ADVANCED TOPICS IN FINANCE AND INSURANCE
Syllabus
Obiettivi Formativi
CONOSCENZA E CAPACITÀ DI COMPRENSIONE: Gli studenti acquisiscono conoscenza dei principali metodi matematici e statistici utilizzati per l'analisi dei mercati finanziari. Accanto agli aspetti più prettamente modellistici, vengono introdotti aspetti applicativi mediante l'uso di software dedicati in molteplici casi di studio.
CAPACITÀ DI APPLICARE CONOSCENZA E COMPRENSIONE: Al termine del percorso di apprendimento gli studenti sono in grado di applicare le conoscenze e le tecniche acquisite per l'analisi di numerosi prodotti finanziari e la misurazione e gestione del rischio, anche tramite l'implementazione di programmi di calcolo.
AUTONOMIA DI GIUDIZIO: Il corso intende fornire una visione ampia e coerente dei diversi aspetti concernenti l'analisi e la gestione del rischio che possono orientare le decisioni e la soluzione dei problemi in contesti finanziari caratterizzati da informazioni spesso limitate e in rapida evoluzione.
ABILITÀ COMUNICATIVE: Lo studente dovrà essere in possesso di adeguate conoscenze che permettono di comunicare in modo chiaro, a interlocutori specialistici e non, il contesto teorico di riferimento, e sintetizzare le evidenze empiriche concernenti il problema decisionale sorto in ambito finanziario.
CAPACITÀ DI APPRENDIMENTO: Lo studente dovrà essere in grado di affrontare in modo ampiamente autonomo i problemi di analisi di prodotti finanziari complessi, misurazione e gestione del rischio, ed il necessario aggiornamento delle conoscenze e dei modelli in continua evoluzione nell'ambito finanziario.
Learning Objectives
KNOWLEDGE AND UNDERSTANDING: Students acquire knowledge of the main mathematical and statistical methods used for the analysis of financial markets. Alongside the more purely modeling aspects, application aspects are introduced through the use of dedicated software in multiple case studies.
APPLYING KNOWLEDGE AND UNDERSTANDING: At the end of the learning path the students are able to apply the acquired knowledge and techniques for the analysis of numerous financial products and risk measurement and management, also through the implementation of the presented techniques by means of programming languages.
MAKING JUDGEMENTS: The course aims to provide a broad and coherent view of the various aspects concerning risk analysis and management that can guide decisions and problem solving in financial contexts characterized by information that is often limited and rapidly evolving.
COMMUNICATION SKILLS: The student must be in possession of adequate knowledge that allows him to communicate clearly, to specialist and non-specialist interlocutors, the theoretical context of reference, and summarize the empirical evidence concerning the decisional problem raised in the financial framework.
LEARNING SKILLS: The student must be able to deal with the problems of analyzing complex financial products, risk measurement and management, and the necessary updating of knowledge and models in continuous evolution in the financial market in a largely autonomous way.
Prerequisiti
Prerequisites
Programma
I) Ingegneria finanziaria per gli investimenti (3 settimane). Questo modulo copre la valutazione di molteplici strumenti e classi di attività:
- Valutazione di strumenti finanziari, compresi i fondamenti della teoria dei prezzi lineari e la valutazione neutrale al rischio per i derivati
- Identificazione, modellazione e previsione dei principali fattori di rischio per i rendimenti di azioni, strumenti a reddito fisso, derivati, strumenti di credito, alta frequenza, cambi
- Tecniche di repricing: metodi Monte Carlo per il “full repricing”, approssimazioni analitiche di “greche” (Greeks).
II) Data science per la finanza (3 settimane). Questo modulo copre gli strumenti statistici necessari per modellare e stimare le dinamiche congiunte dei mercati:
- Distribuzioni multivariate e classi notevoli: ellittiche, esponenziali, discrete
- L'ecosistema “media-covarianza/lineare”: vettore medio, matrice di covarianza, ellissoide, equivarianza affine, correlazione, previsione lineare
- Stima dell'ecosistema “media-covarianza/lineare”: stime "storiche", massima verosimiglianza, stime Bayesiane, teoria delle matrici aleatorie e shrinkage
- Modelli fattoriali lineari: regressione, analisi delle componenti principali, analisi dei fattori, modelli cross-sectional
- Modelli di apprendimento automatico; feature engineering, feature bases, alberi, reti neurali, gradient boosting, regolarizzazione lasso/ridge, foreste casuali, ecc.
