte Carlo Methods, Brownian Bridge, Advances Schemes
Quasi-Monte Carlo Methods, Sobol and more
Mathematica for Quantitative Finance
Energy Derivatives: Speculation and Risk Management

10

MODULE TWO

MODULE THREE

Quantitative Risk and Return

Equities and Currencies

This module deals with the classical portfolio theory of

Markowitz, the Capital Asset Pricing Model and more recent
developments of these theories. We investigate risk and
return, looking at risk management metrics such as VaR. We
also examine current regulation and its impact on the industry
from both a trading and investment perspective.

The Black-Scholes theory, built on the principles of delta

hedging and no arbitrage, has been very successful and fruitful
as a theoretical model and in practice. This module explains the
theory and results using different kinds of mathematics to make
the delegate familiar with techniques in 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
Girsanovs Theorem
Advanced Greeks
Derivatives Market Practice
Advanced Volatility Modeling in Complete Markets
Non-probabilistic Volatility Models
Markets-based Valuation of Equity Index Options Using Python

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
Risk Regulation and Basel III
Value at Risk
Impact of Risk Regulation on Investment and Trading
Volatility Clustering and Other Stylized Facts
Properties of Daily and High-Frequency Asset Returns
Volatility Models: The ARCH Framework

MODULE FIVE

MODULE SIX

Credit Products and Risk

Advanced Electives

Credit risk plays an important role in current financial

markets. This module looks at the major products and
examines the most important models. The modeling
approaches include the structural and the reduced form as
well as copulas.

In this module you choose from the following six online

electives to specialize in your area of interest. You will also
be required to complete a practical project.
Algorithmic Trading
Advanced Computational Methods
Advanced Risk Management and Regulation
Advanced Volatility Modeling
Advanced Portfolio Management
Counterparty Credit Risk Modeling

Structural Models
Reduced-Form Model and the Hazard Rate
Credit Risk and Credit Derivatives
X-Valuation Adjustment (CVA, DVA, FVA, MVA)
CDS Pricing, Market Approach
Synthetic CDO Pricing
Risk of Default, Structural and Reduced Form
Implementation of Copula Models
Statistical Methods for Estimating Default Probability
Correlation Sensitivity and State Dependence
NAG and Excel for Quantitative Finance
Co-integration: Modeling Long-term Relationships

*Electives are subject to change. Visit www.cqf.com for an up-to-date list.

Please see page 12 for a detailed outline of the advanced electives.

Modules two to five are examined at the end of each respective module. For module six all delegates have to complete a practical
project and apply their theoretical knowledge to real-world problems.
11

Module six - Advanced electives

Specialize in your field
The CQF program offers you the opportunity to specialize by choosing from our range of advanced electives in
module six, allowing you to develop your skills with your career objectives in mind.

Algorithmic Trading

Advanced Volatility Modeling

 he use of algorithms has become an important element

T
of modern-day financial markets, used by both the buy side
and the sell side. This elective looks into the techniques
used by quantitative professionals who work within
the area.

 olatility and being able to model volatility is a key element

V
to any quant model. This elective looks into the common
techniques used to model volatility throughout the industry.
It will provide the mathematics and numerical methods for
solving problems in stochastic volatility.

Sample Momentum Strategy

Introduction to Fetcher Rebalancing the SP 500
Every Month
In-depth with Fundamentals Piotroski Score
Incorporating New Sources of Data Accern and
StockTwits
Simple Stat Arbs Pairs Trading
More In-depth Stat Arbs Looking at Baskets of Stocks

Advanced Portfolio Management

As quantitative finance becomes more important in
todays financial markets, many buy-side firms are using
quantitative techniques to improve their returns and better
manage their client capital. This elective looks into the
latest techniques used by the buy side in order to achieve
these goals.

Advanced Computational Methods

One key skill for anybody who works within quantitative
finance is how to use technology to solve complex
mathematical problems. This elective looks into advanced
numerical techniques for solving and implementing math
in an efficient and succinct manner, ensuring that the right
techniques are used for the right problems.

