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About CQF
CQF是全球最大的量化金融专业资格证书,由Paul Wilmott博士在2003年创立,成立以来,CQF已成为金融服务业的基准资格,被全球金融公司认可,今天,超过5500名在90多个国家的最大金融机构工作的专业人士选择了CQF来进一步发展他们的职业生涯。
CQF协会每年开班两次,分别是在每年1月份,和7月份。本人参加了CQF项目2021年1月班的学习,经过将近9个月的CQF课程学习,通过中英文老师授课,和三次学习中的Exam,以及Final Project,最终如愿以偿CQF持证,以下是2021年1月班,也是CQF项目的第37届学员,通过CQF考试,顺利持证的毕业生集体照片墙:
在CQF协会官网中,发表了对2021年1月班的祝贺CQF官网2021年1月班毕业祝贺,也公布了还2021年1月班持证人名单,如下:
通过整个CQF项目学习下来,CQF项目最令我的喜爱的有3点:
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充实的课程内容学习:课程内容学习涉及数学,金融,编程(python,机器学习,深度学习等等),每个学习模块都由国外资深教授进行授课,有专业的Tutorials指导和Python Lab实操课程,每节课都有详细的阅读资料,课后习题,简直就是在读一个国外金融工程硕士般的感觉,而且听不懂的可以反复回放老师的视频。在高级选修课中,也有各类量化前沿选修课,可供根据自己的兴趣进行选修。
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边学边用的灵活考核形式:CQF的课程学习中会有三次考试,CQF的考试题目开放性很强,题目没有固定答案,需要的是学员自己通过课程内容,自己动手探究得出结论,这就是我们需要的解决问题的能力。
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免费的终身学习图书馆:CQF持证后,可以免费享受CQF协会的终身图书馆,里面有量化金融大咖,教授的讲座,可以免费学习到量化金融最前沿的信息和技术发展。终身学习对职业发展的成功至关重要,这是我喜爱的原因之一。
CQF项目学习中不仅收获到了专业的量化金融知识训练和持证证书,而且这次的项目经历对我职业生涯产生了更加深远的影响。
下面介绍下CQF项目的主要课程学习内容,课程内容比较多,我分开几期进行介绍,第一期先介绍:Model 1- Model 3
Module 1
Building Blocks of Quant Finance
This module introduces the rules of applied Itô 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.
本模块介绍应用伊藤微积分作为建模框架的规则。我们在随机微积分和马丁格尔理论中构建工具,并研究简单的随机微分方程及其相关的福克-普朗克和柯尔莫哥罗夫方程。
- The Random Nature of Prices: Examination of data, unpredictability, the need for probabilistic models, drift and volatility.
价格的随机性:数据检查,不可预测性,对概率模型的需要,偏移和波动率。
- Probability Preliminaries: Review of discrete and continuous random variables, transition density functions, moments and important distributions, the Central Limit Theorem.
概率初步研究:回顾离散和连续随机变量,转移密度函数,动量和重要分布,中心极限定理。
- Fokker-Planck and Kolmogorov Equations: similarity solutions.
福克-普朗克和柯尔莫哥罗夫方程:相似性解决方案。
- Applied Itô Calculus: Discrete-time random walks, continuous Wiener processes via rescaling and passing to the limit, quadratic variation, Itô integrals and Itô’s lemma.
应用伊藤微积分:离散时间随机游走,通过缩放和传递到极限,二次变化的连续维纳过程,伊藤积分和伊藤引理。
- Simulating and manipulating stochastic differential equations.
模拟和操作随机微分方程。
- The Binomial Model: Up and down moves, delta hedging and self-financing replication, no arbitrage, a pricing model and risk-neutral probabilities.
二项式模型:向上和向下运动,增量对冲和自筹资金复制,无套利,定价模型和风险中性概率。
- Discrete Martingales: Probabilistic universe, sample space, filtration and probability measures, conditional expectations, change of measure.
离散型马丁格尔:概率空间,样本空间,过滤和概率测量,条件期望,测量变化。
- Continuous Martingales: Discrete and continuous time martingales, Markov vs Martingale, Ito integrals and martingales, stochastic processes as martingale and tools of the trade.
连续型马丁格尔: 离散的和连续时间的马丁格尔,马尔科夫 vs 马丁格尔,伊藤积分和马丁格尔,随机过程作为马丁格尔和交易工具。
- Discrete Time Finance: Binomial Model, risk-neutrality, replication, risk-neutral probabilities - the connection between expectations and option pricing.
