Quantitative Investment Management

By Prof. J P Singh | IIT Roorkee

Learners enrolled: 981

About the Course:
Regulatory reforms across the world are gradually being introduced to reduce trade impediments between nations and usher in free market based pricing. Cross border investments through direct/portfolio routes are also being enticed as a medium for funding of growth and developmental activities. In addition, the governments of developing nations continue to pursue their strategy of partial privatization of the frontier sectors in an attempt to raise revenues for the exchequer as well as reduce operational losses with increased efficiency. Under these stimuli, scientific investment management by the investor fraternity becomes of cardinal necessity for generating competitive returns and surviving in the marketplace. Financial instruments have proven to be immensely useful as versatile investment avenues. Their vitality can be gauged from the exponential growth in trading volumes as well as the advent of new structured products literally on a day to day basis.

INTENDED AUDIENCE: The audience would comprise of those desirous of get acquainted with the quantitative techniques of financial securities valuation and their strategical application in investment management of structured portfolios. The learners would be able to appreciate the nuances that have led to the origin and extensive development of this field of knowledge.

PREREQUISITES: Senior School Mathematics

INDUSTRY SUPPORT: This course will attract immense recognition in the entire financial services industry including banks, stock & commodity exchanges, stock & commodity brokers, portfolio managers, investment bankers, market regulators etc. Those employed in corporate finance shall also find it valuable as it would add to their versatility. Academicians will find it a gateway to further work in related areas.

Summary

Course Status :	Completed
Course Type :	Elective
Duration :	12 weeks
Category :	Management Studies
Credit Points :	3
Level :	Undergraduate/Postgraduate
Start Date :	25 Jul 2022
End Date :	14 Oct 2022
Enrollment Ends :	08 Aug 2022
Exam Date :	30 Oct 2022 IST

Note: This exam date is subject to change based on seat availability. You can check final exam date on your hall ticket.

Page Visits

Course layout

Week 1: Overview & Introduction, Hybrids & Derivatives, Risk, Return & Arbitrage, Arbitrage Free Pricing

Week 2: Intrinsic value of bonds, Arbitrage free pricing of bonds, Forward rates, Bond pricing with forward rates, Bond valuation with binomial trees, Pathwise valuation

Week 3: Valuation of bonds with embedded options, Impact of yield curve changes on bond prices, Spot rates, Term structure of interest rates, YTM, Implied assumptions & issues with YTM, Yield spreads, Option adjusted spread (OAS)

Week 4: Calculation of OAS, Uses of OAS, Interest rate risk & its measures, Macaulay duration of a bond & its properties, Yield curve shifts & duration

Week 5: Duration of bonds with embedded options, Key rate & one sided duration, Modelling of return on fixed income securities

Week 6: Immunizing a single liability, Bullet vs Barbell, Convexity issues, Effect of yield curve shifts, Portfolio statistics & cardinals. Yield curve strategies

Week 7: Floaters, Caps & Floors & their valuation, Overview of Derivatives; Forwards: Introduction & Pricing, Arbitrage, Forwards Pricing on Consumption Assets; Futures: Introduction & Salient Features.

Week 8: Options: Price Bounds, Put-Call Parity; American Options; Trading Strategies

Week 9: Stochastic Processes: Basic Theory, Brownian Motion, Ito’s Equation; Stock Price Distribution

Week 10: Option Pricing: Binomial Model, Black Scholes Model; Option Greeks

Week 11: Futures: Margining & MTM, Basics of Futures Hedging, Applications of index futures & interest rate futures, Swaps & their applications

Week 12: Mean Variance Portfolio Optimization, Systematic & Unsystematic Risk, CAPM & APT

Books and references

Focardi, S.M. & Fabozzi, F.J, “The mathematics of financial modelling & investment management,”, Wiley Finance, 2004
Reilly, F.K., “Investment Analysis and Portfolio Management”, 5^th Ed., Dryden
Pike, R.and Bill, N., “Corporate Finance and Investment., Decisions and Strategies”,5^th Ed, Prentice Hall
Fisher, D.E. and Jordan, R.J. “Security Analysis and Portfolio Management”,.6^th Ed., Prentice Hall
Elton, E.J., Gruber, M.J., Brown S.J. and Goetzman, W., “Modern Portfolio Theory and Investment Analysis”, 6th Ed., Wiley

Instructor bio

Prof. J P Singh

IIT Roorkee

Jatinder Pal Singh, is a Professor at the Department of Management Studies, Indian Institute of Technology Roorkee since 2001. He was conferred the “Outstanding Teacher Award” by IIT Roorkee in 2018. He has been taking various courses in finance as per Department’s mandate. He is a Fellow member of the Institute of Chartered Accountants of India & Institute of Company Secretaries of India, an Associate Member of Institute of Cost Accountants of India & Institution of Engineers (India). He is also a postgraduate in Physics, Mathematics and a graduate in Law & Operational Research. After about 10 years of corporate experience, he joined the Department of Management Studies, IIT Roorkee in 2001. His research interests are in econophysics, mathematical finance, financial risk management, international finance and corporate governance.

Course certificate

The course is free to enroll and learn from. But if you want a certificate, you have to register and write the proctored exam conducted by us in person at any of the designated exam centres.

The exam is optional for a fee of Rs 1000/- (Rupees one thousand only).

Date and Time of Exams: 30 October 2022 Morning session 9am to 12 noon; Afternoon Session 2pm to 5pm.

Registration url: Announcements will be made when the registration form is open for registrations.

The online registration form has to be filled and the certification exam fee needs to be paid. More details will be made available when the exam registration form is published. If there are any changes, it will be mentioned then.

Please check the form for more details on the cities where the exams will be held, the conditions you agree to when you fill the form etc.

CRITERIA TO GET A CERTIFICATE

Average assignment score = 25% of average of best 8 assignments out of the total 12 assignments given in the course.

Exam score = 75% of the proctored certification exam score out of 100

Final score = Average assignment score + Exam score

YOU WILL BE ELIGIBLE FOR A CERTIFICATE ONLY IF AVERAGE ASSIGNMENT SCORE >=10/25 AND EXAM SCORE >= 30/75. If one of the 2 criteria is not met, you will not get the certificate even if the Final score >= 40/100.

Certificate will have your name, photograph and the score in the final exam with the breakup.It will have the logos of NPTEL and IIT Roorkee. It will be e-verifiable at nptel.ac.in/noc.

Only the e-certificate will be made available. Hard copies will not be dispatched.

Once again, thanks for your interest in our online courses and certification. Happy learning.

- NPTEL team