• Execute and deliver medium frequency trading strategies
• Perfrom dynamic portfolio construction strategies
• Commodity pricing and portfolios in the energy sector
• Statistical arbitrage and portfolio construction assessment
• Refined hedging and pricing strategies across derivative classes
• Accurately build CVA models - including incoming charge fee variations

Course Highlights:

• Statistical arbitrage and medium frequency trading strategies
• Model hedging and pricing strategies across derivative classes
• CVA modelling approaches taken at a CVA desk
• Advanced and practical application of techniques post Black-Scholes
• Portfolio construction and real-time analysis
• Hands on application of cutting edge techniques

Course tutors

• Igor Smirnov, Head of Fixed Income Quantitative Research Europe, BANCO SANTANDER
• Marcello Minnena, Head of Quantitative Analysis, CONSOB
• David Jessop, Global Head of Quantitative Research, UBS
• Eric Li, Director, Fixed Income Analytics, WELLS FARGO
  
• Marco Avellaneda, Professor of Mathematics, Courant Institute of Mathematical Sciences, NEW YORK UNIVERSITY  (Risk Awards, Quant of the Year 2010)