Program
I) Financial Engineering for Investment (3 weeks). This module covers valuation across instruments and asset classes:
- Valuation across financial instruments, including linear pricing theory foundations, risk-neutral valuation for derivatives.
- Identification, modeling and forecasting of key risk drivers for the returns of equities, fixed income, derivatives, credit, high frequency, foreign exchange
- Repricing techniques: Monte Carlo full repricing, analytical Greeks approximations.
II) Data Science for Finance. This module covers the statistical tools needed to model and estimate the joint dynamics of the markets:
- Multivariate distributions and notable classes: elliptical, exponential, discrete
- The “mean-covariance/linear” ecosystem: mean vector, covariance matrix, ellipsoid, affine equivariance, correlation, linear prediction
- Estimation of the “mean-covariance/linear” ecosystem: historical, maximum likelihood, Bayesian, random matrix theory and shrinkage
- Linear factor models: regression, principal component analysis, factor analysis, cross-sectional models
- Machine learning models; Feature engineering and enhancements: feature bases, trees, neural networks, gradient boosting, lasso/ridge regularization, random forests, etc.
Testi Adottati
Books
Bibliografia
Bibliography
Modalità di svolgimento
Teaching methods
Regolamento Esame
1) partecipazione attiva delle "flipped classrooms". Agli studenti divisi in piccoli gruppi sono proposti dei temi/problemi da affrontare/risolvere in un tempo assegnato da discutere con il resto della classe.
2) Consegna degli homework. Ogni settimana sono proposti dei problemi che gli studenti devono risolvere e sottomettere in formato elettronico.
3) Prova scritta finale. La prova finale, in modalità "open book", consiste in domande a risposta aperta. Le domande comprendono sia questioni di tipo teorico/modellistico che la risoluzione di problemi/esempi, affrontati durante il corso. Lo studente dovrà dimostrare di aver appreso le principali tecniche matematico/statistiche usate nella modellizzazione e nell'analisi dei mercati finanziari e la loro conseguente applicazione in modo ampiamente autonomo a prodotti finanziari anche complessi per la misurazione e gestione del rischio. Inoltre, viene valutata l'abilità di comunicazione in termini di proprietà di linguaggio e chiarezza espositiva, in aderenza con i descrittori di Dublino.
Il punteggio della prova d'esame è espresso in trentesimi, in accordo con i seguenti criteri:
o Non idoneo: importanti carenze e/o inaccuratezze nella conoscenza e comprensione degli argomenti; limitate capacità di analisi e sintesi, frequenti generalizzazioni.
o 18-20: conoscenza e comprensione degli argomenti appena sufficiente con possibili imperfezioni; capacità di analisi sintesi e autonomia di giudizio sufficienti.
o 21-23: Conoscenza e comprensione degli argomenti routinaria; Capacità di analisi e sintesi corrette con argomentazione logica coerente.
o 24-26: Discreta conoscenza e comprensione degli argomenti; buone capacità di analisi e sintesi con argomentazioni espresse in modo rigoroso.
o 27-29: Conoscenza e comprensione degli argomenti completa; notevoli capacità di analisi, sintesi. Buona autonomia di giudizio.
o 30-30L: Ottimo livello di conoscenza e comprensione degli argomenti. Notevoli capacità di analisi e di sintesi e di autonomia di giudizio. Argomentazioni espresse in modo originale.
Exam Rules
1) active participation in the ‘flipped classroom’ activities. Students divided into small groups are offered themes/problems to be addressed/solved within a given time to discuss with the rest of the class.
2) Delivery of homeworks. Every week there are problems that students must solve and submit in electronic format.
3) Final written test. The final test, in “open book” mode, consists of open-ended questions. The questions include theoretical/modeling questions and problem-solving/examples addressed during the course. The student is expected to understand the main mathematical/statistical techniques used in financial market modeling and analysis and their subsequent independent application to complex financial products for risk measurement and management. In addition, communication skills in terms of language properties and clarity of exposition are assessed in adherence with the Dublin descriptors.