离散时间金融序列:二项式模型,风险中立,复制,风险中性概率- 预期与期权定价之间的联系。
Preparatory reading
预备阅读
- Paul Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2007, Wiley (Chapters 3,4,5,7)
Further reading
进一步阅读
- James D. Hamilton, Time Series Analysis, 1994, Princeton University Press
- John A. Rice, Mathematical Statistics and Data Analysis, 1988, Wadsworth & Brooks/Cole
- Salih N. Neftci, An Introduction to the Mathematics of Financial Derivatives, 1996, Academic Press (General reference)
Lifelong Learning lectures
终身学习讲座课程
- Linear Algebra - Riaz Ahmad
- Stochastic Calculus - Riaz Ahmad
- Differential Equations - Riaz Ahmad
- Methods for Quant Finance I, II - Riaz Ahmad
- Martingales - Riaz Ahmad
Module 2
Quantitative Risk and Return
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 reward, looking at risk management metrics such as VaR.
在这个模块涉及马科维茨经典的投资组合理论,资产定价模型以及这些理论的最新发展。我们评估风险和回报,查看 VaR 等风险管理指标。
- Modern Portfolio Theory: Expected returns, variances and covariances, benefits of diversification, the opportunity set and the efficient frontier, the Sharpe ratio, utility functions and the Black-Litterman Model.
现代投资组合理论(MPT): 预期回报,方差和协方差,多元化的好处,机会空间和有效前沿,夏普比率,效用函数和布莱克-利特曼模型。
- Capital Asset Pricing Model: Single-index model, beta, diversification, optimal portfolios, the multi-index model.
资产定价模型(CAP):单一指数模型,Beta,分散化,最佳投资组合,多指数模型。
- Portfolio Optimization: Formulation, implementation and use of calculus to solve constrained optimization.
投资组合优化: 公式,实现和使用微积分来解决约束优化。
- Risk Regulation and Basel III: Definition of capital, evolution of Basel, Basel III and market risk, key provisions.
风险管理和巴塞尔协议 III: 资本的定义,巴塞尔协议、巴塞尔协议 III 的演变和市场风险,关键条款。
- Collateral and Margins: Expected Exposure (EE), types of collateral, calculation initial and variation margins, minimum transfer amount (MTA).
抵押品和保证金: 风险敞口(EE),抵押品类型,计算初始条件和变化边距,最低转账金额(MTA)
- Value at Risk: Profit and loss for simple portfolios, tails of distributions, Monte Carlo simulations and historical simulations, stress testing and worst-case scenarios.
风险价值:简单投资组合的损益,尾部分布,压力测试和最坏情况。
- Liquidity Asset Liability Management: Gap analysis, liabilities and contingencies, the role of derivatives and nonderivatives in liquidity, Liquidity Coverage Ratio (LCR), Net Stable Funding Rate (NSFR).
流动性资产负债管理:差距分析(缺口分析),负债和不可预见费用,衍生品和非衍生品在流动性中的作用,流动性覆盖率(LCR),净稳定资金利率。
- Volatility Cluster: Concept and evidence.
波动性集群:概念和证明。
- Properties of Daily and High-Frequency Asset Returns: Average values, standard deviations, five-minute returns contrasted with daily returns, intraday volatility.
每日和高频资产回报的属性:平均值,标准差,五分钟回报和每日回报的鲜明对比,日内波动模型。
- Volatility Models: The ARCH framework, why ARCH models are popular, the GARCH model, ARCH models, asymmetric ARCH models and econometric methods.
波动率模型: ARCH 框架,为什么 ARCH 模型很受欢迎,GARCH 模型,ARCH 模型,非对称 ARCH 模型和计量经济学方法。
Preparatory reading
- Paul Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2007, Wiley (Chapters 1, 2, 3, 20-22)
- Stephen J. Taylor, Asset Price Dynamics, Volatility and Predication, 2007, Princeton University Press (Chapters 2, 4, 9-10, 12)
Further reading
- Edwin J. Elton & Martin J. Gruber, Modern Portfolio Theory and Investment Analysis, 1995, Wiley
- Robert C. Merton, Continuous Time Finance, 1992, Blackwell
- Nassim Taleb, Dynamic Hedging, 1996, Wiley
- David G. Luenberger, Investment Science, June 1997, Oxford University Press (Chapters 6 & 7)
- Jonathon E. Ingersoll, Theory of Financial Decision Making, 1987, Rowman & Littlefield (Chapter 4)
- Salih .N. Neftci, An Introduction to the Mathematics of Financial Derivatives, 1996, Academic Press (general reference)
- Ruey S. Tsay, Analysis of Financial Time Series, third edition, 2010, Wiley
- Attilio Meucci, Risk and Asset Allocation, 2009, Springer Finance
- Edwin J. Elton, Martin J. Gruber, Stephen J. Brown, William N… Goetzmann, Modern Portfolio Theory and Investment, ninth edition, 2010, Wiley
Lifelong Learning lectures
(Available to Full program and Level II delegates)
- Fundamentals of Optimization - Riaz Ahmad
- Investment Lessons from Blackjack and Gambling - Paul Wilmott
- Symmetric Downside Sharpe Ratio - William Ziemba
- Beyond Black-Litterman: Views on Generic Markets - Attilio Meucci
- Financial Modeling using Garch Processes - Kyriakos Chourdakis
Module 3
Equities and Currencies
股票和货币
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.
