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Risk Latte
CFE Exam
CFE Exam is the heart of the CFE Program and is designed to test a students analytical, thinking and application skills in the field of Quantitative Finance and Financial Engineering. A student can sit for the CFE Exam during the term of 3 years; The CFE Exam comprises two levels CFE Level 1 and CFE Level 2 Exam and levels are categorized according to the format only (and not on the basis of coverage of topics). Level 1 Exam is primarily in a multiple choice questions (MCQ) format with a couple of short answer type questions whereas Level 2 Exam requires extensive use of Excel/VBA and the detailed spreadsheet modeling on PCs/laptop computers to answer problems. All those who enroll for the CFE Program get 2 (two) chances to sit for both CFE Level 1 and Level 2 Exam within a period of 3 (three) years from the date of enrollment in the CFE Program. Only upon passing the CFE Level 1 and Level 2 Exams a student qualifies for the award of the CFE Certificate. CFE Level 1 Exam is held in January and July and Level 2 Exam is held only in January. Both CFE Level 1 and Level 2 Exams are onsite exams (i.e. a student has to physically attend an exam centre) and they are currently held in Hong Kong, Singapore, London, New York, Tokyo and Mumbai.
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CFE Course is designed for all those who are enrolled in the CFE Program and registered for the CFE Exam; it helps all students to navigate the curriculum / syllabus better and get a feel for it. It is offered for FREE to all those who are enrolled in the CFE Program and registered for the CFE Exam. CFE Course is primarily delivered in Online (via internet) format; Only for a select group of banking and finance professionals (and some other sponsored professionals) CFE Course is offered onsite, in a classroom format at six global locations: New York, London, Singapore, Tokyo, Hong Kong and Mumbai. Over term of the program a student enrolled in the Classroom program, besides doing self-study via online course materials, gets to complete a total of 16 days of classes and tutorials. CFE is an applications based course with major emphasis on hands-on quantitative modeling; the course focuses on the application of advanced theoretical and mathematical concepts used in Quantitative Finance to solve problems of valuation and risk analysis; CFE Course makes extensive use of Excel/VBA and all quantitative and mathematical models are implemented and developed in Excel/VBA. Besides, Excel/VBA spreadsheets the course materials also contain theory notes and lecture notes in PDF format. CFE Course materials and curriculum are designed and developed by industry practitioners and banking / finance professionals from top tier global banks and financial institutions who have graduated from the CFE Program. The term of the CFE Course is 3 (three) years; all those who enroll for the CFE Program and register for the CFE Exam get access to course materials for a period of 3 (three) years from the date of enrollment; a student can download course materials from the CFE Online site and do self-study. The course materials are all in the form of Excel/VBA spreadsheets and PDF files. Besides providing proprietary course materials, sufficient reference materials are also provided to the student to help him with self-study.
US$900
US$600
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Full time University students: US$400 (Only those full time University students who have never ever worked in the finance, banking, securities and investment industries)
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Fee Schedule for CFE Classroom Program (Classroom Course plus Exam): (Only for Corporate Sponsored Professionals and Students) Professionals working in banks, financial institutions and financial services companies: Professionals working in other Companies (non-banking, non-finance Companies) and University students:
US$6,000
US$4,500
IMPORTANT NOTE: Please note the following the CFE Classroom program is only for sponsored candidates and a select group of professionals and is not open to the general public. There is absolutely no difference in the curriculum or the course materials as offered to Online students and the Classroom students. All students, whether enrolled in the Classroom program or the Online program will have to pass both levels of CFE Exam to qualify for the CFE Certificate.
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Risk Latte
CFE Certification
CFE School, which is the Learning and Education division of Risk Latte Company, is supervised and monitored by the CFE Academic Committee and the CFE Executive Committee comprising senior level bankers and finance professionals from top tier global banks and financial institutions. These individuals are senior level market professionals and industry practitioners and have graduated from the CFE Course. CFE School and Risk Latte Company awards the CFE Certificate to all those who qualify in the CFE Exam. There are no entry criteria for admission to CFE and the FEM Program. Anyone can apply and get admission to the CFE (and the CFE+FEM Dual Certificate) Programs. However, on an average only 3 out of 10 who enroll for the CFE Program and sit for the CFE Exam manage to pass it. CFE is an extremely challenging and utterly unique course and an exam in the field of Quantitative Finance and Financial Engineering. CFE Certificate is awarded to those who qualify for the CFE Exam (and likewise for FEM Exam). All students, regardless of whether they are enrolled in the Online or the Classroom Course will have to sit for the CFE Exam (Level 1 and Level 2) and pass the Exam to qualify for the CFE Certificate.
