🔹 Tarek Elmarhri
Bank SYZ SA was founded to offer clients an alternative to the traditions of Swiss Private Banks. Our mission: to become the most trusted Swiss family owned and managed boutique Private
The Syz Group is a family owned and run Swiss banking group focused on good long-term investment performance, careful risk management, and personal service for clients. Eric Syz, of a family of entrepreneurs for centuries, was one of the founders of the group in 1996 and still leads the firm, now alongside his two sons and a team of industry experts. Stable and secure – the Syz Group holds substantial equity, almost double Switzerland’s regulatory requirements.
The group serves clients across four main areas:
• Banque Syz offers private clients a genuine alternative to the traditions of Swiss private banking
• Syz Asset Management primarily invests the assets of Swiss institutional investors in bonds and money market instruments.
• Syz Independent Managers provides the full services of a custodian bank to external asset managers.
• Syz Capital offers investors the opportunity to invest alongside the Syz family in hard to access alternative investments including private markets.
Banque SYZ SA won the "Best Private Banking Boutique" award in 2014, 2015, 2016, 2017, 2018 and 2019. The prizes were awarded by PWM (Professional Wealth Management) and The Banker, two Financial Times Group publications.
Syz clients share the group’s long-term view and focus on building sustainable wealth for the future.
Detailed program of “Quantitative finance made accessible…” courses I will conduct. This is an introductory webinar not “maths-oriented” but “intuition and practice-oriented”. More to come…
Course 1: Introduction to Quantitative Finance
1. Role of quantitative methods in finance
2. Importance of mathematical modeling
- Mini Case Study: Explore different “quant jobs” by analyzing financial career job offers on www.efinancialcareers.com and understanding the skills and responsibilities required in various quantitative roles.
Course 2: Stochastic Processes in Finance
1. Introduction to stochastic processes' role in modeling financial markets
2. Utilizing Brownian motion for modeling asset price movements
3. Linking Brownian motion to geometric Brownian motion and Black-Scholes model
- Mini Case Study: A derivatives trader uses geometric Brownian motion to price European call options and hedge against stock price fluctuations.
Course 3: Poisson Processes and Jump Diffusion
1. Incorporating Poisson processes to model rare events and jumps in prices
2. Applying jump diffusion models to capture extreme market movements
- Mini Case Study: An insurance company models the occurrence of large-scale catastrophic events using a Poisson process to estimate potential claims.
Course 4: Financial Modeling and Derivatives
1. Options and Option Pricing
- Black-Scholes model for option pricing
- Mini Case Study: A quant analyst values an exotic option with complex payoffs using a combination of the Black-Scholes model and Monte Carlo simulations.
Course 5: Interest Rate Modeling
1. Short-rate models (Vasicek, Cox-Ingersoll-Ross)
2. Term structure models (Yield curve, Heath-Jarrow-Morton framework)
- Mini Case Study: A fixed income strategist applies the Cox-Ingersoll-Ross model to forecast changes in interest rates and optimize bond portfolio returns.
Course 6: Quantitative Trading Strategies
1. Quantitative Trading Strategies
- Statistical arbitrage, pairs trading, and mean-reversion strategies
- Trend-following and momentum strategies
Mini Case Study: A hedge fund implements a pairs trading strategy to profit from price divergences between closely related stocks.
Course 7: Risk Management and Portfolio Optimization
1. Risk Metrics and Measures
- Value at Risk (VaR) and Expected Shortfall (ES)
- Using risk measures for portfolio assessment
- Mini Case Study: A risk manager calculates Value at Risk to determine the potential loss of a portfolio due to adverse market conditions.
2. Portfolio Optimization
- Mean-variance optimization
- Modern portfolio theory and capital asset pricing model
- Mini Case Study: A wealth manager constructs a diversified investment portfolio that maximizes expected returns while minimizing overall risk.
#StochasticProcesses #BrownianMotion #FinancialModeling #Derivatives
#PoissonProcesses #JumpDiffusion #ExtremeMarketMovements #riskmodeling #BlackScholesModel
N.B: It will be a course explaining the intuition of practical financial models behind mathematics and not a course in "mathematics applied to finance". I will explain the concepts and the need for specific mathematical tools (without demonstrating or going into the details of formulas and other lemmas) to achieve practical goals, and in particular: pricing and valuation of financial instruments (cash and derivatives), risk management, portfolio optimization, financial engineering and hedging.
First class: Saturday, September 30 (duration: 1 hour)
Second class: Saturday, October 7 (duration: 1 hour)
Third class: Saturday, October 14 (duration: 1 hour)
Fourth class: Saturday, October 21 (duration: 1 hour)
Fifth class: Saturday, October 28 (duration: 1 hour)
Sixth class: Saturday, November 11 (duration: 1 hour)
Seventh class: Saturday, November 18 (duration: 1hour)
Eight class: Saturday, December 2 (duration: 1hour):
Guest speaker of honor Jean-Philippe Bouchaud, President of Capital Fund Management with 10 billion Assets Under Management (AUM).
Each class will take place at 3:00 PM UTC/GMT +2 hours
Codes to access Courses’ video recordings: