Postgraduate course in

Quantitative Techniques for Financial Products

Take financial decisions with a strategic vision of the market.

Start
18/10/2021
Duration
7 months
Delivery
Face-to-face
Fee
€3,300 €2,805

Presentation
Training Content
Learning methodology
Teaching team
Career opportunities
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15% discount if you enrol before 30th June

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COVID-19 frequently asked questions to study at the UPC School

Presentation

Edition

24th Edition

Credits

20 ECTS (156 teaching hours)

Delivery

Face-to-face

Language of instruction

Spanish

Fee

€3,300 €2,805(15% discount if you enrol before 30th June)

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: 18/10/2021
End date: 30/05/2022

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 postgraduate course?

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 33h

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 18h

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.

The UPC School reserves the right to modify the contents of the programme, which may vary in order to better accommodate the course objectives.

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. (Ver datos que constan en el certificado).

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 (Director)
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Degree in Mathematics from the Autonomous University of Barcelona (UAB), and PhD in Mathematics from the Universitat Politècnica de Catalunya (UPC). Professor of the Department of Mathematics. Research in the area of dynamical systems, astrodynamics and financial mathematics. He has participated and coordinated various international projects and teaches degrees, masters and doctorates related to Industrial Technologies, Barcelona School of Industrial Engineering (ETSEIB), Faculty of Mathematics and Statistics (FME) and School of Telecommunications Engineering and Aerospace of Castelldefels (EETAC). He has been director of the Department of Applied Mathematics I at the UPC.

Teaching staff

Albà Soler, Gerard

Degree in Mathematics from the University of Barcelona (UB). Postgraduate in Quantitative Techniques for Financial Markets from the Universitat Politècnica de Catalunya (UPC). Master's Degree in Digital Business from Pompeu Fabra University (UPF). Oxford Fintech Program. He is currently the General Manager of VallBanc and President of VBFons. Until 2016, he was General Manager of Andbank Asset Management and Global Head of Asset Management. He has been President of Andbank AM Luxembourg and CEO of Wealth Management in Spain. Previously, he worked at the Swiss boutique Strategic Investment Advisors. He worked as a manager at Caixa Penedès and Caixa Catalunya.
Alfonso Mata, Ramón
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Degree from the Autonomous University of Barcelona (UAB) and MBA from Ramon Llull University (URL). He dedicates his professional career to financial markets and teaching activity in finance. Auditor to Arthur Andersen, analyst at Banco Sabadell Treasury and fund manager InverCaixa. Head of management at Gesfibanc and director of Crèdit Andorrà Financial Area. Senior Analyst at Strategic Investment Advisors. Since 2004 he has been working as an independent consultant. Founding partner NORZ Patrimonia. He gives lectures and courses at faculties such as Pompeu Fabra University (UPF), School of Business Administration (ESADE), University of Barcelona (UB), Polytechnic University of Catalonia (UPC)
Fransen, Bas

Degree in Economics from Tilburg University, The Netherlands. Master in Economic and Financial Policy from the Ministry of Economy of the Netherlands. Postgraduate in Quantitative Methods for Financial Markets from the Universitat Politècnica de Catalunya (UPC). Cedit European Financial Analyst (CEFA). Chartered Financial Analyst (CFA). From 1999 to 2003 he worked at the financial board of Bankpyme as a money market and fixed income operator, and from 2003 at Caixa d'Enginyers, where he is currently Director of Capital Markets and Wholesale Business. Since 2001 he has been collaborating as a lecturer in several postgraduate master's degrees in finance at the Universitat Politècnica de Catalunya (UPC), the Universitat de Barcelona (UB), Universitat Abat Oliva CEU and the Institut de Formació Continua - IL3.
Gisbert Mir, Alexandre

Doctor in Economics from the Abat Oliva CEU University, Msc in Economics. (U. London) (1995-1996). Master's Degree in Humanities and Social Studies from the Abat Oliba CEU University (2013-2014). Experience in portfolio management at GesCaixa (1996-2000). Investment banking at InverCaixa Madrid (2000-2004). Head of Asset Allocation of private fixed income InverCaixa Madrid (2004-2006). Economist at the Caixa Research Department. Responsible for Gross International Product (GDP) forecasts, inflation and Eurozone interest rates (2006-2013). Responsible for country risk and counterparty risk analysis at CaixaBank (2013-2019).
López Safont, Fernando

