ROADMAP FOR QUANT

MEHUL MEHTA
BOOKS TO PREPARE FOR QUANT
▪ Mathematical Statistics

• Probability (Sample Space, Event, Properties, Unconditional

Prob, Conditional Prob, Bayes Theorem)
• Random Variables (Discrete, Continuous)
• Distribution
• Normal, Uniform, Poisson, Binomial, Bernoulli etc
• Expected Value
• Variance, Std. Dev, Covariance, Correlation, Moment
• Central Limit Theorem
• ANOVA
• Parameter Estimation
• MLE, Bayesian Approach, Mean Squared Error etc
BOOKS TO PREPARE FOR QUANT
▪ Financial Risk Management

• Financial Institutions
• Financial Crisis of 2007-08
• Market Risk (VaR, ES, Copula, Volatility, Correlation)
• Credit Risk (PD Model)
• Counterparty Credit Risk (CVA, DVA, CVAR)
• Operational Risk
• Liquidity Risk
• Regulations (Basel I, II, III)
• Model Risk Management
BOOKS TO PREPARE FOR QUANT
▪ Options & Derivatives

• Market (Exchange, OTC)

• Derivatives
• Purpose of Derivatives (Hedging, Speculation, Arbitrageurs)
• Types of Derivatives (Forward, Future, Option & Swap)
• Trading Strategies
• Binomial Option Pricing Model
• Wiener Process and Ito lemma
• Black Scholes Merton Model
• Black’s Model
• Greeks for Risk
• Exotic Options (Barrier, Binary, Lookback, Asian etc)
BOOKS TO PREPARE FOR QUANT
▪ Fixed Income Products

• Fixed Income
• Types of Fixed Income Products traded in the Market
• Calculate the Price of Bond
• Price-Yield Relationship (Duration, Convexity)
• Treasury Bond
• Corporate Bond
• Municipal Bond
• Mortgage Backed Security (MBS) – RMBS, CMBS
• Asset Backed Security (ABS)
• Bond Portfolio Construction (Tracking Error, Multi Factor
Model)
• Interest Rate (Future, Option, Swaps, Caps, Flooor)
BOOKS TO PREPARE FOR QUANT
▪ Monte Carlo Methods
• Monte Carlo
• Generate Random Number and Random Variable
• Generate Sample Paths
• Brownian Motion
• Geometric Brownian Motion
• Gaussian Short Rate Model
• Square Root Diffusion Process
• Process with Jumps
• Variance Reduction Methods (Control Variate, Antithetic,
Stratified Sampling, Importance Sampling etc)
• Discretization Methods
• Price American Options
• Application in Risk Management (VaR, Variance Reduction,
Credit Risk, Heavy Tail Setting)
BOOKS TO PREPARE FOR QUANT
▪ Stochastic Calculus for Finance
• Information & Sigma Algebra
• Brownian Motion (Martingale, Markov Property,
Random Walk)
• Stochastic Calculus
• Ito’s Integral
• Black Scholes Merton Model
• Multiple Brownian Motion
• Brownian Bridge
• Risk Neutral Pricing
• Partial Differential Equation
• Price Exotic Options
• Asian Option
• Lookback Option
• Knock Out Barrier Option
• Interest Rate Model (Vasicek, CIR, Mixed Models)
• Jump Process
BOOKS TO PREPARE FOR QUANT
▪ Data Science ▪ Machine Learning
1.Data Cleaning and Preprocessing: 1.Supervised Learning:
1. Data Cleaning 1. Linear Regression
2. Missing Data Handling 2. Logistic Regression
3. Data Transformation 3. Decision Trees
4. Feature Scaling and Normalization 4. Random Forests
5. Support Vector Machines
2.Exploratory Data Analysis (EDA): 6. k-Nearest Neighbors (k-NN)
1. Data Visualization
2. Summary Statistics 2.Unsupervised Learning:
3. Data Distribution Analysis 1. Clustering (K-Means, Hierarchical, DBSCAN)
4. Outlier Detection 2. Principal Component Analysis (PCA)
3. Independent Component Analysis (ICA)
4. Gaussian Mixture Models (GMM)
5. Autoencoders
BOOKS TO PREPARE FOR QUANT
▪ Time Series Analysis
• Stationary Time Series
• Non Stationary Time Series
• Statistical Test to check for Stationarity
• Component of Time Series (Trend, Seasonality etc)
• Convert NS Time Series to Stationary
• ACF vs PACF Plot
• Models
• AR, MA, ARMA, ARIMA, ARIMAX,
SARIMA, VAR
• Model Selection
• Residual Analysis
THANK YOU ☺