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What You Get
 Knowledge:
in-depth understanding of quantitative modeling for the buy-side from the foundations to the newest developments. The most advanced statistical and optimization techniques are thoroughly explained in theory and visualized in practice with live MATLAB examples and exercises
Market modeling:
random walk, ARMA, GARCH, Levy, long memory, stochastic volatility
Multivariate statistics: non-parametric,
non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal
factorization; location-dispersion ellipsoid
Factor modeling:
theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal components analysis, random matrix theory
Pricing:
full evaluation, Greeks approximation, stress-matrix interpolation; analytical, Monte Carlo, historical
Risk analysis:
diversification, stochastic dominance, expected utility, Sharpe ratio,
Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and
spectral measures
Advanced management:
robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication
Materials:
A. Meucci's classic Risk
and Asset Allocation; MATLAB demos;
~500 summary slides
Certifications:
40 CFA Institute CE units; Certificate in Advanced Risk and Portfolio Management, administered worldwide; 3 academic credits at Master's in Financial Engineering at Baruch; learn
more
Meet the Stars:
guest lectures and cocktail party with the best in the industry: Bob Litterman, Peter Carr, Bruno Dupire, Fabio Mercurio, learn more
What You Pay
$850 (Bloomberg/Academic/Student);
$1,200 (Partner);
$1,550 (Professional)
Special group rates: your whole team will be trained and tested; learn
more
When/Where
Monday August 16 through Saturday August 21, 8:30am-6:00pm
Baruch College-CUNY, 55 Lexington Avenue (at 24th Street), Lecture Hall 5-150, Newman Vertical Campus
Audience
Buy-side
professionals
(portfolio managers and risk managers with solid quantitative
background) will deepen and broaden their understanding of the recipes
they implement everyday and will learn the most cutting-edge techniques
Sell-side
professionals (traders, financial
engineers, quantitative analysts, research teams) will bridge the gap
to the buy-side aspects of quantitative finance
Academics
and
students will understand the
big-picture and the details of buy-side finance in a concise,
quantitative language familiar to them
Charity
After minimum costs, each dollar paid will turn into a 50 cent donation to Doctors without Borders and a 50 cent investment in education at CUNY, learn more
Contact
For more information, send email to arpm@baruch.cuny.edu
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