Degree in Mathematics from the University of Barcelona (UB). Postgraduate in Quantitative Techniques for Financial Markets from the UPC School. Certified European Financial Analyst, IEF Barcelona. He currently works as a treasurer at Vall Banc, a financial institution focused on the management of large assets established in Andorra. He previously worked as a Portfolio Manager at Andbank Asset Management and worked in CaixaBank's credit risk department.
Masdemont Soler, Josep Joaquim
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Degree in Mathematics from the Autonomous University of Barcelona (UAB), and PhD in Mathematics from the Universitat Politècnica de Catalunya (UPC). Professor of the Department of Mathematics. Research in the area of dynamical systems, astrodynamics and financial mathematics. He has participated and coordinated various international projects and teaches degrees, masters and doctorates related to Industrial Technologies, Barcelona School of Industrial Engineering (ETSEIB), Faculty of Mathematics and Statistics (FME) and School of Telecommunications Engineering and Aerospace of Castelldefels (EETAC). He has been director of the Department of Applied Mathematics I at the UPC.
Ortiz Gracia, Luis
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Degree in Mathematics from the University of Barcelona (UB), Postgraduate in Quantitative Techniques for Financial Markets from the UPC School and Doctor in Mathematics from the Universitat Politècnica de Catalunya (UPC). Professor at the Faculty of Economics and Business of the UB. He does research in computational finance and is an associate editor in the Journal of Computational Finance. He teaches several master's degrees related to finance. He led the finance mathematics research group at CRM and has done research stays at the Certified Welding Inspector (CWI) in the Netherlands, and at the University of Queensland (Australia).
Peña Peña, Inmaculada

Degree in Economics and Business Sciences from Pompeu Fabra University (UPF). Master in Banking and Finance from the UPF Barcelona School of Management at the UPF. She currently works as the Director of the Administration Department of the Institute of Knowledge Engineering (IIC) and Portfolios of CaixaBank Asset Management SGIIC, S.A.U ("la Caixa" Group). He has developed his entire professional career in IIC management companies, carrying out various Administration and Control tasks. He has taught several postgraduate courses specializing in finance.
Planagumà Valls, Jordi

Degree in Mathematics from the Universitat Politècnica de Catalunya (UPC) and Master in quantitative and computational finance at AFI Escuela de Finanzas in Madrid. He has been a developer of market risk models. He has worked as a Trader in interest rate and equity derivatives. He is currently in charge of the Pricing and Management of the Environmental Monitoring Network (XVA), of a major financial institution. Since 2000 he has been collaborating in various master's and postgraduate degrees in finance at the Faculty of Mathematics and Statistics (FME), the Universitat Politècnica de Catalunya (UPC), and the Institut d'Estudis Financers (IEF).
Renalias Zueras, Ferran

Degree in Mathematics from the Autonomous University of Barcelona (UAB). Master's degree in Mathematics for Financial Instruments from the UAB. He currently works at CaixaBank in the Market and Balance Sheet Risk department, as a second-level control of structural interest rate risk. He has 15 years of experience in the same entity performing functions related to market risk and modeling of exotic equity derivatives, interest rates and currency.
Salvà Roig, Josep

Degree in Mathematics from the Universitat Politècnica de Catalunya (UPC). Master in Quantitative Finance from AFI Escuela de Finanzas in Madrid. Executive MBA from IESE Business School in Barcelona. Since 2006 he has worked in different banks, always linked to execution boards, both as a Trader and in the area of risk control. He is currently in charge of the Structured Products Board of Andbank (Andorra). He had previously worked in Risk Control at Banco Santander (Madrid), and before that he had started as a Trader at the Caja de Ahorros del Penedès (Barcelona).
Serrano Escobedo, Sergio

Degree in Business Studies and MBA from the School of Business Administration (ESADE). He began his professional career on the stock market, initially as a financial analyst, and then carried out supervisory tasks in the markets, later directing the Barcelona Stock Exchange Studies Service. Expanding the facets of the financial markets by joining Bankpyme as Director of Analysis where he designs investment products and services with special care for their risk side. He has been Director of Corporate Development at Banco Sabadell and is currently responsible for rescuing companies that do not pay their debts. Since completing his university studies, he has been linked as a university professor and collaborator to different faculties.
Sust Híjar, Lluís
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Economist and Master in Financial Markets from the University of Barcelona (UB), and Postgraduate in Wealth Management from ESCA-Georgetown University. He is currently Chief Executive Officer (CEO) and Co-Founder of Addenda Securities Agency, and previously was Director of the Asset Management and Capital Market Area of Caja de Ingenieros, Director of the Treasury and Market Area of Bankpyme and Operator to the brokers of Interbank Computer Interface to Message Distribution (CIMD) and Capital Markets. He also has extensive teaching experience since 1995 in finance courses taught at different Universities and Business Schools.
Via Martinez-Seara, Arnau
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Degree in Mathematics from the University of Barcelona (UB). He completed a Postgraduate Degree in Quantitative Techniques for Financial Markets at the UPC School. He also completed the senior program of financial products derived from the Institute of Financial Studies (IEF), and Certified Effas Financial Analyst (CEFA). From March 2017 to the present he has been working as Director of Management at Vall Banc Fons (Principality of Andorra). He had previously worked as Head of Asset Allocation at Andbank AM and in banking technology consulting projects.

Career opportunities

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

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