P
 erform a Dynamic Portfolio Optimisation, Using
Stochastic Control
Combine Views with Market Data Using Filtering to
Determine the Necessary Parameters
Understand the Importance of Behavioural Biases and Be
Able to Address Them
Understand the Implementation Issues
Develop New Insights into Portfolio Risk Management

F inite Difference Methods (algebraic approach) and

Application to BVP
Root Finding
Interpolation
Numerical Integration

Counterparty Credit Risk Modeling

Advanced Risk Management and Regulation

Post-global financial crisis, counterparty credit risk and

other related risks have become much more pronounced
and need to be taken into account during the pricing and
modeling stages. This elective goes through all the risks
associated with the counterparty and how they are included
in any modeling frameworks.

Post-global financial crisis, risk has become a key issue in

every financial organization. They need good measures and
techniques to manage risk and to be able to show this to
the regulators. This elective looks at the techniques used
within the industry to manage risk and how they satisfy the
regulatory landscape.
Risk Management: A Helicopter View
Multivariate Risk Models Risk Mapping, Copulas,
Correlation and Covariance and PCA
Portfolio VAR
Measuring Risk Using Extreme Value Theory
The Basel Accords

www.cqf.com/program

Fourier Transforms
Functions of a Complex Variable
Stochastic Volatility
Jump Diffusion

Credit Risk to Credit Derivatives

Counterparty Credit Risk: CVA, DVA, FVA
Interest Rates for Counterparty Risk Dynamic Models
and Modeling
Interest Rate Swap CVA and Implementation of
Dynamic Model

12

Online learning resources

Study in your own time
The CQF is at the forefront of interactive online learning and is continually developing new methods and tools as our
global audience expands. Our comprehensive online learning portal gives 24-hour, permanent access to all of the
recorded lectures and program materials. We also offer a CQF App, which enables you to access learning materials
on iOS and Android devices.

CQF Portal
All classes are recorded and then uploaded onto
the CQF Portal. Every delegate is provided with
their own online account, allowing them to access
the following:
Live lectures
Recorded core lectures
Annotated class notes
Stimulating exercises
Sample code and spreadsheets
Recorded additional/non-examined classes
Lifelong Learning library (for Full Program and
Level II delegates)
Upload tool for modular exams
Dedicated CQF forum
Live one-to-one interactive lecturer support
Whiteboard facility
Comprehensive learning portal

CQF App
The CQF App demonstrates our dedication to
deliver innovative solutions for online learning. The
App can be downloaded onto any iOS or Android
device and gives access to the Mathematics Primer
lectures, the VBA lectures and core lectures as the
program progresses.
Download lectures for offline viewing:
Mathematics Primer lectures
VBA lectures
Core lectures
Interactive CQF App

The CQF Portal and App are revolutionary tools allowing delegates to access their CQF lecture materials
whenever is convenient for them. This flexibility allows the program to be completed on a part-time basis
around a busy work schedule and while on the go.
Dr. Randeep Gug, CQF Program Director
13

CQF ALUMNI PROFILE

Name: Lilan Li
Previous qualifications: Master of Engineering, Information Systems & Management, Institut National des Sciences
Appliques de Lyon
Current position: Credit Valuation Methodology, UBS Investment Bank

Lifelong Learning is very important to me and the CQF is outstanding compared to

alternatives. I will continue learning from the masterclasses and extra lectures because
for me learning is key and I enjoy doing it all the time.
14
14

Lifelong Learning
Continuing professional development throughout your career
Our free Lifelong Learning program for alumni contains a library of over 750 hours of lectures
on every conceivable finance subject. Delivered by some of the most eminent practitioners
and academics, the content is ever expanding, with additional lectures continually taking
place. You will gain permanent, unrestricted access to CQF lectures and the entire Lifelong
Learning library, allowing you to further your professional development at no additional cost.

