CQF一共6个科目和2门选修课,其中一级包含了三个科目,分别为Building Blocks of Quantitative Finance、Quantitative Risk&Return和Equities&Currencies,具体内容都包含了哪些呢?接下来来我们一起看看。
1、CQF一级科目都包含了哪些?
Module 1-Building Blocks of Quantitative Finance
In module one,we will introduce you to the rules of applied Itôcalculus as a modeling framework.You will build tools using both stochastic calculus and martingale theory and learn how to use simple stochastic differential equations and their associated Fokker-Planck and Kolmogorov equations.
Module 2-Quantitative Risk&Return
In module two,you will learn about the classical portfolio theory of Markowitz,the capital asset pricing model and recent developments of these theories.We will investigate quantitative risk and return,looking at econometric models such as the ARCH framework and risk management metrics such as VaR and how they are used in the industry.
Module 3-Equities&Currencies
In module three,we will explore the importance of the Black-Scholes theory as a theoretical and practical pricing model which is built on the principles of delta hedging and no arbitrage.You will learn about the theory and results in the context of equities and currencies using different kinds of mathematics to make you familiar with techniques in current use.
2、CQF考试形式都有哪些?
考试的形式都是开卷考试,基本上是老师的上课或者习题课讲过的内容进行深化。
最后的project有多个题目的选择,可以依据个人兴趣和选修课选择的内容进行选择,
无论是前三次考试还是最后的project,每个考试大概都是两个大题,多个小题,考试总分为100分,每个小题根据难易程度占不同的权重。
在提交考试答案以后,两周后考试官方会给出老师的评分。