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PART III
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Numerical Methods in Finance
Monte Carlo simulation methodology, simulating a random walk and a Brownian motion, simulating other stochastic processes as given in Module III above, Cholesky and Eigenvalues decomposition, simulating multi-asset stochastic processes, variance reduction techniques, generating pseudo and quasi random numbers, Cox-Ross-Rubenstein (CRR) tree and other kinds of binomial trees, CFEE trinomial trees and other kinds of trinomial trees, numerical integration routines, trapezoidal and other rules for numerical integration Gaussian Quadrature Methods, solution of Black-Scholes equation using Greens function, finite difference methods, forward difference and Crank-Nicholson method, implementation of Fourier transforms and fast Fourier transforms (FFT), copula methods in finance and implementation of copula models. Financial Products and Product Engineering (Structuring and valuation of Equity, FX, Interest Rate, Commodity and Credit Derivatives) Vanilla Options, Straddles and zero beta straddles, Binary Options, Outperformance Digital options, Money back options, Fixed and Floating Strike Lookback Options, Arithmetic Average Options, Chooser Options, Symmetric and Asymmetric Power Options, Forward Starting and Cliquet Options, Reverse Cliquet Options, Napoleon Options, Exchange Options, Amortizing Options, Pyramid and Madonna Options, Basket Options, Best of and Worst of Options, Himalaya, Altipano and Everest Options, Capped Bull Note, Principal Protected Bull Note, Principal Protected Bear Note, Principal Protected Mixed Note, Equity Linked Basket Note, Note with a Short Put option embedded, Perpetual Capped Call Note (American style) with no maturity, Accumulators, Target Redemption notes (TARN), Equity Linked Savings, Equity linked barrier, digital and lookback notes, chooser notes and notes with Asian tail, fixed income floating rate notes (FRN), inverse FRNs, CMS linked notes, inflation linked notes, Decomposition of Structured Product through Payoff Diagram, Convertible Bonds and Reverse Convertible Bonds, Caplet and Snowball options, Sycurve Options, Compound options, Installment options, Israeli options, Timer options. Credit linked notes, Credit default swaps (CDS), Collateralized Bond Obligations (CDOs), synthetic CDOs; Implied Volatility Numerical Estimation of Implied Volatility, Lelands Formula, Brenner -Subrahmanyam Approximations, Corrado Miller Approximation, Steven Lis Approximation, SABR Volatility, CEV Volatility, Volatility Skew, Implied Volatility Surface and Interpolating Implied Volatility, Vanna Volga Methodology, Local Volatility, Local Volatility in presence of default and jumps; Historical Volatility Historical Volatility using close to close price, Parkinsons Number, Garman-Klass Estimator, EWMA Volatility, GARCH Process, estimation of variance-covariance matrix from market data, correlation matrix and positive semi-definiteness.
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Stochastic Volatility
Hestons stochastic volatility model: closed form implementation using complex integrals, Heston-Nandi GARCH model implementation, evaluation of Greeks in Heston and Heston-Nandi model, Full valuation of Heston and Heston-Nandi models using Monte Carlo simulation, calibration of stochastic volatility models, stochastic local volatility models (SLV). Model Free Volatility and Variance Swaps Log Contract, Britten-Jones & Neuberger Model, Variance Swap, VIX Index, Volatility Swap, Correlation and Implied Correlation, Correlation Skew, Dispersion, Model free higher moments. Options and Financial Derivatives Valuation (Closed Form solutions and Analysis) Vanilla Options using Black-Scholes Model, Put-Call Parity and Put-Call Symmetry, Straddle Options, Option pricing using Displaced Diffusion model, Power Option, Exchange Option, Binary Option, Barrier Option, One Touch Option, Double Barrier (Binary) Option, Fixed and Floating Strike Lookback options, Arithmetic Average option, Forward Starting option, Caps and Floors, Swaption Valuation using Blacks formula, SYCURVE Options, Bond Option pricing using Blacks formula, Options on Zero Coupon Bond using Vasiceks Model, Options on Variance. Greeks Call and Put Delta, Call and Put Gamma, Vega of Options, Hedging Error due to Volatility Smile, Theta and Rho of Vanilla options, Binary Call and Put Delta, Dirac Delta Function and the Binary, Binary Gamma and Vega, Variance Swap Greeks, Greeks for barrier options and other exotic options, estimation of Greeks using numerical methods, using Greeks for hedging option books, Options Trading Market making and proprietary trading, liquidity and liquidity holes, traders edge and Dubins Savage theorem, delta hedging, lock delta, partial and total delta, managing gamma and shadow gamma, moments of option position, bucketing and topography, modified vega analysis, understanding fat tails, orders of volatility trade (first order, second order and higher order volatility trades), managing a book of binary and barrier options, using straddles, strangles and risk reversals, vanna-volga overhedge, price-volatility matrix and analyzing vega convexity.