The score of th examination test is expressed in thiertieths according to the following criteria:
o Unsuitable: significant deficiencies and/or inaccuracies in knowledge and understanding of the topics; limited capacity for analysis and synthesis, frequent generalizations.
o 18-20: barely sufficient knowledge and understanding of the topics with possible imperfections; sufficient capacity for analysis, synthesis and autonomy of judgement.
o 21-23: Routine knowledge and understanding of the topics; Correct analysis and synthesis skills with coherent logical argumentation.
o 24-26: Fair knowledge and understanding of the topics; good capacity for analysis and synthesis with rigorously expressed arguments.
o 27-29: Comprehensive knowledge and understanding of the topics; Considerable ability to analyze, synthesize. Good autonomy of judgement.
o 30-30L: Excellent level of knowledge and understanding of the topics. Remarkable analytical and synthetic skills and independent judgement. Arguments expressed in an original manner.
Obiettivi Formativi
CONOSCENZA E CAPACITÀ DI COMPRENSIONE: Gli studenti acquisiscono conoscenza dei principali metodi matematici e statistici utilizzati per l'analisi dei mercati finanziari. Accanto agli aspetti più prettamente modellistici, vengono introdotti aspetti applicativi mediante l'uso di software dedicati in molteplici casi di studio.
CAPACITÀ DI APPLICARE CONOSCENZA E COMPRENSIONE: Al termine del percorso di apprendimento gli studenti sono in grado di applicare le conoscenze e le tecniche acquisite per l'analisi di numerosi prodotti finanziari e la misurazione e gestione del rischio, anche tramite l'implementazione di programmi di calcolo.
AUTONOMIA DI GIUDIZIO: Il corso intende fornire una visione ampia e coerente dei diversi aspetti concernenti l'analisi e la gestione del rischio che possono orientare le decisioni e la soluzione dei problemi in contesti finanziari caratterizzati da informazioni spesso limitate e in rapida evoluzione.
ABILITÀ COMUNICATIVE: Lo studente dovrà essere in possesso di adeguate conoscenze che permettono di comunicare in modo chiaro, a interlocutori specialistici e non, il contesto teorico di riferimento, e sintetizzare le evidenze empiriche concernenti il problema decisionale sorto in ambito finanziario.
CAPACITÀ DI APPRENDIMENTO: Lo studente dovrà essere in grado di affrontare in modo ampiamente autonomo i problemi di analisi di prodotti finanziari complessi, misurazione e gestione del rischio, ed il necessario aggiornamento delle conoscenze e dei modelli in continua evoluzione nell'ambito finanziario.
Learning Objectives
KNOWLEDGE AND UNDERSTANDING: Students acquire knowledge of the main mathematical and statistical methods used for the analysis of financial markets. Alongside the more purely modeling aspects, application aspects are introduced through the use of dedicated software in multiple case studies.
APPLYING KNOWLEDGE AND UNDERSTANDING: At the end of the learning path the students are able to apply the acquired knowledge and techniques for the analysis of numerous financial products and risk measurement and management, also through the implementation of the presented techniques by means of programming languages.
MAKING JUDGEMENTS: The course aims to provide a broad and coherent view of the various aspects concerning risk analysis and management that can guide decisions and problem solving in financial contexts characterized by information that is often limited and rapidly evolving.
COMMUNICATION SKILLS: The student must be in possession of adequate knowledge that allows him to communicate clearly, to specialist and non-specialist interlocutors, the theoretical context of reference, and summarize the empirical evidence concerning the decisional problem raised in the financial framework.
LEARNING SKILLS: The student must be able to deal with the problems of analyzing complex financial products, risk measurement and management, and the necessary updating of knowledge and models in continuous evolution in the financial market in a largely autonomous way.
Prerequisiti
Prerequisites
Programma
I) Financial Engineering for Investment. This module covers valuation across instruments and asset classes:
- the standard financial engineering materials on risk-neutral valuation for derivatives (Black-Scholes, martingales, etc.)
