I haven't been on any so can't comment from first-hand experience (maybe someone else can), but I always thought the 4-day taught courses looked like a good way to get stuck into the course.
The first couple of chapters of part 1 - on the EMH and Measures of investment risk - are relatively straightforward. Portfolio theory, and the various models of asset returns can look a little odd straight from the notes. My advice would be to start relating the notes to the past exam questions or the q&a bank to get a better grasp of the material, and the sort of level at which it is examined, early on.
Part 2 on stochastic calculus is probably where I struggled, spotting where and when to apply Ito's lemma takes lots of practice at questions. But getting a good grasp of the concepts of Brownian motion and other stochastic processes is covered well.
I think Part 3 is a lot more straightforward than it looks! Intro to derivatives should be straightforward from previous subjects. The Greeks are a simple concept too. Unfortunately the general terminology for the Binomial model makes it seem quite complicated. But actually doing the calculations should(!) make everything clear. Similarly with the Black-Scholes formula, the derivations are a lot harder than the application.
Part 4, I think, is the toughest part of the course. The bizarre terminology in the Wilkie model becomes clearer if you try and re-write things in more familiar terms. Some of the material on credit risk should be slightly familiar from previous courses (the alive-dead model from CT4 for credit ratings for e.g.). But my only advice for this part is make sure that you plan plenty of time for studying it. I found it took much longer than I expected compared to the other parts of this course despite not having a huge page count!
Other than the above, my only advice is to pester colleagues, other forum members, familiy and friends with all your questions on the material!
Hope this helps.