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Risk Latte
Portfolio Analysis & Asset Allocation (Including Algorithmic Trading)
Sharpe Ratio, Treynor Ration and Jensens Alpha, Portfolio Volatility, Expected Return for Stocks and Bonds, Volatility of Spreads, Probability of Stocks Outperforming Bonds, Mean-Variance Optimization for a Total Return Objective, Mean-Variance Optimization by maximizing Sharpe Ratio, Sharpes Algorithm for Efficient Frontier, Portfolio Insurance, Constant Proportion Portfolio Insurance (CPPI), Capital Asset Pricing Model (CAPM), Minimization of Risk and MCR Algorithm, Statistical Arbitrage, Triangular Arbitrage, pre-trade and post-trade analysis, market impact and timing risk, Principal bid transactions, efficient trading frontier and advanced program trading models, VWAP strategy. Risk Management (Market, Credit and Counterparty Risk Modeling) Spot and forward risk, parametric VaR estimation, VaR using Monte Carlo simulation, CornishFisher transformation, Portfolio VaR, marginal VaR, Principal Components Analysis (PCA), VaR for equity, bond and FX portfolios, cash flow mapping techniques and application to FX forwards and fixed income products, VaR for options book: delta normal VaR and delta-gamma VaR, Vega VaR, structural approach to predicting default and valuation models, transition matrices and prediction of default and transition rates, Loss given default (LGD), asset value approach and estimation of credit portfolio risk, credit portfolio models and their validations, Basel II and Internal Ratings methodology, Basel III implementation. Excel/VBA Spreadsheet Coding & Modeling Financial functions: NPV, IRR, PMT, XIRR, XNP, Date functions: Now, Today, Date, Weekday, Month, Datedif, Statistical functions: Average, Var, Varp, Stdev, Stdevp, Correl, Covar, Regression functions: Slope, Intercept, Rsq, Linest, Conditional functions: If, VLookup, HLookup, Boolean functions: And, Or, Count, CountIf, Offset, Statistical functions: Rand, Normsdist, Normsinv, Skew, Other functions: Large, Small, Rank, Percentile, Count, Countif, Math Functions: Trigonometric functions, Engineering functions, Multiple Regression functions in Excel and making scatter plots, generation of regression equations, Handling arrays and array functions and matrix functions: Transpose, matrix multiplication, inverse of a matrix and determinant, power of a matrix, subtracting a constant from a matrix, using GoalSeek and Solver in Excel: Application & mini tutorial, introduction to VBA Editor and using VBA subroutines (macros) and user defined functions in Excel spreadsheet (only the use of readymade VBA programs will be demonstrated, no VBA programming will be done), formula Auditing, use of subscripts and superscripts, naming and hiding cells, addition of Greek symbols in an Excel spreadsheet and use of Equation Editor for embedding / writing mathematical formulas (images) in the sheet.