- non-linear actuarial pricing (distortion measures, risk premium arguments, etc.)
- company/deal valuation, typically more tied to the investment banking and strategic consulting professions (discounted cash flows, comparable analysis, etc.).
II) Data Science for Finance. This module covers the statistical tools needed to model and estimate the joint dynamics of the markets.
Program
I) Financial Engineering for Investment. This module covers valuation across instruments and asset classes:
- the standard financial engineering materials on risk-neutral valuation for derivatives (Black-Scholes, martingales, etc.)
- non-linear actuarial pricing (distortion measures, risk premium arguments, etc.)
- company/deal valuation, typically more tied to the investment banking and strategic consulting professions (discounted cash flows, comparable analysis, etc.).
II) Data Science for Finance. This module covers the statistical tools needed to model and estimate the joint dynamics of the markets.
Testi Adottati
Books
Bibliografia
Bibliography
Modalità di svolgimento
Teaching methods
Regolamento Esame
1) frequenza e partecipazione settimanale alle flipped classrooms. Agli studenti divisi in piccoli gruppi sono proposti dei temi/problemi da affrontare/risolvere in un tempo assegnato da discutere con il resto della classe.
2) Consegna degli homeworks. Ogni settimana sono proposti dei problemi che gli studenti devono risolvere e sottomettere in formato elettronico.
3) Prova scritta finale. La prova finale consiste in due/tre domande a risposta aperta e "open book" su ciascuno dei moduli in cui si articola il programma, "Financial Engineering for Investment" e "Data Science for Finance". Le domande comprendono sia questioni di tipo teorico/modellistico che la risoluzione di problemi/esempi, affrontati durante il corso. Lo studente dovrà dimostrare di aver appreso le principali tecniche matematico/statistiche usate nella modellizzazione e nell'analisi dei mercati finanziari e la loro conseguente applicazione in modo ampiamente autonomo a prodotti finanziari anche complessi per la misurazione e gestione del rischio. Inoltre, viene valutata l'abilità di comunicazione in termini di proprietà di linguaggio e chiarezza espositiva, in aderenza con i descrittori di Dublino.
Exam Rules
1) attendance to the weekly flipped classrooms. Students divided into small groups are offered themes/problems to be addressed/solved within a given time to discuss with the rest of the class.
2) Delivery of homeworks. Every week there are problems that students must solve and submit in electronic format.
3) Final written test. The final exam consists of two/three open-ended, "open book" questions on each of the modules into which the program is divided, "Financial Engineering for Investment" and "Data Science for Finance." The questions include theoretical/modeling questions and problem-solving/examples addressed during the course. The student is expected to understand the main mathematical/statistical techniques used in financial market modeling and analysis and their subsequent independent application to complex financial products for risk measurement and management. In addition, communication skills in terms of language properties and clarity of exposition are assessed in adherence with the Dublin descriptors.
Obiettivi Formativi
CONOSCENZA E CAPACITÀ DI COMPRENSIONE: Gli studenti acquisiscono conoscenza dei principali metodi matematici e statistici utilizzati per l'analisi dei mercati finanziari. Accanto agli aspetti più prettamente modellistici, vengono introdotti aspetti applicativi mediante l'uso di software dedicati in molteplici casi di studio.
CAPACITÀ DI APPLICARE CONOSCENZA E COMPRENSIONE: Al termine del percorso di apprendimento gli studenti sono in grado di applicare le conoscenze e le tecniche acquisite per l'analisi di numerosi prodotti finanziari e la misurazione e gestione del rischio, anche tramite l'implementazione di programmi di calcolo.
AUTONOMIA DI GIUDIZIO: Il corso intende fornire una visione ampia e coerente dei diversi aspetti concernenti l'analisi e la gestione del rischio che possono orientare le decisioni e la soluzione dei problemi in contesti finanziari caratterizzati da informazioni spesso limitate e in rapida evoluzione.
ABILITÀ COMUNICATIVE: Lo studente dovrà essere in possesso di adeguate conoscenze che permettono di comunicare in modo chiaro, a interlocutori specialistici e non, il contesto teorico di riferimento, e sintetizzare le evidenze empiriche concernenti il problema decisionale sorto in ambito finanziario.