LECTURES
Largest component of Lifelong Learning
Library of over 750 hours of lectures on every
conceivable finance subject
Ever-expanding and up-to-date content

Delivered by some of the most

eminent practitioners and academics,
including Dr. Paul Wilmott, Dr. Peter
Jckel, Dr. Espen Gaarder Haug, Dr.
Alonso Pea and Dr. Sbastien Lleo

MASTER CLASSES

CERTIFICATE IN
MATHEMATICAL METHODS

Delve deeper into specific subjects

Over 100 hours of recorded material
Delivered by experts such as Dr. Paul Wilmott,
Dr. Claudio Albanese, Dr. Wim Schoutens

Intensive program with 51 lectures

Covers a variety of mathematical methods
applicable to real-world problems
Equivalent to more than the first two years of a
university mathematics degree course

JAVA

C++

Introductory Java course with seven interactive

lectures especially designed for quants
Covers everything you need to know about
the basic framework of how Java works

Over 70 hours of tuition across 28 recorded

sessions
Critical to a role as a modern quant in a top-tier
investment bank
Covers the theory of design and translating
pricing models into working C++ code

15

www.cqf.com/lifelong

CQF faculty
World-renowned practitioners and academics

Dr. Paul Wilmott

Dr. Sbastien Lleo

Paul is internationally renowned as a leading

expert on quantitative finance and founder of the
CQF. His research work is extensive, with more
than 100 articles in leading mathematical and
finance journals, as well as several internationally
acclaimed books on mathematical modeling
and derivatives, including Paul Wilmott on
Quantitative Finance. He has extensive consulting
experience with leading US and European financial
institutions, and founded a volatility arbitrage
hedge fund and a university degree course.

Sbastien is a lecturer on the CQF program,

Associate Professor of Finance and Director of
Doctoral Program at NEOMA Business School in
France, and a Visiting Lecturer at the Frankfurt
School of Finance and Management in Germany.
Previously, he held a research position at Imperial
College London in the UK. Before that, he
worked for seven years in the investment industry
in Canada and held consulting positions. He
holds a PhD in Mathematics from Imperial
College London.

Dr. Riaz Ahmad

Neil Graham

Riaz is the Head of CQF Faculty and teaches

Mathematical Finance, C++ programming and
Mathematical Methods-based courses. Riaz is an
applied mathematician with teaching and research
interests in the mathematical and computational
aspects of financial derivatives in particular,
stochastic volatility and jump diffusion models,
exotic options and interest rate modeling.
Amongst others, Riaz has lectured in Mathematical
Finance at University College London and Oxford
University.

Neil joined Barclays International in 1985 initially

in the foreign exchange, money markets and
derivatives operations areas before moving to the
trading room in 1991. Here, his roles included
both inter-bank and sales positions in spot
and forward FX, money markets and treasury
derivatives. After leaving Barclays in 1995, Neil
became a local on the London International
Financial Futures and Options Exchange (LIFFE),
trading own account positions in interest rate,
bond and equity derivatives.

Dr. Espen Gaarder Haug

Dr. Richard Vladimir Diamond

Espen has worked in derivatives trading and

research for more than 20 years. He worked as a
proprietary option trader at J.P. Morgan in New
York, and as an option trader for two multibillion
dollar hedge funds, Amaranth and Paloma
Partners. He also worked as an option market
maker for Chase Manhattan Bank (now JPMorgan
Chase). He has been involved in almost every
option market, including equity, currency, fixed
income, energy and commodities. He has a
PhD from the Norwegian University of Science
and Technology.

Richard advises family offices on private equity,

asset allocation, investment performance
and effectiveness of hedges. He designs and
executes trades his specialities are volatility
regimes modeling and VIX futures arbitrage.
Richard earned his doctorate from the University
of Southampton (UK), studying complexity
and project risk of IT operations in banking.
Since 2005, he has been teaching in operations
management, statistics and financial mathematics,
recently at Cass Business School and Regents
University London.

Dr. Randeep Gug

Dr. Iris Mack

Randeep is the Managing Director, Public Courses

and CQF at Fitch Learning and the CQF Program
Director. He spent five years working in the
Equities division at Salomon Smith Barney and
later traded futures and options on the Indian
National Stock Exchange (NSE). A qualified
teacher, he has a first-class honors degree and a
PhD for research in semiconductor physics.

Iris earned a Harvard doctorate in Applied

Mathematics and a London Business School MBA.
She is also a former derivatives quant/trader who
has worked in financial institutions in the US,
London, Asia and the Caribbean. Iris serves on a
National Academy of Sciences Research Advisory
Board and on the Advisory Boards of the Women
Mentor Women Foundation.

