Practical Quantitative
Finance Course Series
Monthly Lectures on Quantitative Finance
Lambda Quantitative Strategies Association
Program Structure
Frequency: Monthly
Duration: 3 Hours Per Session
Format: Online
Vision
Powering the Next Generation of world-class quantitative talent for the Indian systematic
landscape.
Objective
Live-Models Training: Focus on model assumptions, failures modes and real-world deployment
challenges.
End to End Workflows: Turn Investment Ideas into deployable, stress-tested risk engines.
Data Drivern Execution: Master Python based strategy production with a focus on practical aspects,
market microstructures, slippages.
Rigorous Risk Management: Align portfolio construction and reporting with global institutional
standards.
Collaborative Research: Maintain a practitioner-led circle for advanced quantitative study.
Courses Topics to be covered.
Foundations: Data, Statistics & Testing
• Practical Data Issues & Best Practices (Survivorship/look-ahead bias, returns,
corporate actions, F&O rolls, missing data)
• Probability Distributions & Their Financial Relevance
• Sampling, Estimation & Confidence Intervals
• Sampling Techniques (bootstrap, block bootstrap for time series)
• Hypothesis Testing Framework with Financial Examples
• Correlation, Dependence & Practical Implications
Time Series, Factors & Cross‑Section
• Time Series Analysis for Quantitative Finance (stationarity, ACF/PACF,
AR/MA/ARIMA basics)
• Time Series (ARIMA, GARCH, volatility forecasting, regime shifts)
• Regression & Maximum Likelihood Estimation
• CAPM, Fama‑French & other Factor and Cross‑Section Models (risk premia,
cross‑sectional regressions, portfolio tilts, crowding diagnostics)
• Equity Style Factors; Value, Quality, Momentum, Multi Factor Portfolio
Construction, Factor Rotations
Modelling the Curve, Derivatives & Simulation
• Fixed Income & Credit Quant: Yield Curve, Duration, Convexity, Curve Fitting,
Interest‑rate models, credit spreads, PD/LGD/EAD modelling
• Options & Derivatives: Greeks, hedging, implied volatility, volatility surfaces,
Gamma Scalping
• Monte Carlo Simulation (path‑dependent payoffs, VaR/ES, stress scenarios for
MF/AIF/prop books)
Feature Building, ML & Advanced ML
• Dimensionality Reduction Techniques (PCA, autoencoders where useful)
• Feature Engineering & Signal Design (equity, F&O, rates, cross‑asset)
• Machine Learning for Trading (XGBoost, ensemble methods, cross‑sectional vs
time‑series setups)
• Advanced ML / Deep Learning (LSTM, sequence models, basic RL agents for
execution/allocation)
• Alternative Data & Text Analytics: news, filings, social & macro text, basic NLP for
event‑driven and factor signals
Execution, Strategies & Portfolio Construction
• Market Microstructure & Execution: order books, impact, slippage, tech stack &
latency, execution algos (TWAP/VWAP/POV), transaction‑cost modelling across
cash, futures, options
• Alternative Strategies: pairs trading, statistical arbitrage, market‑neutral and
relative‑value trades (equity, futures, fixed income)
• Portfolio Construction & Optimization: risk‑model‑based construction,
constraints, turnover, transaction‑cost‑aware optimization
Risk, Regimes, Back-testing & Governance
• Risk Management & Position Sizing: Kelly, risk parity, volatility targeting, fund‑level
limits, margin & collateral
• Fat-Tail Event Risks; Modelling kurtosis, extreme value theory (EVT), and Black
Swan preparation.
• Back-testing & Performance Metrics: Sharpe, Sortino, Calmar, drawdowns,
turnover, hit‑rates, capacity
• Regime Detection & Stress Testing: Markov‑switching models, volatility regimes,
macro/market indicators, scenario analysis, stress tests and risk reports
• Model Risk & Governance: model validation, data snooping control, back-test
overfitting, challenger models, documentation & governance for MF/AIF/SIF and
prop desks
Regulation & Indian Institutional Context
• Compliance, Mutual Funds, AIF, SIF, and prop‑desk Regulations: algo‑trading
guidelines, product governance, disclosure & reporting, risk committees,
practical case studies from Indian equity, fixed income and derivatives desks