1

P o s t G ra d uate
D ip lo m a in
Ma na g e m e nt
Quantitative Finance (PGDM-QF)

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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HIGHLIGHTS
 Two-year, full-time, residential,  Assured placement opportunity.
AICTE approved program.
 Mandatory long-term (16-20 weeks)
 Limited 20 seats per academic year. Industry Internship.

 First cohort starts in July 2024.  Fully funded by JAGSoM – covering

tuition fee, boarding and lodging.
 Exclusively for the recent graduates Graduates repay a part of the cost
of IITs, IIITs, BITSs, NITs ISIs, Chennai (INR 5,00,000) in instalments to
Mathematical Institute and other JAGSoM after they are employed.
similar top institutions in India.

OVERVIEW
The Post Graduate Diploma in Management (PGDM) specializing in Quantitative
Finance (QF) at Jagdish Sheth School of Management (JAGSoM), Bangalore, is
designed to equip select 20 students of top-tier engineering, science,
mathematics, or statistics institutes in India who wish to amplify their career
prospects with the advanced skills and knowledge required to excel in the
dynamic field of Financial Mathematics, Financial Engineering and Financial
Analytics. This program integrates rigorous mathematical models, stochastic
processes, computational techniques, machine learning techniques and cutting-
edge financial theories to prepare graduates for successful careers in finance, risk
management, quantitative trading, and investment analysis.

PROGRAM OBJECTIVES
 Comprehensive Understanding: To finance by augmenting their
provide a thorough understanding of analytical, technical, and decision-
quantitative finance, integrating making skills.
theory with practical applications.
 Global Perspective: To offer a global
 Skill Development: To develop perspective on financial instruments
proficiency in stochastic modelling, used by investment banks and hedge
risk management, algorithmic funds.
trading, and investment strategies.
 FinTech in India: To prepare
 Leadership Preparation: To prepare students for the flourishing and
students for leadership roles in promising rise of FinTech in India.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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PROGRAM STRUCTURE

Term 1 Term 2 Term 3

1. Econometrics and
1. Financial Accounting Financial Time-Series
2. Human Capital Management Analysis in Python
3. Marketing Management 2. Quantitative Fixed-
4. Managerial Decision Making Income Security
Year
5. Organizational Behaviour 3. Fundamentals of
1
6. Corporate Finance Derivatives
7. Business Economics 4. Advanced Corporate
8. Python Programming Finance
9. Probability and Statistics 5. Machine Learning for
Finance
Term 4 Term 5 Term 6
1. Reinforcement
1. Stochastic
Learning
Calculus for
Finance 2. Computational
Methods in 1. Signal Processing:
2. Deep Learning Fourier, Laplace and
Finance
for Finance Wavelet Transform
3. Stochastic
3. Advanced 2. C/C++ Programming
Modelling
Derivatives 3. Optimization Methods
Year 4. Financial Risk
4. Portfolio in Finance
2 Modelling
Optimization
5. Quantitative
5. Technical
Trading
Analysis
Techniques

Capstone Project

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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CURRICULUM AT A GLANCE
The PGDM - Quantitative Finance program at JAGSoM offers a comprehensive
curriculum designed to equip students with the necessary skills and knowledge to
excel in the competitive field of quantitative finance. Through a combination of
rigorous coursework, practical experience, and industry engagement, the program
prepares graduates for successful careers in different domains of Quantitative
Finance. The curriculum includes:

Core Finance Courses

1. Fundamentals of Derivatives: Option pricing theory, Exotic options, Monte

Carlo pricing of derivatives, Option Greeks and applications, Volatility smile.

2. Machine learning for finance: Mathematics of Ordinary least square, lasso,

ridge and elastic-net regression, Logistic regression, Decision trees, Support
Vector machines, Ensemble learning, Imbalanced classification, PCA, Self-
organising map, Clustering, Feature engineering, Hyperparameters tuning,
application in finance and implementation in Python.

3. Quantitative fixed income securities: Bond valuation, Bond price sensitivities,

Bond immunization, Hedging, Asset-liabilities management, Fixed income
instruments: Yield curve strategies, swaps, FRAs, securitization and their
valuation.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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4. Advanced Corporate Finance: Mergers and Acquisitions, Advanced capital

budgeting: AEV, MIRR, XIRR, decision trees, ENPV, real options, Capital
structure theories, Dividend decision theories.

5. Financial Econometrics: OLS assumptions, AR, MA and ARIMA processes,

Cointegrated processes, VAR, GARCH, Practical implementation in python.

Advanced Courses

1. Stochastic Calculus for Finance: Brownian motion, Stochastic Calculus, Ito’s

lemma, Martingales, Measure theory, Girasnov theorem, Poisson processes,
Derivation of Black-Scholes.

2. Deep Learning for Finance: Multilayered perceptron, RNN, LSTM, GRU, CNN,
Implementation in Keras and TensorFlow (python).