16

Dr. Peter Jckel

Professor Stephen Taylor

Peter is the founder and Managing Director of

OTC Analytics. He received his DPhil in Physics
from Oxford University in 1995. Peter migrated
into quantitative analysis and financial modeling
in 1997 when he joined Nikko Securities. in 1998,
he changed to NatWest, which later became
part of the Royal Bank of Scotland group. From
2004 to 2008, he was with ABN AMRO as Global
Head of Credit, Hybrid, Inflation, and Commodity
Derivative Analytics. Peter is the author of the
book Monte Carlo Methods in Finance (2002).

Stephen has held a Chair in Finance at Lancaster

University Management School since 1993.
His degrees are in Mathematics and Operational
Research. He teaches financial econometrics
at Lancaster and in recent years has been a
Visiting Lecturer at universities in Norway, China,
Australia and New Zealand. His seminal work
on stochastic volatility and GARCH models is
incorporated in the highly cited book Modelling
Financial Time Series (Wiley 1986 & World
Scientific 2008).

Dr. Alonso Pea

Dr. Si-Yi Zhou

Alonso is SDA Professor at the SDA Bocconi School

of Management. He has worked as a quantitative
analyst in the Structured Products group for
Thomson Reuters Risk and for Unicredit Group
in London and Milan. He holds a PhD from the
University of Cambridge on finite element analysis.
He has lectured and supervised students from the
universities of Oxford, Cambridge, Bergamo, Pavia,
Castellanza and the Politecnico di Milano. His area
of expertise is the pricing of financial derivatives, in
particular structured products.

Si-Yi is an Associate Lecturer for the CQF. He

teaches applied quantitative finance in volatility
arbitrage, stochastic interest rate models and
credit derivative pricing and risk management.
Before joining Fitch Learning, Si-Yi worked as
a senior risk analyst in a City of London-based
consulting firm, providing constructive solutions
to leading banks and insurance companies. He has
worked on many projects in counterparty credit
risk and market risk management. Currently he
works at HSBC Commercial Banking in London.

Dr. Yves Hilpisch

Dr. Jon Gregory

Yves is the founder and Managing Partner of The

Python Quants, an analytics software provider
and financial engineering group. He is the author
of Python for Finance (OReilly, 2014) and
Derivatives Analytics with Python (Wiley, 2015).
Yves also lectures on computational finance and
organizes meet-ups and conferences about Python
for quant finance in New York and London.

Jon is an independent expert in counterparty

credit risk and XVA related projects, and Senior
Advisor at Solum Financial Ltd. He has worked
on many aspects of credit risk in his career, being
previously with Barclays Capital, BNP Paribas
and Citigroup. Amongst others, he is author of
the book Counterparty Credit Risk: The New
Challenge for Global Financial Markets.

Dr. Patrick Hagan

Edward Talisse

Patrick received his BS and PhD in Applied

Mathematics from Caltech. He has worked at
Bloomberg and several banks designing trading
systems for fixed income, credit, and foreign
exchange derivatives, as well as developing the
component models, calibration methods, and
numerical algorithm. He has also worked at Exxon
Science Laboratories, and has taught at Caltech,
Stanford, the Institute for Mathematics and its
Applications, and NYU.

Edward is a global capital markets professional with

more than 25 years of experience gained at Morgan
Stanley and UBS. He is the founding partner and
Chief Executive Officer of Chelsea Global Advisors,
an investment management and advisory firm. His
primary areas of interest are in G3 fixed income
and equity trading, investment strategies as well as
capital structure optimization and operating leverage
efficiency. He received an MBA from the State
University of New York.

17

www.cqf.com/lecturers

CQF ALUMNI PROFILE

Name: Stewart Button
Previous qualifications: Bachelor of Engineering with First-class Honors, University of Tasmania
Current position: Quantitative Analyst/Developer Algorithmic Trading and Risk Management, Onyx Financial

The CQF has helped me look inside the world of financial markets, derivatives and
risk management systems to gain an insight which would not be possible through
practice alone. The program has given me the tools to price financial instruments and
systematically manage market and credit risk with confidence.
18

How to apply
Enrolling on the program

Fees

The application has been designed to keep the process

simple. Should you have any questions about the
application process, please do not hesitate to contact
us at info@cqf.com or call +44 (0)845 072 7620.