Black-Scholes理论建立在delta对冲和无套利原则的基础上,作为一种理论模型和实践已经非常成功和富有成效。本模块使用不同类型的数学解释理论和结果,使学员熟悉当前使用的技术。
- The Black-Scholes Model: A stochastic differential equation for an asset price, the delta-hedged portfolio and self-financing replication, no arbitrage, the pricing partial differential equation and simple solutions.
布莱克-斯科尔斯模型:资产价格的随机微分方程,Delta对冲投资组合和自筹资金复制,无套利,定价偏微分方程和简单解。
- Martingales: The probabilistic mathematics underlying derivatives theory, Girsanov, change of measure and Feynman-Kac.
鞅:衍生理论的概率数学基础,Girsanov,测度变化和Feynman-Kac。
- Early Exercise: American options, elimination of arbitrage, modifying the binomial method, gradient conditions, formulation as a free-boundary problem.
提前履约: 美式期权,消除套利,修改二项式方法,梯度条件,公式化为自由边界问题。
- The Greeks: delta, gamma, theta, vega and rho and their uses in hedging.
希腊字母: Delta,Gamma,Theta,Vega和Rho及其在对冲中的用途。
- Numerical Analysis: Monte Carlo simulation and the explicit finite-difference method.
数值分析:蒙特卡罗模拟和显式有限差分法。
- Further Numerical Analysis: Crank-Nicolson, and Douglas multi-time level methods, convergence, accuracy and stability.
更深层次的数值分析:Crank Nicolson和Douglas多时间层方法,收敛性、准确性和稳定性。
- Exotic Options: OTC contracts and their mathematical analysis.
奇异期权:场外交易合约及其数学分析。
- Derivatives Market Practice: Examination of common practices and historical perspective of option pricing.
衍生品市场实践:审查期权定价的常见做法和历史观点。
- Advanced Volatility Modeling: Implied vs actual, local volatility surfaces, non-linear pricing equations.
高级波动率建模:隐含与实际的局部波动率表面,非线性定价方程。
Preparatory reading
- Paul Wilmott, Paul Wilmott Introduces Quantitative Finance, second edition, 2007, Wiley (Chapters 6, 8, 27-30)
- Paul Wilmott, Paul Wilmott on Quantitative Finance, second edition, 2006, Wiley (Chapters 14, 22-29, 37, 45-53, 57, 76-83)
- Espen G. Haug, Derivatives: Models on Models, 2007, Wiley (Chapter 1 & 2, and on the CD Know Your Weapon 1 & 2)
Further reading
- Nassim Taleb, Dynamic Hedging, 1996, Wiley
- John C. Hull, Options, Futures and Other Derivatives, fifth edition, 2002, Prentice-Hall
- K.W. Morton and D.F. Mayers, Numerical Solution of Partial Differential Equations: An Introduction, 1994, Cambridge University Press
- Gordon .D. Smith, Numerical Solution of Partial Differential Equations, 1985, Oxford University Press
- Martin Baxter and Andrew Rennie, Financial Calculus: An Introduction to Derivative Pricing, 2001, Cambridge University Press
- Steven E. Shreve, Stochastic Calculus for Finance II: Continuous – Time Models v.2, 2000, Springer Finance
- Richard L. Burden and Douglas J. Faires, Numerical Analysis, tenth edition, 2016, Cengage Learning
Lifelong Learning lectures
- Black-Scholes World, Mathematical Methods and Introduction to Numerical Methods - Riaz Ahmad
- Infinite Variance - Nassim Nicholas Taleb
- Introduction to Volatility Trading and Variance Swaps - Sebastien Bossu
- Advanced Equity Models: Pricing, Calibration and Monte Carlo Simulation - Wim Schoutens
- Discrete Hedging and Transaction Costs - Paul Wilmott
- Ten Ways to Derive Black-Scholes - Paul Wilmott
- Volatility Arbitrage and How to Hedge - Paul Wilmott
最后贴一下本人CQF持证证书(姓名就掩码了,哈哈),说实话CQF证书作为全球最大的量化金融专业资格证书,证书确实太过朴素了,不过朴素归朴素,最重要是前文说到:CQF项目不仅让我收获到了专业的量化金融知识训练和持证证书,而且这次的项目经历对我职业成长和生涯的发展,产生了更加深远的影响。
最后希望对CQF感兴趣的人都能对CQF有更多的了解,也希望更多的人接触CQF项目!如果你也想加入这个项目,祝你都能收获自己想要的!
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