QUANTITATIVE FINANCE TECHNICAL MENTORSHIP PROGRAM

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QUANTITATIVE ANALYSTS: THE ROCKET SCIENTISTS OF WALLSTREET

In the trading world, quantitative analysts are especially in demand. The 21st century has seen an explosion in the popularity of electronic trading based on numerical algorithms.

A quantitative analyst is a professional who uses quantitative methods to help companies make business and financial decisions. Investment banks, asset managers, hedge funds, private equity firms, and insurance companies all employ quantitative analysts, or “quants,” to help them identify profitable investment opportunities and manage risk.

TOP RATED QUANTITATIVE FINANCE PROGRAM IN NORTH AMERICA

DID YOU KNOW LANTERN INSTITUTE IS THE ONLY PROGRAM IN NORTH AMERICA THAT OFFERS BOTH A QUANTITATIVE FINANCE TRAINING PROGRAM AND TECHNICAL MENTORSHIP PROGRAM

DR. DMITRY VYUSHIN

DIRECTOR OF FIX INCOME CASH ANALYTICS

Dr. Dmitry Vyushin is a Director in Non-Trading Book Risk Modelling Team of Market Risk Department at RBC.

DR. MARKIAN SLOBODA

VOICE OF CAPITAL MARKETS

Dr. Markiyan Sloboda finished his PhD in Computer Science from University of Guelph.

CURRENT

PROJECT

APPLICATION OF MACHINE LEARNING TO DERIVATIVE PRICING

This project will be focusing on derivative pricing using classical financial mathematics methods as well as on novel approaches of applying machine learning (ML) techniques to valuation. Students will start from understanding market data, risk factors and derivative valuation. A simple Monte Carlo (MC) simulation engine will be built by the students at this stage. Then two popular ML techniques, Gaussian Processes and Deep Learning, will be applied to derivative pricing. Finally, a thorough analysis and comparison between ML techniques and classical methods will be conducted. The MC simulation engine built in the beginning of the project will be used to generate training data. We will focus on pricing basket options and, time permitting, on some other type of derivatives. Results of different ML approaches will be benchmarked against the market, classical financial mathematics approaches, and similar published studies. Python will be used as a main programming language. After completing the project the students will have a good understanding of financial data, MC simulations, derivatives, risk sensitivities, valuation, as well as ML and its application to derivatives pricing.

POTENTIAL EMPLOYMENT OPPORTUNITIES

  • Front Office Quants
  • Risk Management Quants
  • Data Management Office Quant
  • Data Vendor Quant
  • Data Scientist in a Financial Institution

PROJECT DURATION & COST

Program Duration: 10 months

Upfront Cost: $999

Upon Securing Employment: $9,000

COMPLETE A TECHNICAL ASSESSMENT

AS A PART OF OUR APPLICATION PROCESS FOR THE TECHNICAL MENTORSHIP PROGRAM, ALL APPLICANTS MUST COMPLETE THE TECHNICAL ASSESSMENT.

ASSESSMENT

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