CAPACITÀ DI APPRENDIMENTO: Lo studente dovrà essere in grado di affrontare in modo ampiamente autonomo i problemi di analisi di prodotti finanziari complessi, misurazione e gestione del rischio, ed il necessario aggiornamento delle conoscenze e dei modelli in continua evoluzione nell'ambito finanziario.
Learning Objectives
KNOWLEDGE AND UNDERSTANDING: Students acquire knowledge of the main mathematical and statistical methods used for the analysis of financial markets. Alongside the more purely modeling aspects, application aspects are introduced through the use of dedicated software in multiple case studies.
APPLYING KNOWLEDGE AND UNDERSTANDING: At the end of the learning path the students are able to apply the acquired knowledge and techniques for the analysis of numerous financial products and risk measurement and management, also through the implementation of the presented techniques by means of programming languages.
MAKING JUDGEMENTS: The course aims to provide a broad and coherent view of the various aspects concerning risk analysis and management that can guide decisions and problem solving in financial contexts characterized by information that is often limited and rapidly evolving.
COMMUNICATION SKILLS: The student must be in possession of adequate knowledge that allows him to communicate clearly, to specialist and non-specialist interlocutors, the theoretical context of reference, and summarize the empirical evidence concerning the decisional problem raised in the financial framework.
LEARNING SKILLS: The student must be able to deal with the problems of analyzing complex financial products, risk measurement and management, and the necessary updating of knowledge and models in continuous evolution in the financial market in a largely autonomous way.
Prerequisiti
Prerequisites
Programma
1) Financial Engineering for Investment. This module covers valuation across instruments and asset classes:
- the standard financial engineering materials on risk-neutral valuation for derivatives (Black-Scholes, martingales, etc.)
- non-linear actuarial pricing (distortion measures, risk premium arguments, etc.)
- company/deal valuation, typically more tied to the investment banking and strategic consulting professions (discounted cash flows, comparable analysis, etc.).
II) Data Science for Finance. This module covers the statistical tools needed to model and estimate the joint dynamics of the markets.
Program
1) Financial Engineering for Investment. This module covers valuation across instruments and asset classes:
- the standard financial engineering materials on risk-neutral valuation for derivatives (Black-Scholes, martingales, etc.)
- non-linear actuarial pricing (distortion measures, risk premium arguments, etc.)
- company/deal valuation, typically more tied to the investment banking and strategic consulting professions (discounted cash flows, comparable analysis, etc.).
II) Data Science for Finance. This module covers the statistical tools needed to model and estimate the joint dynamics of the markets.
Testi Adottati
Books
Bibliografia
Bibliography
Modalità di svolgimento
Teaching methods
Regolamento Esame
1) frequenza e partecipazione settimanale alle flipped classrooms. Agli studenti divisi in piccoli gruppi sono proposti dei temi/problemi da affrontare/risolvere in un tempo assegnato da discutere con il resto della classe.
2) Consegna degli homeworks. Ogni settimana sono proposti dei problemi che gli studenti devono risolvere e sottomettere in formato elettronico.
3) Prova scritta finale. La prova finale consiste in due/tre domande a risposta aperta su ciascuno dei moduli studiati.
Exam Rules
1) attendance to the weekly flipped classrooms. Students divided into small groups are offered themes/problems to be addressed/solved within a given time to discuss with the rest of the class.
2) Delivery of homeworks. Every week there are problems that students must solve and submit in electronic format.
3) Final written test. The final exam consists of two / three open-ended questions on each of the modules studied.
Updated A.Y. 2021-2022
The course is based on the ARPM Quant Marathon, available through the ARPM interactive learning platform (https://www.arpm.co/quantmarathon/) and it covers approximately the first two out of the four learning modules:
Financial Engineering for Investment
Data Science for Finance
Quantitative Risk Management
Quantitative Portfolio Management
plus two refresher weeks for Advanced Mathematics and Python programming.
The courses consist in weekly video lectures (Monday, Tuesday, and Wednesday) and a Thursday meeting with the instructors, i.e. the flipped classroom. Homework is due on Sunday.
