Certificate in Financial Mathematics & Modelling (CertFMM)

Course overview

The Certificate in Financial Mathematics & Modelling (CertFMM) provides a rigorous and integrated set of quantitative tools to understand and explain financial instruments, financial risk and corporate value and the fundamentally important relationship between them. The emphasis throughout is on the practical modelling of real life problems and opportunities. The face-to-face tuition course includes an Excel modelling workshop.

CertFMM counts towards the AMCT Diploma in Treasury as one of the stage three electives as well as being available as a standalone certificate.

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*Fees for these courses may be subject to change

Course objectives

• Provide a thorough understanding of risk management techniques and how they can be applied to everyday scenarios and practical situations
• Equip you with the tools to calculate, analyse, understand and interpret financial risk from a mathematical viewpoint
• Enable the use of spreadsheet models to illustrate and explain financial relationships to non-specialist colleagues and clients

Who should take this qualification?

• Corporate treasurers with a requirement to manage financial risk, financial instruments and funds
• Finance professionals who wish to understand how financial instruments are evaluated
• Market practitioners within banks and financial institutions
• Investment bankers
• Consultants advising banks and corporates
• Anyone with responsibility for or an interest in financial risk management.

Learning outcomes

Following completion of the course you will be able to:

• Use spreadsheet models to illustrate and explain financial relationships to non-specialist colleagues and clients
• Validate, explain and apply the calculations used in identifying risk
• Understand the underlying modelling assumptions behind complex decision making
• Examine and analyse interest rate sensitivity
• Explain how portfolios can be measured in terms of risk and the limitations of those measures
• Describe Value at Risk and how it is used.

Course content

The Certificate in Financial Mathematics & Modelling provides a rigorous and integrated set of quantitative tools to understand and explain financial instruments, financial risk and corporate value and the fundamentally important relationship between them. The emphasis throughout is on the practical modelling of real life problems and opportunities. Techniques such as no-arbitrage pricing, duration, convexity and portfolio analysis - including the trade-off between risk and return - are explained and applied. The course analyses the use of options for financial risk management, and the valuation of different types of option using binomial pricing models, the Black Scholes model and other techniques. It also introduces and applies Value at Risk measures, their potential uses and their limitations. The qualification is highly practical and includes an Excel modelling workshop in the face-to-face tuition course.

Study Unit 1 – Background review

Interest rate mathematics
Probability and statistics

Study Unit 2 – Debt instruments: short term

Issuers and market players
Market conventions
Short-term financial instruments
Calculation of interest & pricing of short-term financial instruments

Study Unit 3 – Debt instruments: longer term

What are bonds?
The pricing of bonds (a first approach)
Practical aspects of bond arithmetic
The term structure and its use in bond pricing
Real interest rates and inflation indexing
Interest rate sensitivity and duration

Study Unit 4 – Foreign exchange

Spot foreign exchange rates
Foreign exchange forwards and futures
Foreign exchange risk management

Study Unit 5 – Interest rate derivatives: short term

Nature of derivatives
Forward rate agreements (FRAs)
Futures
Pricing basis for fixed interest rate contracts

Study Unit 6 – Interest rate derivatives: longer term

Generic swaps and interest rate swaps
Deriving implied zero coupon rates and forward rates from swap data
Cross currency interest rate swaps
Other swap structures
Swap spreads and why they move
Bond futures
Swapnote® futures

Study Unit 7 – Options: introduction

Options defined
Factors affecting option prices
American & European options
Building blocks
Trading strategies involving options

Study Unit 8 – Options: pricing models

Introduction
Binomial model
Continuous time
Black Scholes model
The ‘Greeks’

Study Unit 9 – Fundamentals of portfolio analysis

Portfolios
The trade off between risk and expected return
The capital asset pricing model
The cost of capital

Study Unit 10 – Treasury portfolio management

Duration
Convexity
Value at Risk (VaR)

Study tools

• A comprehensive course manual and modelling supplement
• Self assessment progress tests
• Integrated four day tuition programme
• e-learning website providing access to the course manual, past exam papers, glossary and course tutor

What’s included: Course manual (print and online), modelling supplement, self assessment progress tests, access to the e-learning website, open learning or face-to-face tuition.

You will need: Access to a computer with internet connection

Entry requirements

Due to the course being written and examined in English, students will need to possess a good standard of both written and spoken English.

