FRM CFA Quant Strategy

8/3/2019 FRM CFA Quant Strategy

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FRM/CFA Demystifying Quant

(Financial Engineering)

By Shivgan Joshi

http://stockcreditfinancecfa.blogspot.com


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Content

Resources and Recommended Readings

Toughness Ranking

Areas of Maths Strategy for Non Maths people


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List of Areas of Quant

1. Demystifying Calculus

2. Demystifying distributions

3. Demystifying Regression

4. Moments for Statistical Analysis

5. Bivariate and Multivariate

6. Normal Distributions

7. Matrix

8. Monte Carlo Simulations

9. GARCH10. Black Scholes

11. Martingale


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Quant vs No Quant


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Quant vs. No Quant


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FRM Handbook


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J. Hull Book for Derivatives


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Toughness Ranking (B. Engg Maths)

GARCH

Multivariate

Distributions Rest all is easy


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Demystifying Calculus

What is stochastic calculus

Duration


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Stochastic Calculus


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Itos Formula

Chain Rule


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Risk Neutral Method


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Demystifying distributions


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Demystifying Regression

Linear, two and multiple variables

R-square

Beta (of stock with market and with Future)

Why t distribution


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Moments for Statistical Analysis

How to link moments

What are moments?

1st to 4th moment and how are they important

Standardized variables

Why divided by sigma

What is difference between powers 3 vs 5, or 4 vs

6 Also the meaning of Skewness (positive and

negative) and Kurtosis (fat and thin tails)


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Covariance

How to land up with the formula

http://mathworld.wolfram.com/CorrelationCoefficient.html


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Bivariate and Multivariate


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Normal Distributions

Exp to power negative square


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Binomial Distributions


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Matrix

Correlation Matrix


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Monte carlo

Weiner

Ito


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GARCH

AutoRegressive Conditional Heteroskedasticity

Function of past


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Black Scholes Model


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Martingale

Wiener Process is a Martingale

http://en.wikipedia.org/wiki/Risk-neutral_measure

http://en.wikipedia.org/wiki/Martingale_%28probability_theory%29


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Distribution

1. Bernoulli's

2. Poisson's

3. Weibull distribution (shape & scale, mix of 2

functions)

4. Chi-squared distribution (tricky, division createsproblems)

5.Logistic distribution

6. Generalized extreme value distribution

7. F Distribution (used in regression)


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Chi-squared distribution

Variance of sample to population

Linked to normal distribution


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F Distribution

Both numerator and denominator has degrees

of freedom


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Binomial to Poisson

How things gets converted

Coin to Poisson


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Sample distribution Formula

Variance of sample derivation

Error

http://en.wikipedia.org/wiki/Standard_deviation


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Weibull distribution

Hybrid of exp and ra


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Hypothesis testing

Confusing terms


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References

Wiki

Schaums Outline of Probability

Syllabus of Respective Exams

Documents

FRM CFA Quant Strategy