Postgraduate course in

Quantitative Techniques for Financial Products

Take financial decisions with a strategic vision of the market.

Start
October 2020
Duration
8 months
Delivery
Face-to-face
Fee
€3,300

Programme
Training Content
Learning methodology
Teaching team
Career opportunities
Request information or admission

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Programme

Edition

23th Edition

Credits

20 ECTS (156 teaching hours)

Delivery

Face-to-face

Language of instruction

Spanish

Fee

€3,300

Payment of enrolment fee options

The enrolment fee can be paid:
- In a single payment to be paid within the deadline specified in the letter of admission to the programme.
- In two instalments:

60% of the amount payable, to be paid within the deadline specified in the letter of admission to the programme.
Remaining 40% to be paid up to 60 days at the latest after the starting date of the programme.

Notes 0,7% campaign

Registration open until the beginning of the course or until end of vacancies.

Discounts, loans and financial aid

Start date

Start date: 14/10/2020
End date: 02/06/2021

Timetable

Monday: 7:00 pm to 10:00 pm
Wednesday: 7:00 pm to 10:00 pm

Taught at

Facultat de Matemàtiques i Estadística (FME)
C/ Pau Gargallo, 5. Edifici U.
Barcelona

Why this programme?

The development of new financial products and the accelerating complexity of the domestic and international financial markets require specific instruments to analyse and model them, which has generated the need to hire staff with advanced quantitative profiles in the financial world.

The postgraduate degree in Quantitative Techniques for Financial Markets offers advanced practical training in the field of finances. It examines both the constituent elements of financial markets (bonds, interest rates, currency, etc.) and the methodology, techniques and tools needed to work as a financial professional, all while bearing in mind the regulatory guidelines of the market. It seeks to train experts capable of designing, valuing and modelling products, evaluating risks and taking financial decisions with a strategic view of the market.

Likewise, the postgraduate programme also stands out for its teaching team made up of professionals from a variety of fields such as banking, financial entities, consulting, etc., who bring their experience from different business areas (treasury, market analysis, risks, investments, etc.).

Postgraduate degrees can develop and improve your professional career in financial entities as part of any of the areas responsible for design, analysis or risk control.

Promoted by:

Aims

To understand financial models and to model possible developments of underlying assets (interest rates, currency, variable income, etc.).
To design financial products or investment portfolios with the possibility of including derivative products over underlying assets with fixed and variable income.
To value own or external financial products in order to determine their theoretical market value in cases such as audits, treasuries of financial entities, managing purchases within companies, etc.
To manage asset portfolios using methodologies to optimise profits while controlling risk.
To analyse and quantify the inherent risks of financial products in order to take the best decisions in each case depending on the regulatory framework applicable.
To implement strategies to develop products and make investments in line with a given market outlook.

Who is it for?

University graduates, diploma holders or graduates of areas like the sciences (mathematics, physics, statistics, etc.) and the fields of economics and engineering.

Training Content

List of subjects

3 ECTS 24h

Markets and their Operation

Introduction to financial markets.

Concepts and objectives of the financial system.
Participating agents.
Typologies and organisation.
Treasury of a financial entity.

Monetary policy.

Objectives and execution.
Monetary magnitudes.
Instruments of the monetary policy of the ESCB. Auctions. Bilateral operations.

Interbank Market and Payment Systems.

The European System of Central Banks.
The role of the Bank of Spain in the new framework of the EMU.
The Bank of Spain payment service. TARGET system.
Money market: definition, characteristics and negotiated assets.
Reference rate in the money markets of the EMU.
Interbank deposit market.
Treasury notes.
Company promissory notes.
Operations with assets in the money market.

Capital markets: Fixed income.

Definition, negotiated assets and characteristics.
Bonds and state obligations.
Private or corporate fixed income. Euromarkets and negotiated assets.

Derivatives on Interest Rates.

Futures based on the Euribor, FRA, Swaps, Call Money, Direct options, Caps, Floors, Collars and Swaptions.
Other instruments, PIRAs, CORRIDORs.
Credit derivatives.

The Price of a Fixed-Income Security.

Calculating the IRR. Volatility.
Cases.

Duration.

Calculation and characteristics.
Malkiel principles.
Uses of the duration.
Cases.

Convexity.

Calculation and characteristics.
Uses and interpretation.
Cases.

