Dates and Locations

12/13 Jun

London, UK

London Chamber of Commerce >>

Course Outline: Quantitative Finance - Calculus and Statistics for Trading

A. Course Description
This training course is designed to give students a review of calculus and statistics with applications in quantitative finance and trading. The focus is on the tools necessary to model securities and derivatives, and portfolio thereof, and as well as those to develop trading and risk management strategies. The course concentrates on important areas in differential and integral calculus and surveys statistical methods that prepares students for the more advanced course in quantitative finance. Distribution theory covers the normal, student t, chi-squared and mixture of normals models. The course will also present statistical inference and forecasting methods with an eye towards time series analysis.

B. Method of Instruction
This course consists of two, seven hour days of lecture and classroom discussion, including sample text questions. All course materials will be provided by the instructor

C. Course Outline

DAY 1
Calculus:
- Limits
- Derivatives
- Fundamental theorem
- Sequences & series

Differential equations

Matrix algebra

Advanced matrices
- Determinants
- Laplace expansions
- Eigen values/vectors
- Linear independence

DAY 2
- Probability, descriptive statistics and distributions

- Confidence intervals, hypothesis testing, covariance

- Statistical applications in quantitative finance and trading

- Sample test questions