3. Advanced Derivatives: Interest rate derivatives, Local Volatility models,

Stochastic volatility models, Stochastic integration, Credit derivatives,
Gaussian Copula.

4. Portfolio Optimization: Portfolio theory,

Markowitz optimization, Performance
measurement, Optimization of multi-
asset portfolios, Black-Litterman model,
Kuhn-Tucker conditions, Risk parity
portfolio, multi-period optimization,
Monte-carlo optimization, Other non-
normal optimization such as Mean-
semivariance, Mean-VaR, Mean-variance-
skewness, Mean-variance-skewness-
skewness optimization, Portfolio VaR.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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5. Computational Methods in Finance:

Generating random numbers such as
Inverse transform approach,
Acceptance rejection approach, Polar
Method, Box Muller approach, Rational
Approximation method; Variance
reduction method, Monte-carlo
simulations for option pricing, Finite
Difference method (Explicit, Implicit,
Crank-Nicolson) for option pricing,
Euler Discretization, Cholesky
decomposition, LU decomposition, Simulation of financial processes,
Implementation in Python.

6. Financial Risk Modelling: Market risk measures and their properties –

historical, monte carlo and parametric Value at Risk (VaR), Expected shortfall
(ES), Component Value at Risk (CVaR), Marginal Value at Risk (MVaR), Credit
risk modelling, Expected loss, CVA/DVA, Wrong way risk.

7. Quantitative Trading Techniques: Trading strategies, Statistical arbitrage,

Pairs trading, High Frequency Trading (HFT), Machine Learning Techniques for
trading.

8. Stochastic Modelling: Maximum likelihood estimation, Vasicek model, Ho Lee

model, Hull White model, Heston model, SABR model, implementation in
python.

Practical Experience

1. Internships: Opportunities to work with leading financial institutions, gaining

hands-on experience in quantitative finance.

2. Capstone Projects: Real-world projects involving the development and testing

of quantitative models under the guidance of faculty and industry experts.
Development and implementation of trading strategies on actual capital
funded by JAGSoM.

3. Research Seminars: Exposure to the latest research and developments in

quantitative finance through seminars and workshops.

Certifications (Optional)

1. MSc in Financial Engineering from World Quant University, USA – Free of cost.
2. FRM from GARP, USA – Cost: USD 1600.
3. CQF from CQF Institute, Fitch Learning, London – Cost: USD 8,495.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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FACULTY

JAGSoM faculty is an eclectic mix of academicians and industry veterans. Many

faculty are alumni of prestigious educational institutes in India and abroad such as
Stanford, IIMs, IITs, and FT100 colleges. The industry veterans are people with
wide and varied experience at CXO levels.
The PGDM-QF program is taught by a distinguished faculty comprising
academicians and industry professionals with extensive experience in quantitative
finance. Guest lectures and workshops by industry experts further enrich the
learning experience.
There are 12 faculty members dedicated the Finance area, of which the following
five are notable for their specialization in Quantitative Finance and related fields.

Program Leaders

Dr. Amit Ram Puniyani Dr. Akhilesh Prasad

Alumnus of IIT Bomboy Alumnus of IIT Kharagpur

https://www.linkedin.com/in/amitpun/ linkedin.com/in/akhpad/

 PhD, Physics, Stanford University,  DBA (equivalent to PhD), SP Jain

Stanford CA., Sept 1999- Dec 2005 School of Global Management,
Sydney
Dr. Puniyani is a faculty member in finance area
with 12 years of experience in the banking Dr. Akhilesh’s professional journey spans over
analytics domain, working in the quantitative thirteen years in the software industry, starting
risk management divisions of several top-tier as a Software Engineer and progressing to lead
international banks. He works in and teaches teams. Additionally, he has served as a finance
courses on derivatives, fixed income and credit tutor for three years, founded a venture for two
valuation and financial analytics. years, and gained teaching experience over
two years. In his academic roles, Dr. Prasad has
Amit began his career working at Lehman instructed courses such as Corporate Finance,
Brothers, New York moving to Standard Computational Methods in Finance,
Chartered Bank Singapore and eventually to Quantitative Fixed Income Security,
Nomura Mumbai which had been acquired from Mathematics of Financial Derivatives, Machine
Lehman Brothers. He also worked in senior- Learning for Finance, Deep Learning with
level positions at Credit Suisse, Mumbai and Python, Portfolio Optimization, and Financial
Deutsche Bank. Risk Analytics.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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Other Key Faculty Members

Dr. Supriyo Ghose

 PhD, Indian Institute of Management
Calcutta, India
 B.E. (Hons), Jadavpur University,
Calcutta, India

Dr. Tuhin Chattopadhyay

 Ph.D., Management Studies, Dr. A.P.J.
Abdul Kalam Technical University, India
 CBA & Global CIO Programme, Indian
School of Business (ISB), Hyderabad

Dr Srijith Mohanan
 PhD, Indian Institute of Management,
Bangalore, India
 MBA, Indian Institute of Management,
Bangalore, India
 B. Tech., Indian Institute of Technology,
Kharagpur, India

INDUSTRY
COLLABORATIONS
1. Guest Lectures and Workshops: Regular
involvement of industry leaders to
provide insights and practical
knowledge.