Your final goals for this training should be two-fold:
- Goal 1: strengthen your existing knowledge of quantitative techniques;
- Goal 2: learn to interact with a group of colleagues, using the common language of this training.
To help you achieve these two goals, it is important that you set aside sufficient time each week to:
- Watch the video lectures
- Study the theory (the most important item: all materials are available in the Lab https://www.arpm.co/lab/theory)
- Practice the code associated with the theory
- Attend the live flipped classroom sessions
- Do the homework assignments.
A Certificate of Completion will be given for each module according to the following evaluation criteria:
a) Participation in the Q&A Forum: if you do not know or understand something, most likely other participants do not either, and most likely it will be our fault, and not yours. So, do not be shy: post any subject matter question in the especially designated areas on this private Marathon Academia Forum, namely "Classroom > Theory Q&A" and "Classroom > Code Q&A". Also, by all means, feel free to provide your answers to other participants' questions. Moreover, there will be no "right" or "wrong" q/a's; they will all contribute positively to 1/3 of your final evaluation.
b) Participation in the flipped classrooms: during the live flipped classroom sessions, you will be divided randomly into groups, to discuss technical questions on the topics studied that week. You will then present your findings to the larger classroom. To successfully discuss the technical questions, you will need to come prepared to the live sessions, having watched the lectures, studied the theory, and even reviewed the homework for that week. Attendance at the weekly live flipped classroom sessions will account for 1/3 of your evaluation.
c) Delivery of homework: there will be weekly assignments. The homework will account for 1/3 of your evaluation.
Moreover, your actual activity on the Lab (theory, slides, code, and documentation) will be monitored on weekly progress pages, where you will be able to see a summary score calculated according to the components and weights detailed in the grading policy of your course. If your weekly score is consistently high (say >80% across several weeks and never lower than 60%) or consistently low (say <60% across all the weeks), the Certificate of Completion will be automatically granted or denied.
All the intermediate cases will be reviewed by ARPM, and the decision will be based on an assessment of the overall engagement and performance in the course, according to the weekly detailed progress and additional tools, such as the activity on the Lab aggregated by channel during the entire period of the course. Further, the ARPM Marathon prepares the participants for the ARPM Certificate (https://www.arpm.co/certificate/).
It should be stressed that, due to the time schedule, in order to get the second Certificate of Completion, students are required to attend an extra week of the Quant Marathon.
The final exams for "Advanced Topics in Finance and Insurance" (6 CFU) consist of a written test: the test will propose questions for each of the modules, with the possibility of using your own personal notebook.
Students interested in attending these elective courses are invited to express their interest by writing an email to the teacher, alessandro.ramponi@uniroma2.it
Updated A.Y. 2021-2022
The course is based on the ARPM Quant Marathon, available through the ARPM interactive learning platform (https://www.arpm.co/quantmarathon/) and it covers approximately the first two out of the four learning modules:
Financial Engineering for Investment
Data Science for Finance
Quantitative Risk Management
Quantitative Portfolio Management
plus two refresher weeks for Advanced Mathematics and Python programming. The last two modules will be covered in the elective course "Advanced Topics in Finance and Insurance II".
The courses consist in weekly video lectures (Monday, Tuesday, and Wednesday) and a Thursday meeting with the instructors, i.e. the flipped classroom. Homework is due on Sunday.
Your final goals for this training should be two-fold:
- Goal 1: strengthen your existing knowledge of quantitative techniques;
- Goal 2: learn to interact with a group of colleagues, using the common language of this training.
To help you achieve these two goals, it is important that you set aside sufficient time each week to:
- Watch the video lectures
- Study the theory (the most important item: all materials are available in the Lab https://www.arpm.co/lab/theory)
- Practice the code associated with the theory
- Attend the live flipped classroom sessions
- Do the homework assignments.