The CQF fees cover:

Tuition
Examination
CQF App
Reading material
Mathematics Primer course
Lifelong Learning lectures
C++ programming course
Access to the CQF alumni network

Scholarships
A number of scholarships are available to assist
with the support of tuition fees for select delegates.
Candidates wishing to apply for a scholarship will
need to be able to demonstrate why they will benefit
from taking the CQF and why they should be worthy
recipients of the discounted tuition.

Thomson Reuters Scholarship

The Thomson Reuters Scholarship will be awarded
to one applicant per program from the Americas,
whereby the recipient will have his/her program
tuition discounted. All applications and supporting
documents must be submitted at least two months
prior to the program start date.

1. 

Apply online at www.cqf.com/apply

2. 

The CQF Admissions team will come back to you within

48 hours indicating whether you have been granted
preliminary acceptance onto the program, and the
timescale within which you must make your decision on
the offer. We might also invite you to be interviewed
over the phone.

Wiley Scholarship
The Wiley Scholarship will be awarded to one
applicant per program from Asia, whereby the
recipient will have his/her program tuition discounted.

3. 

You will then be required to fill out a short enrollment

form, accepting your place on the CQF. As part of
completing this enrollment form, you will be required
to pay a non-refundable deposit which will entitle you
to reserve a place on the program and get access to
preliminary program materials and lectures, including
the Mathematics Primer.

Wilmott Scholarship
For those who are unemployed, full-time students or
living on a low income, the Wilmott Scholarship covers a
portion of the tuition fees.

4. 

You will also be required to complete a Mathematics

Aptitude Indicator before the program begins. This
will indicate to us what areas of mathematics are your
strongest and weakest. You may complete this test up to
one week after taking the Mathematics Primer.

19

www.cqf.com/apply

FAQs
Questions and answers

Should I attend the program?

When does the program start?

The Certificate will be of special interest to those working in:

Derivatives
Risk Management
Structuring
Trading
Fund Management
IT Investment
Banking
Hedge Funds
Financial Software
Consulting
Universities
Regulation
Insurance

The program is delivered twice a year, commencing in

January and in June.

How long is the program?

Delegates should have a numerate academic qualification

and should have familiarity with spreadsheet and
computational problem-solving. Delegates who feel their
mathematics is a little rusty are encouraged to complete
our pre-program Mathematics Primer (see page 9) prior
to commencing the CQF. This course is offered to CQF
delegates at no extra cost.

Can I get help with funding?

We offer the Thomson Reuters, Wiley and Wilmott
Scholarships, which provide funds to enable certain
individuals in specific situations to attend the Certificate
in Quantitative Finance. These awards will be made at the
discretion of the Scholarships Committee to outstanding
candidates who meet the scholarship requirements and who,
in the opinion of the committee, are deserving and will gain
the most from the program.

What level of mathematics is required?

The examined core part of the program is six months long.

Dedicated to delivering flexible learning, the CQF offers two
study options so delegates can decide how to complete the
program and gain the CQF designation.
Full Program
The program can be taken in full by completing the six
modules over six months, providing delegates with immediate
access to all of the materials they will need throughout the
program and access to our Lifelong Learning lectures.

How long will it take to receive a decision

on my application?
The CQF Admissions team will come back to you within 48
hours indicating whether you have been granted preliminary
acceptance onto the program.

or
Level I & Level II
The alternative option involves taking the CQF in two levels
of three months per level. Level I consists of the Mathematics
Primer and modules one to three. Level II consists of modules
four to six and Lifelong Learning.

When do I need to submit the Mathematics

Aptitude Indicator?
We advise all delegates to complete the application
form first. They should then start working through the
Mathematics Aptitude Indicator, and complete and return
it by email before the start of the program. Delegates are
welcome to delay handing in the test until after they have
completed the Mathematics Primer.

What happens if I fail an exam?

If a delegate is struggling with a module they are encouraged
to contact us as soon as possible so that a member of the
CQF faculty can give them extra help and support. If a
delegate fails one of the modules the CQF faculty will meet
and review their position. On the basis of this meeting
they will then recommend the delegate either retakes the
examination or defers to the next program using this extra
time to revise the relevant topics. There is no cost to defer
the CQF program.
20

What equipment do I need to view

the webcast?

How long will I have access to the

recorded lectures for?

