Fall 2026 Quantitative Derivatives Pricing and Risk Modeling
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Full course description
Fall 2026 Quantitative Derivatives Pricing and Risk Modeling
Dates TBD
Dive deep into advanced derivatives and risk concepts through real-world examples, exercises, and live sessions with Acadia industry experts. Elevate your expertise with Open Source Resource Engine (ORE) focused curriculum, exclusively offered through Northeastern University. Position yourself to become a competitive force in the derivatives industry.
Gain a Competitive Edge: Dedicate 8-12 hours weekly over eight months to deepen your understanding of quantitative derivatives in finance.
Advance your Career: Upon completion, earn six prestigious digital badges from Northeastern University, a testament to the depth and rigor of your training.
Module 1: Curve Building and Bootstrapping
Module 2: Exotic Derivatives Pricing
Module 3: Regulatory Trends in Derivatives, Margining, and Capital
Module 4: Industrial Market Risk Calculations in ORE
Module 5: Credit Risk – Theory and Practice in ORE
Module 6: Object-Oriented Programming for Derivatives
Global Regulations Insight: Understand global derivatives regulations, stress testing, capital requirements, and delve into the intricacies of Basel I-IV.
Practical Skills with Scripted Trade: Engage hands-on to price Early Exercise Features and master Backward Induction and American Monte Carlo Simulation. Plus, sharpen your C++ and Python skills relevant to QuantLib and ORE.
Expand your Network: Collaborate with leading quantitative analysts, financial engineers, and risk managers, fortifying your connections and influence.
Bulk enroll your entire team here using a credit card or contact us for group billing.
a.mauriello@northeastern.edu
YOUR INSTRUCTORS
Scott Sobolewski, Co-Head: Quantitative Services, Acadia, ex-Citigroup and Santander US. B.A. Mathematics and Economics, CFA, and CQF certified.
Roland Lichters, Co-Head: Quantitative Services, Acadia. Ph.D. in Physics, author, and Financial Engineering lecturer.
Roland Stamm, Partner: Quantitative Services, Acadia. Ph.D. in Mathematics, author, and lecturer in Derivatives Pricing and Credit Risk.