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Web Session: CERA, 0: A Refresher Course in Financial Mathematics & Risk Measurement – December 2020

10 December - 11 December

€450

The web session 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 online training is moreover an ideal learning opportunity for actuaries who want to get acquainted with or refresh their knowledge in these highly relevant fields.

The web session 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 session continues with an introduction to financial mathematics. We study risk neutral valuation and the hedging of derivatives in discrete-time models. The last part of the web session 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 online seminar consists of lectures interspersed by short exercise sessions.

 

Participants

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

 

Purpose and Nature

The 1.5 day online 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 web session is not a formal part of the CERA education.

 

Organised by the EAA – European Actuarial Academy GmbH.

 

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Details

Start:
10 December
End:
11 December
Cost:
€450
Website:
Visit website

Venue

Online

Organiser

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

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