Advanced Programme in Quantitative Finance and Risk Management
- Introduction
- Objectives
- Contents & Pedagogy
- Eligibility and Admission Criteria
- Who Should Attend
- Faculty
Ever since the 1950s, finance has been one of the most quantitative of management sciences, with tools from mathematics, statistics and numerical methods being regularly used for applications ranging from portfolio optimization to option pricing to risk management to trading. Today some of the largest banks and hedge funds employ ‘quants’ in large numbers. In the last decade, many Indian banks and India-based captive research and knowledge centres of global banks have also been actively employing quants in India. This programme has been designed for individuals looking to upskill themselves in the nitty-gritties of quantitative finance. The programme would also be useful for individuals who want to work in roles requiring expertise in quantitative finance and risk management.
Course Duration: Spread over 4-5 Months
Mode of Delivery: The programme will be delivered on UCS’s platform through direct-to-desktop [D2D] held once a week and campus modules at IIM Ahmedabad. Please note that the online sessions will not be recorded.
Frequency: Once a week
Class Schedule: Every Saturday - 3.00 PM to 6.00 PM
Evaluation Methodology
IIM Ahmedabad shall carry out the examination and evaluation required for certification.
Participants are evaluated based on examinations for all the courses. Participants will be given any one of the following grades: “Satisfactory Plus” (S+); “Satisfactory” (S); “Unsatisfactory” (U). A participant will be asked to leave the programme and the fees will then be forfeited in any of the following cases:
- If a participant gets 2nd “U” for academic indiscipline wherein Academic Indiscipline includes cheating/copying/plagiarism in assignments and examinations and facilitating cheating in any way or is found having integrity issue during the programme.
- If a participant gets 3rd “U” for under-performance.
- If a participant gets 1 "U" for academic indiscipline and 2 “U”s for underperformance.
- The norms of the programme require a participant to have at least 80% of attendance to become eligible to receive the certificate, failing which a participant won't be awarded the certificate.
Certification
At the end of the Programme, eligible participants will receive a Certificate of Completion (CoC) of the Programme from IIM Ahmedabad subject to the assessment and fulfilment of attaining overall 80% attendance.
IIMA Alumni Status
Participants who are attending short-duration Executive Education Programmes for the first time, on or after April 1, 2012, will have to attend for a total of 21 days in one or more programmes in order to be eligible for alumni status and alumni identity card, both of which will be awarded on the payment of a one-time alumni fee of INR 10,000/- + GST.
How to Apply
Interested candidates may apply using the application link:
https://iimahmedabad.vcrvcnow.in/APQFRM-BL01/student-registration/lms.php
or call on Mobile: +91 8929594554 for assistance or write to inquiry-blp@iima.ac.in
The main objective of this programme is bring together experienced and young quantitative analysts and managers in large financial institutions, hedge funds and boutique trading and risk analytics firms and provide them with
- mathematical and economic foundations of derivatives pricing and risk management
- an in-depth understanding of the famous Black-Scholes model, its applications and extensions
- training in numerical methods used in computational finance (via Python)
- an introduction to most commonly used machine learning methods in finance
- knowledge of mathematical techniques used in quantitative risk management and
- a peek into the state of the art in quantitative finance, machine learning applications and risk management
Module 1: Building blocks
- Financial markets, products and institutions
- Principle of no-arbitrage and pricing of forwards, futures and options
- Essentials of calculus, linear algebra, probability theory and stochastic processes for quantitative finance
- Properties of Brownian motion and applications of Ito’s lemma
Module 2: The Black-Scholes model, its applications and extensions
- Different ways to get to the Black-Scholes model and their equivalence
- The idea of option Greeks, volatility smile and local and stochastic volatility models
- Early exercise feature, barriers and design of structured products
- The numeraire change toolkit and the Libor Market Model
Module 3: Machine learning applications in finance
- PAC learning framework for machine learning
- Support vector machines, Neural networks and LASSO
- Online learning and reinforcement learning
- Importance sampling and Markov Chain Monte Carlo methods
Module 4: Advanced topics in risk management
- Value at risk, conditional value at risk and other tail risk measures
- Probability of default, expected loss and credit risk
- The Merton and the Moody’s-KMV model of credit risk
- Backtesting, stress testing and model risk management
Counterparty risk: CVA, DVA and other adjustments
Pedagogy: The pedagogy will be highly interactive. It will leverage use of technology. It will consist of a judicious blend of lectures, real life case studies, exercises, presentations, quizzes, assignments, etc.
- Educational Qualification: Applicants must be working professionals with a graduate degree (10+2+3 or equivalent) in any discipline, securing at least 50% marks. On a strictly case by case basis, the program would also consider final year students of four year graduate degree programs in subjects like engineering, mathematics, physics and computer science.
- Work Experience: The programme is open to professionals at all levels – senior, middle, and junior management, as well as entrepreneurs.
- The eligible candidates will be selected based on their educational and professional background and motivation based on the application form submitted.
- Applications with Credentials & Corporate Nominations – Selections will be based on a detailed Profile of Candidate in their own words elaborating their Academic record, Profile, Designation, Salary, Roles, Responsibilities, Job Description along with a Statement of Purpose.
This programme is designed for professionals at all levels – junior, middle, and senior management, with a good background in mathematics. It is particularly relevant for:
- Risk analysts, quantitative analysts, traders, and risk managers
- Professionals working in boutique trading and risk analytics firms and captive research and knowledge centers
- Individuals employed in banks and hedge funds
- Graduating final year students with a degree related to engineering or mathematics who have a placement offer (or are looking) to work in roles related to quantitative finance.
