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Financial Engineering & Risk Management

Primer Modules: Optional

Overview of Finance Industry

  • Basic Building Block of Finance and Financial Institutions : Global Perspective
  • Capital Markets
  • Debt Markets
  • Derivatives Markets

Financial Mathematics

  • Linear Algebra
  • Differential Calculus
  • Integral Calculus
  • Ordinary Differential Equations

Probability & Statistics

  • Basic Probability& Application
  • Probability Distributions
  • Statistics

Basic Programming

  • MS Excel VBA
  • Python/R

Student Need to Attend Primer Test after completion of the above modules.

Module A: Applied Mathematical Finance in MS Excel VBA/Python/R

Introduction to Financial Engineering

  • Financial Economics
  • Building Block of Finance
  • Fundamentals of Risk & Return Theory
  • Products and Strategies
  • Fixed –Income Securities Mathematics
  • Brief History of Option Pricing
  • Options Fundamentals and Fundamentals behind the Pricing and Valuations
  • Types of Options

Financial Mathematics

  • Probability Theory
  • (Negative Probability in Finance, Nowhere Found Otherwise in General. Inputs from Direct interaction with World leading experts
  • Martingales
  • Stochastic Processes
  • Brownian Motion/Wiener Process
  • Stochastic Calculus
  • Applied Ito Calculus
  • Measure Theory
  • Girsanov Theorem
  • Radon-Nikodym Theorem
  • Binomial Model
  • Black-Scholes-Merton Model
  • Beyond Black Scholes (Real World )
  • Advanced Greeks(Common BSM Myths busted!) Direct Inputs from the faculty Interaction with the leading experts of the world

Financial Econometrics

  • Time Series Analysis
  • Co-Integration &Regression Analysis
  • Volatility Modeling(Advanced)
  • Calibration and Data Analysis

Numerical Methods

  • Numerical Methods for Partial Differential Equations
  • Random Numbers
  • Monte Carlo Simulation Method
  • Advanced Monte Carlo Techniques Insights & approach from the direct faculty interaction with the world legend e.g. Dr.Peter Jaeckel,Oxford University, Pioneer of the field.

Student Need to Attend Module A Test Paper after completion of the above modules.

Module B: Derivatives Valuation, Risk & Portfolio Analytics: Market, Credit, Investment, Operational Risk

Derivative Valuation

  • Equity Derivatives (Unconventional Aspects Included)-Stochastic Modeling
  • Fixed Income Products,Currency& Commodity Derivatives-Stochastic Modeling
  • Stochastic Interest Rate Derivatives Modeling
  • Exotic Options
  • Credit Derivatives Pricing&Intensity Modeling PD,LGDindustry wide models(Statistical,Structutral& Stochastic) and other terms using latest industry approaches, Valuation,CVA,DVA,FVA – Stochastic modeling

Risk & Portfolio Analytics(Practitioner’s approach)

  • Financial Risks(Market ,Credit,Investment,Operational)
  • Value-at-Risk and Expected Shortfall, Tail Risk,
  • Higher Order Stress Testing, Anti-fragility,Model Validation
  • Latest Developments in the Industry.
  • Monte Carlo Simulation Application
  • Advanced Portfolio Management (Quantitative )

Operations& Regulation

  • Latest Regulations
    • Basel Norms
    • FRTB and more

Student Need to Attend Module B Test Paper after completion of the above modules.

Module C: Project & Industry Networking

  • Live Projects
  • Placement Assistance & Industry Live Sessions
  • Networking with Senior Level Mgmt. at international platform.

Student Need to Attend Module C Test Paper and submit project report after completion of the above modules.

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