In modern finance, quants are the new power players. As financial markets become increasingly volatile and unpredictable, financial institutions, including top banks and hedge funds, are seeking quants to help harness the power of advanced analytics, AI and machine learning to drive business growth and mitigate risk. With demand for quants continuing to outstrip supply, professionals with expertise in quantitative finance and risk management are in prime positions to capitalize on emerging opportunities.

IIM Ahmedabad's Advanced Programme in Quantitative Finance and Risk Management is designed to help professionals thrive in this high-demand field. This six-to-seven-month programme provides a comprehensive understanding of financial markets, products, institutions, the Black-Scholes model, machine learning applications in finance and more. You'll develop the tools needed to describe financial markets, make predictions in the face of uncertainty and find optimal solutions to business and investment decisions. With this expertise, participants will be equipped with the skills to take on leadership roles in quantitative finance and risk management.

Programme Objectives

The main objective of this programme is bring together experienced and young quantitative analysts and managers in large financial institutions, hedge funds and boutique trading and risk analytics firms and provide them with

Mathematical and economic foundations of derivatives pricing and risk management
An in-depth understanding of the famous Black Scholes model, its applications and extensions
Computational finance using Python and R
An introduction to most commonly used machine learning methods in finance
Knowledge of mathematical techniques used in quantitative risk management and
A peek into the state of the art in quantitative finance, machine learning applications and risk management.

Desired Candidate Profile

Educational Qualification: Applicants must be working professionals with a graduate degree (10+2+3 or equivalent) in any discipline, securing at least 50% marks.
Work Experience: The programme is open to professionals at all levels - senior, middle, and junior management, as well as entrepreneurs.

Course Modules

Module 1: Building blocks (Mathematics and Derivatives)

Financial markets, products and institutions
Principle of no-arbitrage and pricing of forwards, futures and options
Bonds, Forward rate agreements and Zero-rate based pricing
Essentials of calculus and probability theory
Stochastic processes and martingales
The standard Brownian motion, Ito's lemma and its applications

Module 2: The Black-Scholes model, its applications and extensions

Different ways to get to the Black-Scholes model and their equivalence
The idea of option Greeks, volatility smile and local and stochastic volatility models
Early exercise feature, barrier options and design and pricing of structured products
The numeraire change toolkit, interest rate derivatives and the Libor Market Model
Introduction to QuantLib-Python
Foundations of machine learning (ML) and artificial neural networks (ANN)
Estimating returns, volatility and correlation: Time series and ML-based methods
Advanced ML applications in quantitative finance and derivatives pricing

Module 3: Advanced topics in risk management