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Investment Banking
Company valuation models: comparable companies analysis and transaction analysis, discounted cash flow (DCF) analysis, Leveraged buyouts (LBOs), LBO analysis, buy side mergers and acquisitions (M&A), sell side M&A, valuation models for banks and financial institutions, macro-economic analysis and econometric models (to understand the environment in which banks and financial institutions operate). Basic Level Excel for Financial and Engineering Mathematics (Mandatory Module) Cells, worksheets and workbooks, cell references and naming a cell; Insert, Format and Tools menu (2003 & 2010); Quick Start Math and Excel formulas Time, Financial and Math & Statistical formulas; Using Excel Object, Equation Editor 3.0, Insert Equation, how to handle arrays (single arrays and matrices); Data Analysis Histogram, Random number generation, goal seek, charting in Excel and trend lines, 2-D and 3-D charts; Other essential features and coding characteristics in Excel helpful in financial modeling; Matrix and array functions in Excel. Advanced Excel/VBA for Engineers and Quants (Optional Module) Boolean and Engineering functions and their types; Using Complex Number libraries and writing complex functions, Trigonometric functions solution of an inclined plane problem; Implementing Fourier series, hyperbolic functions and Bessel functions applications; Real and imaginary parts of a complex number and complex number operations, evaluating complex integral (integrals with imaginary parts) applications in Finance; Boolean functions and applications in Electrical Engineering railroad crossing signals and digital locks; Using the Developer tool and handling Modules, link to VBA; Advanced array handling in Excel, Lookup functions; Analysis Tool Pack - descriptive statistics, histogram, random number generator, Fourier analysis; Applications of Goal Seek; Excel Solver for optimization problems, application of Excel Solver for non-linear problems and optimizations; Visual Basic for Applications (VBA) for Financial Mathematics (Optional Module) Organization of the VBA Editor VBA Procedures: VBA macros and VBA User defined functions; Elementary VBA code and writing custom functions VBA statements, Objects, Properties and Methods Using worksheet functions with VBA Program control, Logical operators and Data types; conditional execution Types and Loops, Boolean operators, Arrays in VBA, dynamic arrays, arrays in function procedures VBA Command macros, arguments of methods, handling cell references, interacting with the user; Multidimensional arrays, array assignment, variants containing an array, arrays as parameters in functions; Objects and Add-ins, worksheet objects, active cell range as object variables, range object, Collections, Names, naming a range using a Macro, references to external functions in VBA, using a Function in a reference Writing a custom (user defined) functions for mathematical applications Testing and debugging the code;
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random numbers, efficiency and accuracy; generation of low discrepancy sequences, Halton numbers, Sobol sequences; generation of random normal numbers, Box-Muller algorithms; Random sampling to approximate solutions of quantitative problems introduction to Monte Carlo simulation; Estimation of the constants, such as pi() using Monte Carlo simulation; Monte Carlo simulation of a stock price; Estimation of an area under irregular polygon; Using Monte Carlo integration to estimate values of functions; Monte Carlo integration of single integrals and multiple integrals; Interest Rate Mathematics Time value of money, compound interest discount factors, discounting functions and mathematics of annuities; Present value and future value of cash flows; Net Present Value (NPV) and Internal Rate of Return (IRR) of investments; Zero rates, par rates and forward rates, Linear and cubic interpolation of rates; Duration, convexity of cash flows, pricing interest rate swaps (IRS). Linear and non-Linear Optimization Methods Linear programming and its applications in Finance, dynamic programming; Mean-variance optimization methodologies using first derivatives, constrained optimization methods, Lagrangian multiplier methodology; optimization of complex and non-linear problems using Solver in Excel; Solving a system of non-linear equations by iteration, Newtons method; Non linear regression analysis and least squares curve fitting using Excel Solver Statistics of non linear regressions Numerical Integration Newton-Cotes methodology for integration and incline functions Numerical integration using Simpsons rule, trapezoidal rule; Gaussian quadrature methodologies Gauss -Legendre and Gauss-Laguerre quadrature methodology Ordinary Differential Equations (ODEs) Numerical Solutions What are Ordinary Differential Equations (ODEs) and their examples in Finance; Solution of ODEs for Physics and Engineering problems; Solution of first order differential equation using separation of variables and Eulers numerical method; Fourth order Runge-Kutta Method, application to differential equations using both x and y variables; Systems of first order differential equations and fourth order Runge Kutta functions for systems of differential equations; Predictor Corrector methods and higher order differential equations, Finite Difference methods and solving second order differential equations
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Partial Differential Equations (PDEs)