Application of Duration and Convexity in Managing Fixed-Income Portfolios.

"Immunisation" and other techniques.
Cases.

4 ECTS 33h

Modelling of Financial Products

Financial products and first formulas using arbitration.

Basic definitions: forward, calls and puts.
Arbitration. Put-call parity.

Discreet models. Pricing and coverage.

Binomial tree.
Risk-neutral probability.
Pricing and coverage in the discreet case.

Continuous models. Financial options and Black-Scholes pricing.

Continuous model.
The Black-Scholes equation.
Call and put prices.
Interpretation of the Black-Scholes formula.

Applications and extensions of the Black-Scholes methodologies.

The Greeks.
Pricing other derivatives.

2 ECTS 18h

Numerical Methods for Finance

Analytical formulas. Black-Scholes formula and similar. Sensibilities.

Black-Scholes formula and similar.
Calculating sensibilities.

Binomial and trinomial trees. Calibration.

Associated concepts.
Implementation of Trigeorgis and others.
Examples and Applications. Early exercise.

Montecarlo method. Pricing options and products dependent on the Price Path.

Simulations of evolutions in asset prices.
Montecarlo correlation and pricing of baskets.
Implementation of early exercise.

4 ECTS 30h

Market View, Strategies and Implementation

Macroeconomic outlook.

Sources of information and levels of sensibility.
Creation of a market outlook.

Implementations of Strategies with Derivatives.

Variable income and currencies.
Fixed income. Options.

Exotic Options for Strategy Implementation.
Legal Documentation and Closing Operations in Practice.

ISDA and CMOF contracts.
Wording, procedures and confirmations.
Serious errors.

4 ECTS 30h

Assets Management

Volatility and Correlation.

Historical volatility.
Implicit volatility.
Volatility surfaces.
Volatility models.
Volatility trading.
Historical and implicit correlations.

Optimal Portfolios and Asset Allocation.

Discreet models of mean and variance.
Stocks in models in period.
Markowitz's efficient frontier.

The Money Market, Tobin and Sharpe Models.

Models of capital markets: CAPT and APT.
Attribution of results.

Calculation of Optimal Portfolios.

Optimisation with restrictions, upper limits, transaction costs, drawdowns.
Utility functions.
Optimisation with regard to a Benchmark.
Reduced baskets.
Black-Litterman model.
Optimisation with scenarios.

Artificial Intelligence (AI) in managing investment portfolios.

Machine Learning methods.
Alternative data.
Examples in asset management.

Group investing.

Types of Clls.
Participants, managing company, depositary.
Characteristics of operation.
Liquidation value, investment coefficients.
Categories of Clls.
Guaranteed funds.
Alternative management.

3 ECTS 21h

Quantitative Risk Management

Identifying and Classifying Financial Risks.
Market Risk.

Modelling.
Parametric and non-parametric methods.
Risk in fixed income, variable income and mixed portfolios.
VaR in derivative instruments.
Risk and Simulation.

Credit Risk.

Modelling.
CreditMetrics, KMV.

Basel i and II norms.

Degree

Postgraduate diplomas issued by the Universitat Politècnica de Catalunya. Issued pursuant to art. 34.1 of Organic Law 4/2007 of 12 April, amending Organic Law 6/2001 of 21 December, concerning Universities. To obtain this degree it is necessary to have an official. Otherwise, the Fundació Politècnica de Catalunya will only award them a a certificate of completion.

Learning methodology

The teaching methodology of the programme facilitates the student's learning and the achievement of the necessary competences.

Learning tools

Participatory lectures

A presentation of the conceptual foundations of the content to be taught, promoting interaction with the students to guide them in their learning of the different contents and the development of the established competences.

Practical classroom sessions

Knowledge is applied to a real or hypothetical environment, where specific aspects are identified and worked on to facilitate understanding, with the support from teaching staff.

Solving exercises

Solutions are worked on by practising routines, applying formulas and algorithms, and procedures are followed for transforming the available information and interpreting the results.

Case studies

Real or hypothetical situations are presented in which the students, in a completely participatory and practical way, examine the situation, consider the various hypotheses and share their own conclusions.

Success stories

Outstanding business knowledge and experiences with high added value acquired during an outstanding professional career are presented and shared.