A Certificate of Completion will be given for each module according to the following evaluation criteria:
a) Participation in the Q&A Forum: if you do not know or understand something, most likely other participants do not either, and most likely it will be our fault, and not yours. So, do not be shy: post any subject matter question in the especially designated areas on this private Marathon Academia Forum, namely "Classroom > Theory Q&A" and "Classroom > Code Q&A". Also, by all means, feel free to provide your answers to other participants' questions. Moreover, there will be no "right" or "wrong" q/a's; they will all contribute positively to 1/3 of your final evaluation.
b) Participation in the flipped classrooms: during the live flipped classroom sessions, you will be divided randomly into groups, to discuss technical questions on the topics studied that week. You will then present your findings to the larger classroom. To successfully discuss the technical questions, you will need to come prepared to the live sessions, having watched the lectures, studied the theory, and even reviewed the homework for that week. Attendance at the weekly live flipped classroom sessions will account for 1/3 of your evaluation.
c) Delivery of homework: there will be weekly assignments. The homework will account for 1/3 of your evaluation.
Moreover, your actual activity on the Lab (theory, slides, code, and documentation) will be monitored on weekly progress pages, where you will be able to see a summary score calculated according to the components and weights detailed in the grading policy of your course. If your weekly score is consistently high (say >80% across several weeks and never lower than 60%) or consistently low (say <60% across all the weeks), the Certificate of Completion will be automatically granted or denied.
All the intermediate cases will be reviewed by ARPM, and the decision will be based on an assessment of the overall engagement and performance in the course, according to the weekly detailed progress and additional tools, such as the activity on the Lab aggregated by channel during the entire period of the course. Further, the ARPM Marathon prepares the participants for the ARPM Certificate (https://www.arpm.co/certificate/).
It should be stressed that, due to the time schedule, in order to get the second Certificate of Completion, students are required to attend an extra week of the Quant Marathon.
The final exams for "Advanced Topics in Finance and Insurance" (6 CFU) consist of a written test: the test will propose questions for each of the modules, with the possibility of using your own personal notebook.
Students interested in attending these elective courses are invited to express their interest by writing an email to the teacher, alessandro.ramponi@uniroma2.it
Updated A.Y. 2020-2021
The course is based on the ARPM Quant Marathon, available through the ARPM interactive learning platform (https://www.arpm.co/quantmarathon/) and it covers approximately the first two out of the four learning modules:
Financial Engineering for Investment
Data Science for Finance
Quantitative Risk Management
Quantitative Portfolio Management
plus two refresher weeks for Advanced Mathematics and Python programming.
The courses consist in weekly video lectures (Monday, Tuesday, and Wednesday) and a Thursday meeting with the instructors, i.e. the flipped classroom. Homework is due on Sunday.
Your final goals for this training should be two-fold:
- Goal 1: strengthen your existing knowledge of quantitative techniques;
- Goal 2: learn to interact with a group of colleagues, using the common language of this training.
To help you achieve these two goals, it is important that you set aside sufficient time each week to:
- Watch the video lectures
- Study the theory (the most important item: all materials are available in the Lab https://www.arpm.co/lab/theory)
- Practice the code associated with the theory
- Attend the live flipped classroom sessions
- Do the homework assignments.
A Certificate of Completion will be given for each module according to the following evaluation criteria:
a) Participation in the Q&A Forum: if you do not know or understand something, most likely other participants do not either, and most likely it will be our fault, and not yours. So, do not be shy: post any subject matter question in the especially designated areas on this private Marathon Academia Forum, namely "Classroom > Theory Q&A" and "Classroom > Code Q&A". Also, by all means, feel free to provide your answers to other participants' questions. Moreover, there will be no "right" or "wrong" q/a's; they will all contribute positively to 1/3 of your final evaluation.
b) Participation in the flipped classrooms: during the live flipped classroom sessions, you will be divided randomly into groups, to discuss technical questions on the topics studied that week. You will then present your findings to the larger classroom. To successfully discuss the technical questions, you will need to come prepared to the live sessions, having watched the lectures, studied the theory, and even reviewed the homework for that week. Attendance at the weekly live flipped classroom sessions will account for 1/3 of your evaluation.
c) Delivery of homework: there will be weekly assignments. The homework will account for 1/3 of your evaluation.
Moreover, your actual activity on the Lab (theory, slides, code, and documentation) will be monitored on weekly progress pages, where you will be able to see a summary score calculated according to the components and weights detailed in the grading policy of your course. If your weekly score is consistently high (say >80% across several weeks and never lower than 60%) or consistently low (say <60% across all the weeks), the Certificate of Completion will be automatically granted or denied.