What are partial differential equations (PDEs) and their examples in physics, engineering and finance; Types of PDEs: Elliptic, Parabolic and Hyperbolic and where do we encounter them in Finance; Relationship between Heat Equation and the Black-Scholes PDE for Option Pricing; Greens theorem approach to solution of Black-Scholes PDE for exotic options pricing; Numerical methods: forward and backward difference methods, explicit methods for solving PDEs Using Laplaces finite element method and solution of Laplaces PDE Using separation of variables method for solving PDE and solution of Schrodingers Wave equation; The CrankNicholson (Implicit) method for solving PDEs; Stochastic Processes Continuous time Diffusion process: Weiner process and random walk, Ito process; Simple rules of stochastic differentiation and integration, Gaussian stochastic integrals; Simulation of a Weiner process, finite difference method, integral equation method; Feynman-Kac theorem and the expectations approach to solution of diffusion equation; Arbitrage free valuation, risk neutral measure, Radon-Nikodym derivative Change of probability measure under continuous probability density, Girsanovs theorem, forward measure; Maxima and minima of Brownian motion and the first exit time problem; Dynamics of the Jump diffusion process and simulation of jump processes; Mean reverting Ornstein-Uhlenbek (OU processes, Square root processes and Bessel processes GARCH diffusion processes Introduction to Stochastic Control Theory: Dynamic programming and Hamilton Jacobi Bellman equation; Integral Transforms Infinite series, Fourier series and Fourier analysis of waves, Fourier Transforms and its applications in Signal processing; Relationship between characteristic functions of probability distribution and Fourier transform, using Fourier transform to solve option pricing problems; Introduction to Laplace transforms and application of Laplace transforms; Advanced applications of Fourier and Laplace transforms in physics and engineering problems; Applications of Fourier and Laplace transforms in quantitative finance.
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A. Program Related
1. Choose the appropriate program (any one) and check the appropriate box: Certificate in Financial Engineering (CFE) Program CFE+FEM Dual Certificate Program
2. Choice for the CFE and/or the FEM Exam Centre Hong Kong London New York Singapore Tokyo Mumbai
B. Personal Details
5. Name: Mr / Ms _________________________________________ 6. Address _________________________________________________ _________________________________________________ 7. Email ______________________________________ 8. Phone ______________________________________
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10. If the answer to the above question is Yes, then have you ever worked in a bank, financial institution, finance company, securities and/or Investment company? Yes No
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11. Details of your Previous Employer _____________________________________________ 10. Current Organization ___________________________________________________ (Full name of the organization you work for) 11. Division / Department ______________________________________________ 12. Phone Number of the Supervisor _____________________________________ 13. University / School _________________________________________________ (If you are a full time student then fill in the name of the University / college / school) 14. Department and Area of Concentration ______________________________________ 15. Name of the Contact person & Phone No. _____________________________________ (e.g. name of the Dean of the Institute / University / Head of the Department / Professor)
Dec 2014
(Check any one of the above boxes. Each student enrolling for the CFE, FEM and the CFE+FEM Dual Certificate will get two chances to sit for both CFE (Level 1 & Level 2) and FEM (Level 1 & Level 2) Exam within a three year period from the date of enrollment; however, please check one of the above boxes to indicate your choice of the date for the first time you want to sit for the CFE Level 1 Exam.)
Dec 2014
(Check any one of the above boxes. Each student enrolling for the CFE, FEM and the CFE+FEM Dual Certificate will get two chances to sit for both CFE (Level 1 & Level 2) and FEM (Level 1 & Level 2) Exam within a three year period from the date of enrollment; however, please check one of the above boxes to indicate your choice of the date for the first time you want to sit for the CFE Level 2 Exam.)
16. FEM Level 1 Exam Date: Jun 2014 17. FEM Level 2 Exam Date: Jun 2014
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E. Program Fee* (the Fee)
You need to make the relevant and applicable fee payment together with your application.
For wire transfer please use the following bank account details: Bank: HSBC Exchange Square Branch Hong Kong Account Number: 083 384404 838 Account Name: Risk Latte Company Limited Swift Code: HSBCHKHHHKH
For credit card payment, we will send an email to you at your above mentioned email address via PayPal and then you can pay through your credit card.
_____________________ Signature
*Any and all withholding tax and/or any other government tax or levy applicable on the Fee by the respective
government of the country in which the applicant / student / registrant is a citizen, resident or domiciled shall be solely and fully borne by the applicant / student / registrant and/or his or her sponsor and he or she and/or his or her sponsor shall be responsible for paying such a tax/levy to the respective Government. Fees once paid are strictly non-refundable and by signing on this form and making the Fee payment the applicant / student / registrant and/or his or her sponsors hereby waives all rights to claim refund on the Fee and/or chargeback on any credit card payment of the Fee.
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