Course details

  • Duration: 1 day, 2 days, 3 days or 5 days
  • Fees:
    1 day - £775
    2 days - £1550
    3 days - £2100
    5 days - £3500

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22 February 2021 (parallel session)

This parallel module is based on the precept that mineral resource engineering and financial engineering are equally important aspects of project development. The latter includes use of ‘real options’ based on the Black-Scholes formula, and other project risks including interest rate uncertainty and credit risk. This module provides a whistle-stop tour of the mathematical methods of quantitative finance that address these problems.

This is aimed at providing delegates who while familiar with the role of quantitative finance in the generation of models used for investment decisions have not had any formal training in the field.  These concepts are, however, applied in the Mineral project appraisal and finance module and while the case studies used are self-contained, if delegates wish to apply the concepts to their own projects then the quantitative finance module will allow them to do so with some confidence.


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Principles of Quantitative Finance (Parallel session)

Delegates will be taken through classic concepts that are used in the field of quantitative finance particularly with respect to stochastic treatment of key variables such as price and volatility.  This in turn supports the recognition that financial models of mineral projects incorporate a range of outcomes that more realistically reflect the real world compared to a purely deterministic approach.




Financial Products. Forwards, futures and options. Interest rate swaps. Credit derivatives. Pricing methodologies.Black - Scholes formula and applications.

Sébastien Lleo


Use of Options. Survey of world metal markets and application of options in project finance.

Sébastien Lleo

Use of Options. Survey of world metal markets and application of options in project finance.

Sébastien Lleo

Workshop sessions - lead by Professor Mark Davis.  

The first session will cover computational methods in option valuation.  Delegates will be provided with spreadsheet-based models which will allow them to generate their own output and see how this is applied to real world scenario

Sébastien Lleo


The second workshop session will cover a case study highlighting the role of the quantitative finance methods as discussed earlier.


Sébastien Lleo


Professor Sébastien Lleo

Associate Professor, Finance Department, Head of the MSc in Risk and Financial Technologies, NEOMA Business School

Sébastien is Associate Professor of Finance and Head of the MSc in Risk and Financial Technologies at NEOMA Business School in France, and Tutor on the CQF program at FitchLearning in London. Sébastien worked in investment management, risk management and financial markets  in Canada and the UK. He authored a monograph on risk management commissioned by the CFA Institute, co-authored books on risk-sensitive stochastic control and stock market crashes, and published more than twenty articles in academic and professional journals. Sébastien holds a PhD in Mathematics from Imperial College London, HDR in Social Science from Conservatoire national des arts et métiers (France), MBA from University of Ottawa (Canada), and MSc in Management from NEOMA Business School (France). He is also a CFA Charterholder, Certified Financial Risk Manager, Professional Risk Manager, and CQF alumnus.