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

Event Type
Seminar
Organizer
EAA
Date
Time

2nd & 3rd December 2019

Venue
Düsseldorf, Germany
Description

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 early-bird registration fee is € 840.00 plus 19 % VAT until 2 October 2019. After this date the fee will be € 990.00 plus 19 % VAT.

The seminar is not a formal part of  the education and examination process to obtain the CERA credential. Therefore no exam corresponding to the seminar is offered.

You may find all additional information in this print version as well as on our website where you will find the registration form. An overview on other upcoming events can be downloaded as well.