A basic understanding of risk management and the use of financial instruments is assumed. The course is mathematical in nature, so it requires the ability to set up and solve standard equations and to use a standard (nonprogrammable) calculator.

Familiarity with Excel or similar spreadsheet applications is also required. It is assumed that you are able to perform the following as a minimum:

• Saving and renaming worksheets and files
• Cell, column and row formatting
• Customising number and data formats
• Print areas and print formatting
• Copying data
• Relative and absolute cell referencing
• Autofill
• Use of basic formulae (SUM,AVG etc.)
• Differences between inputs, outputs, assumptions and workings.

Tuition and revision

You can opt to study CertFMM either as a fully open learning programme or through attending a series of tutorials, both of which are included in the course fees.

Open learning programme

You will receive a study guide and a recommended timetable for study. You will be asked to complete assessments which will include two Excel modelling exercises and to submit two mock exams which will be marked by the course tutor to provide you with detailed feedback. The open learning programme is fully tutor guided with a dedicated tutor available by email and telephone to answer queries and discuss your progress throughout the qualification. This option is recommended for candidates based outside the UK.

Face-to-face tuition

You will attend tutorials held in a central London location. There are four tuition days: the first three days cover money market and capital market calculations, options and portfolio analysis. The fourth day is a financial modelling workshop using Excel.

Optional revision

You have the option of attending three revision days at an additional cost. The revision course covers exam preparation techniques, revision, tutor-structured solutions and exam question practice. The objective of the revision course is to revise material covered earlier in the course and to enhance your confidence in attempting exam standard questions in the topics covered. Coverage is not comprehensive, but is designed to complement your final exam preparations and the previous tuition course and home study programme.

• Meet the tutors

Assessment and examination

Students are assessed by a three-hour written exam.

The mark you need to achieve a pass in all papers apart from CertITM is normally 50%. For CertITM the mark you need to achieve a pass is normally 70%. This higher mark is accounted for by the fact that in a multiple choice examination, marks may be gained by guessing the correct answer.

How can I enrol?

To enrol on CertFMM as a standalone certificate please complete and return the enrolment & booking form to the ACT by the enrolment deadlines:

15 December for April examination
15 June for October examination

• Download enrolment & booking form (PDF 81K)

To enrol on CertFMM as part of the AMCT Diploma in Treasury go to the AMCT page.

Student case studies

Nikki Gilbert, CertFMM, Principal Manager, Treasury Financial Control, European Bank for Reconstruction and Development

In my role as Principal Manager at the European Bank for Reconstruction and Development, I focus on the accounting behind financial instruments. This requires a thorough understanding of various financial instruments and the drivers behind their value. Understanding the changes in values ensures that I can make sense of the numbers, challenge unusual movements and ensure that we are correctly reporting accurate figures.

Because of this, I wanted to take a qualification that would go beyond the surface definitions to provide me with a complete understanding of financial instruments. In particular I wanted to know how to communicate complex analytical findings to senior management.

The theory behind financial instruments is a very hard topic to glean simply from ‘on-the-job’ training. To get ahead, I decided that I would need to combine my experiences with a formal qualification.

In terms of the course itself, I found the five month study programme well paced.
The structure encouraged a deep understanding through the use of well timed assignments, tuition and revision days. Furthermore, the tuition days provided an excellent opportunity to cement my knowledge of the course material. I found tutor explanations helped hugely as the course content was presented in an alternative format to that used in course notes, thereby applying different learning methods to suit different styles. The short-form questions worked through in both the tuition and revision days provided excellent preparation for the examination.

Since enrolling, I have experienced a significant improvement in my general understanding of financial instruments, the mathematics behind these instruments and the drivers of their valuations, which is highly applicable within my role. The downstream benefits of this increased knowledge have been immense, in particular I feel there has been an improvement in my analytical and communication ability over the figures we report. Sitting the CertFMM has enabled me to do my job better, and more efficiently – making me an integral member of my team.

I would definitely recommend the course to anyone requiring an in depth knowledge of financial instruments. The mathematics element worried me at first, but the course is presented in a straight forward manner and the learning tools, including the tutorial and revision sessions, make the content clear and relevant.

Continuing your studies

Once you complete your Certificate in Financial Mathematics & Modelling, you are eligible to join the CertFMM affiliates scheme – an exclusive network of practitioners and to use the designatory letters CertFMM. As well as a standalone qualification, you may also count CertFMM as one of the seven papers that comprise the AMCT Diploma in Treasury – the ACT’s core treasury qualification.