2. Joint Research Projects: Collaboration

with financial institutions and fintech
companies for cutting-edge research
and development projects.

3. Advisory Board: An advisory board

consisting of prominent figures in the
finance industry to provide guidance
and ensure the curriculum remains
relevant and up to date.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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CAREER OPPORTUNITIES

Graduates of the PGDM - Quantitative Finance program can pursue a wide range
of career paths in various sectors, including the following prominent ones:

Quantitative Analyst Risk Manager

 Role: Develop and implement  Role: Analyse and manage financial
complex models for trading and risks using quantitative techniques
investment decisions. like VaR and stress testing.
 Skills: Advanced mathematics,  Skills: Risk modelling, statistical
programming (Python, C++), analysis, programming (SAS,
statistical analysis (R, Matlab). Python).

Algorithmic Trader Portfolio Manager

 Role: Design and execute  Role: Manage investment portfolios
automated trading strategies. using quantitative methods for asset
 Skills: Programming, numerical allocation and optimization.
methods, high-frequency trading  Skills: Financial modelling, risk
knowledge. management, CFA certification.

Financial Engineer Data Scientist

 Role: Develop new financial  Role: Apply machine learning and
instruments and strategies using data analytics to financial data.
quantitative models.  Skills: Data mining, predictive
 Skills: Derivatives pricing, stochastic analytics, machine learning (Python,
calculus, computational finance. R).

Indicative Salaries (Mid-Career)

 India: INR 35,00,000 to 50,00,000
 Singapore/Hong Kong: INR 1,00,00,000
 USA/UK: INR 1,25,00,000

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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FUTURE GROWTH PROSPECTS

Technological Advancements
 AI and Machine Learning: Increasing integration of AI and machine learning
into financial modelling and trading strategies.
 Big Data Analytics: Leveraging large datasets for enhanced decision-making
and predictive analysis.

Regulatory Changes
 Compliance and Risk Management: Growing need for sophisticated risk
management models to comply with evolving regulations.

Market Demand
 Emerging Markets: Expanding opportunities in emerging markets requiring
innovative financial products and strategies.

Sustainability and ESG

 ESG Investing: Incorporating environmental, social, and governance factors
into quantitative models for sustainable investment strategies.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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INSTITUTIONAL HISTORY AND PROFILE

Jagdish Sheth School of Management (JAGSoM), originally established as IFIM
Business School in 1995, has a rich history of providing innovative and globally
recognized business education. It was rebranded to honour the renowned scholar
and thinker, Professor Jagdish Sheth. The institution is known for its strong
emphasis on grooming T-shaped professionals equipped with both depth and
breadth in their chosen areas of specialization through role-defined Career Tracks.
Notably:
 JAGSoM is among only 12 business schools in India with an International
Profile: AACSB accredited, and QS ranked.

 JAGSoM is led by a Global Board of Governors, having representation from

across three Continents – Asia, Europe and America. The Board comprises
Global scholars, Industry experts and Academicians from top Global
Institutions.

 JAGSoM collaborates with several international institutions through Global

Partnerships, providing students with global exposure. To name a few -
University at Albany, State University of New York (SUNY) University of Texas
@ Arlington, Robinson College of Business, Georgia State University, KEDGE
Business School, France, ESDES School of Business and Management, France,
HSLU, Lucerne University of Applied Sciences and Arts, Switzerland, ESDES
School of Business and Management, France, Mays Business School, Texas A&M
University, and ESC Rennes School of Business, France.

 Situated in Bangalore, India, a major Location for technology and finance.

 The institute enables Learner Success through its pedagogical interventions

aligned to role-defined career tracks, such as ‘Learning by Solving’, ‘Effective
Execution’ Design Thinking’, Innovation Incubation and a 16-week long Industry
Internship.

ADMISSION REQUIREMENTS

Mandatory Desired
 Educational Background: A  Skills: Strong analytical and
bachelor's degree in mathematics, quantitative skills; proficiency in
engineering, computer science, or programming languages such as
a related field from IITs, BITSs, Python, R, or C++ is preferred.
NITs ISIs, Chennai School of
Mathematics or any other similar
top institution in India. Selection Process
 Personal Interview with JAGSoM
 Nationality: Indian. faculty.

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India
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APPLY NOW
 Apply online at
bit.ly/PGDM-QF-JAGSoM or scan QR 
 on or before June 30, 2024.

CONTACT INFORMATION
Visit jagsom.edu.in/pgdm-quant-finance/,
or email to: [email protected],
or call: +91 80506 40562

Jagdish Sheth School of Management (JAGSoM)

Electronic City Phase I, Bangalore, India