Problem-based learning (PBL)

An active learning methodology that enables the student to be involved from the beginning, and to acquire knowledge and skills by considering and resolving complex problems and situations.

Workshops

Students are supported when undertaking group work, including theoretical sessions which provide the tools and knowledge needed to achieve a result. Ideas and results are exchanged between all the participating groups.

Assessment criteria

Attendance

At least 80% attendance of teaching hours is required.

Level of participation

The student's active contribution to the various activities offered by the teaching team is assessed.

Solving exercises, questionnaires or exams

Individual tests aimed at assessing the degree of learning and the acquisition of competences.

Work out projects

Studies on a specific topic, by individuals or groups, in which the quality and depth of the work is assessed, among other factors.

Work placements & employment service

Students can access job offers in their field of specialisation on the My_Tech_Space virtual campus. Applications made from this site will be treated confidentially. Hundreds of offers of the UPC School of Professional & Executive Development employment service appear annually. The offers range from formal contracts to work placement agreements.

Virtual campus

The students on this postgraduate course will have access to the My_ Tech_Space virtual campus - an effective platform for work and communication between the course's students, lecturers, directors and coordinators. My_Tech_Space provides the documentation for each training session before it starts, and enables students to work as a team, consult lecturers, check notes, etc.

Teaching team

Academic management

Masdemont Soler, Josep Joaquim
View profile in futur.upc
Degree in Mathematics from the UAB and Doctor of Mathematics from the UPC. Professor of the Department of Mathematics, investigates in the area of dynamic systems, astrodynamics and financial mathematics. He has participated and coordinated different international projects and teaches in degrees, masters and doctorates related to Industrial Technologies (ETSEIB), Applied Mathematics (FME) and Aerospace (EETAC). He has been the director of the Department of Applied Mathematics I of the UPC.

Teaching staff

Gisbert Mir, Alexandre

Doctor in Economics from UAO, Msc in Economics. (U. London) (1995-1996) Master's Degree in Humanistic and Social Studies Abat Oliba University (2013-2014). Experience in portfolio management at GesCaixa (1996-2000). Investment banking in InverCaixa Madrid (2000-2004). Responsible for Asset Allocation of Private Income InverCaixa Madrid (2004-2006). Economist at the Caja Labor Department responsible for GDP estimates, inflation and interest rates of the Eurozone (2006-2013). Responsible country risk analysis and counterparty risk to CaixaBank (2013-2019).
Masdemont Soler, Josep Joaquim
View profile in futur.upc
Degree in Mathematics from the UAB and Doctor of Mathematics from the UPC. Professor of the Department of Mathematics, investigates in the area of dynamic systems, astrodynamics and financial mathematics. He has participated and coordinated different international projects and teaches in degrees, masters and doctorates related to Industrial Technologies (ETSEIB), Applied Mathematics (FME) and Aerospace (EETAC). He has been the director of the Department of Applied Mathematics I of the UPC.
Salvà Roig, Josep

Graduate in Mathematics from UPC. Master in Quantitative Finance for AFI (Madrid). Executive MBA for IESE (Barcelona). Since 2006, he has worked in different banking entities, always linked to execution boards, as well as traders and in the area of risk control. He is currently responsible for the Board of Structured Products of Andbank (Andorra). Previously, he had carried out Risk Control tasks at Banco Santander (Madrid), and before that he had started as a Trader and About Caixa d'Estalvis del Penedès (Barcelona)

Career opportunities

Traders.
Financial analysts and risk controllers.
Middle Officers.
Pension and investment fund managers.
Account and portfolio managers.

Request information or admission

Contact:
(34) 93 112 08 35

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How to start admission

To start the enrolment process for this programme you must complete and send the form that you will find at the bottom of these lines.

Next you will receive a welcome email detailing the three steps necessary to formalize the enrolment procedure:

1. Complete and confirm your personal details.

2. Validate your curriculum vitae and attach any additional required documentation, whenever this is necessary for admission.

3. Pay €110 in concept of the registration fee for the programme. This fee will be discounted from the total enrolment fee and will only be returned when a student isn't admitted on a programme.

Once the fee has been paid and we have all your documentation, we will assess your candidacy and, if you are admitted on the course, we will send you a letter of acceptance. This document will provide you with all the necessary information to formalize the enrolment process for the programme.

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Postgraduate course in Quantitative Techniques for Financial Products