All the intermediate cases will be reviewed by ARPM, and the decision will be based on an assessment of the overall engagement and performance in the course, according to the weekly detailed progress and additional tools, such as the activity on the Lab aggregated by channel during the entire period of the course. Further, the ARPM Marathon prepares the participants for the ARPM Certificate (https://www.arpm.co/certificate/).
It should be stressed that, due to the time schedule, in order to get the second Certificate of Completion, students are required to attend an extra week of the Quant Marathon, during the second module.
The final exams for "Advanced Topics in Finance and Insurance" (6 CFU) consist of a written test: the test will propose questions for each of the modules, with the possibility of using your own personal notebook.
Students interested in attending these elective courses are invited to express their interest by writing an email to the teacher, alessandro.ramponi@uniroma2.it
Updated A.Y. 2020-2021
The course is based on the ARPM Quant Marathon, available through the ARPM interactive learning platform (https://www.arpm.co/quantmarathon/) and it covers approximately the first two out of the four learning modules:
Financial Engineering for Investment
Data Science for Finance
Quantitative Risk Management
Quantitative Portfolio Management
plus two refresher weeks for Advanced Mathematics and Python programming. The last two modules will be covered in the elective course "Advanced Topics in Finance and Insurance II".
The courses consist in weekly video lectures (Monday, Tuesday, and Wednesday) and a Thursday meeting with the instructors, i.e. the flipped classroom. Homework is due on Sunday.
Your final goals for this training should be two-fold:
- Goal 1: strengthen your existing knowledge of quantitative techniques;
- Goal 2: learn to interact with a group of colleagues, using the common language of this training.
To help you achieve these two goals, it is important that you set aside sufficient time each week to:
- Watch the video lectures
- Study the theory (the most important item: all materials are available in the Lab https://www.arpm.co/lab/theory)
- Practice the code associated with the theory
- Attend the live flipped classroom sessions
- Do the homework assignments.
A Certificate of Completion will be given for each module according to the following evaluation criteria:
a) Participation in the Q&A Forum: if you do not know or understand something, most likely other participants do not either, and most likely it will be our fault, and not yours. So, do not be shy: post any subject matter question in the especially designated areas on this private Marathon Academia Forum, namely "Classroom > Theory Q&A" and "Classroom > Code Q&A". Also, by all means, feel free to provide your answers to other participants' questions. Moreover, there will be no "right" or "wrong" q/a's; they will all contribute positively to 1/3 of your final evaluation.
b) Participation in the flipped classrooms: during the live flipped classroom sessions, you will be divided randomly into groups, to discuss technical questions on the topics studied that week. You will then present your findings to the larger classroom. To successfully discuss the technical questions, you will need to come prepared to the live sessions, having watched the lectures, studied the theory, and even reviewed the homework for that week. Attendance at the weekly live flipped classroom sessions will account for 1/3 of your evaluation.
c) Delivery of homework: there will be weekly assignments. The homework will account for 1/3 of your evaluation.
Moreover, your actual activity on the Lab (theory, slides, code, and documentation) will be monitored on weekly progress pages, where you will be able to see a summary score calculated according to the components and weights detailed in the grading policy of your course. If your weekly score is consistently high (say >80% across several weeks and never lower than 60%) or consistently low (say <60% across all the weeks), the Certificate of Completion will be automatically granted or denied.
All the intermediate cases will be reviewed by ARPM, and the decision will be based on an assessment of the overall engagement and performance in the course, according to the weekly detailed progress and additional tools, such as the activity on the Lab aggregated by channel during the entire period of the course. Further, the ARPM Marathon prepares the participants for the ARPM Certificate (https://www.arpm.co/certificate/).
It should be stressed that, due to the time schedule, in order to get the second Certificate of Completion, students are required to attend an extra week of the Quant Marathon, during the second module.
The final exams for "Advanced Topics in Finance and Insurance" (6 CFU) consist of a written test: the test will propose questions for each of the modules, with the possibility of using your own personal notebook.
Students interested in attending these elective courses are invited to express their interest by writing an email to the teacher, alessandro.ramponi@uniroma2.it