Taught by an industry professional, this short course provides you with the high level knowledge you will need for a career in quantitative finance.
This high level quantitative finance short course is aimed at those working in Finance or considering a Masters in Finance degree.
The course provides a thoroughly comprehensive overview of the subject from an industry expert; as you learn the most widely used models in the banking industry on the Interest Rates and FX markets.
The course is aimed at those with some knowledge of financial engineering with strong mathematical skills. You should be able to implement object-oriented concepts in C++ at a 'schoolbook' level.
The course takes place in our central London location, taught over 10 weeks in the evenings, allowing you to continue with full-time employment.
In this Financial Engineering in Interest Rates and FX (C++ applications in Quantitative Finance) evening course you will learn the most widely used models in the banking industry on the Interest Rates and FX markets.
The short course will start with Libor Market Model for single and Multi-Currency models, then move to Markov Functional Models, the ShortRate Models and then volatility models like SABR models, inflation, etc.
You must be proficient in written and spoken English.
Books that cover the course well from the theory and coding perspective include:
Emiliano Papa received his PhD in Theoretical Physics from Oxford University. After that he spent 7 years at various academic research and lecturing positions at the University of Texas at Austin, UVA. Visiting scholar at Caltech, Brokhaven National Lab,etc.
Currently Emiliano is a Director at Deutsche Bank, Heading the Rates and FX teams, having previously worked at Bank of America Merrill Lynch.