To view the webcast live or recorded, delegates will need a

computer with a sound card and a speaker. Delegates will
also need broadband internet access.

Delegates have permanent access to the recorded lectures.

What if it takes me longer to complete

the program?

Can I sample a lecture?

If you cannot complete the program within the allocated

study time, we offer the flexibility to defer completion of the
CQF to the next program (there is no charge for doing this
and you must complete the CQF within six programs).

Absolutely, go to www.cqf.com/sample-lecture and

submit your details to get direct access to free sample
lecture videos.

21

CQF Institute
Educating the quantitative finance community
Promoting the highest standard in practical financial engineering, the Institute provides a platform for educating
and building the quantitative finance community around the globe. Part of Fitch Learning, the CQF Institute is the
awarding body for the Certificate in Quantitative Finance.
Since 2003, the CQF community has become the fastest-growing global network of professionals working in the
quant finance industry. The Institute organizes key industry events, including the For Python Quants and Quant
Insights conferences, and is an online resource for keeping its members up to date on the latest quant finance
industry practices.

Quant Insights Conference 2015

Societies
The CQF Institute has a growing number of active societies across the world available to its members. Societies offer an
opportunity to be part of a local community of quantitative finance professionals. With regular meet-ups and exclusive events
being held, societies provide a great chance to network and share ideas with like-minded people.
Europe

Americas

APAC

Middle East & Africa

Amsterdam

Boston

Hong Kong

UAE

Frankfurt

Chicago

Mumbai

Johannesburg

London

Houston

Shanghai

Moscow

New York

Singapore

Paris

Sao Paulo

Sydney

Zurich

Toronto

www.cqfinstitute.org

22

Real-world financial
engineering

Contents

Finance is an increasingly sophisticated

and competitive sector to work in and
the demand for education in quantitative
finance has never been greater. With a
focus on the practical implementation of
quantitative techniques, the Certificate
in Quantitative Finance (CQF) is taught
by leading practitioners and is designed
to help you advance in the financial
landscape. Once you qualify, our everexpanding Lifelong Learning library will
support you throughout your career.

About the CQF ................................................. 3

To date, more than 3500 professionals

worldwide have completed the program
and the Certificate has gained global
recognition as the benchmark qualification
for anyone in, or aspiring to enter, the
sphere of quantitative finance.

Your CQF journey ............................................. 4

Diverse delegate profile ..................................... 6
CQF alumni community ..................................... 7
Flexible program delivery ................................... 8

The program was helpful because I was able to apply the theoretical
knowledge I had before to the practical problems you encounter in real
life. It gives you a broad spectrum of knowledge and you can apply
whatever is necessary to your current role.
Salvatore Stefanelli, CQF alumnus

Mathematics for Quantitative Finance Primer ........ 9

CQF program content .......................................10
Module six - Advanced electives ........................12
Online learning resources . ................................13
Lifelong Learning .............................................15
CQF faculty .....................................................16
How to apply ...................................................19
FAQs ..............................................................20
CQF Institute ...................................................22

Dr. Paul Wilmott

CQF Program founder

Affiliates

The CQF program has been recognized by the CFA Institute and is eligible for 40 CE credits.

The CQF program has been recognized by GARP and qualifies for 40 CPD credits.

Certificate in Quantitative Finance

UK
Jilly Chavda
EMEA
Geoff Brown
AMERICAS Christian Figorito
Ben OMalley
APAC

E: jilly.chavda@fitchlearning.com
E: geoff.brown@fitchlearning.com
E: christian.figorito@fitchlearning.com
E: ben.omailley@fitchlearning.com

CERTIFICATE IN

FINANCE

T: +44 (0)20 7496 8679

T: +44 (0)20 7496 8636
T: +1 646 943 6207
T: +65 6572 7978

CQF

www.cqf.com

Certificate in Quantitative Finance

Global Standard in Financial Engineering

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Knowledge | Skills | Conduct

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Dubai International Financial Centre, Al Fattan Currency House, Tower 2, Level 8, Office No. 804, PO Box 482058

Awarded by

Delivered by

The CQF program has been recognized by GARP and qualifies for 40 CPD credits.
The CQF program has been recognized by the CFA Institute and is eligible for 40 CE credits.

Affiliates