# 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
• 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
• 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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