Loading Events
  • This event has passed.

CERA, Module 0: A Refresher Course in Financial Mathematics and Risk Measurement

02/12/2019 - 03/12/2019

€840.00

The seminar gives an introduction to modern financial mathematics, derivative pricing and risk measurement. It is designed to prepare actuaries without adequate training in these fields for the quantitative parts of the CERA education. The seminar is moreover an ideal learning opportunity for actuaries who want to get acquainted with or refresh their knowledge in these highly relevant fields.

The seminar begins with a repetition of basic concepts in probability theory including characteristics of random variables such as moments and quantiles. In this context we will also introduce important distribution-based risk measures such as VaR and Expected shortfall.  In order to prepare the analysis of dynamic financial models we introduce the idea of conditional expectations, we discuss stochastic processes in discrete time.

The seminar continues with an introduction to financial mathematics. We study risk neutral valuation and the hedging of derivatives in discrete-time models, followed by a brief introduction to the modern theory of coherent risk measures.
The last part of the seminar is devoted an introduction to financial mathematics in continuous time. Topics covered include stochastic processes in continuous time such as Brownian motion and the Ito formula, the Black Scholes model and the pricing and hedging of simple stock and bond options. The seminar consists of lectures interspersed by short exercise sessions.

The seminar is open to all persons who are interested in deepening their quantitative skills in the fields of financial mathematics and risk measurement.

The 1.5 day seminar serves a double purpose. On the one hand, it is a bridging course designed to prepare actuaries with a more qualitative background for the quantitative parts of the CERA education. On the other hand, it is an independent refresher course for actuaries wanting to brush up their quantitative skills in the fields of financial mathematics and risk measurement.

This seminar is not a formal part of the CERA education.

Details

Start:
02/12/2019
End:
03/12/2019
Cost:
€840.00
Website:
Visit website

Organiser

European Actuarial Academy
Phone:
+49 221912554-341
Website:
www.actuarial-academy.com

Venue

Ratingen
Tryp Düsseldorf Airport Am Schimmersfeld 9
Düsseldorf, 40880 Germany
+ Google Map
Website:
Visit website

A global enterprise risk management credential