EEA Web Session: CERA 0 - A Refresher Course in Financial Mathematics and Risk Measurement
Announcement from the EAA organiser:
We offer a series of four training courses and exams (through DAV) to all actuaries who want to deepen their knowledge in Enterprise Risk Management and gain the international ERM-credential CERA.
The 1.5 day web session serves a dual 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.
The online course begins with a repetition of basic concepts in probability theory including characteristics of random variables such as moments and quantiles. In order to prepare the analysis of dynamic financial models we introduce the idea of conditional expectations and we discuss stochastic processes in discrete time. The online 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 to 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 Greeks very basic term structure models and the pricing and hedging of simple stock and bond options. The web session consists of lectures interspersed by short exercise sessions where participants can apply the probabilistic techniques hands-on.
This web seminar is not a formal part of the CERA education.
Click here to make a reservation. Your early-bird registration fee is € 540.00 (net) / € 642.60 (incl. VAT, if applicable) for bookings by 21 October 2024. After this date, the fee will be € 600.00 (net) / € 714.00 (incl. VAT, if applicable).
Click here. (Note: timing via that link is in CEST [Central European Summer Time].)
Rüdiger Frey is Professor of Mathematics and Finance at the Vienna University of Economics and Business (WU). Prior to that, he held positions as Professor of Optimization and Financial Mathematics at the University of Leipzig and various academic positions at the University of Zurich and at the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the University of Bonn where he received his PhD in financial economics in 1996. His main research fields are quantitative risk management, dynamic credit risk models and the pricing and hedging of derivatives under incompleteness and market frictions. Rüdiger has published research papers in leading international academic journals and has given seminars at a number of important international conferences and institutions. He is co-author of the popular book "Quantitative Risk Management: Concepts Techniques & Tools" (Princeton University Press, second edition 2015), which was rated as one of the Top 10 Technical Books of 2006 on Financial Engineering, by Financial Engineering News. Rüdiger has also been involved in consulting projects for Swiss and German insurance companies and banks and is frequently giving practitioner training courses.
Since 2005, Jochen Wolf has been Professor for Mathematics and Economics at the Hochschule Koblenz. Before, he worked for several years at the German financial supervisor BaFin where he was responsible for various aspects of insurance supervision. At BaFin he was also involved in the Solvency II project. Prior to joining BaFin, Prof Wolf held various research positions in stochastic analysis at Universität Jena and at the Université Paris-Nord. He holds a diploma in mathematics from the Universität Mainz and a doctorate in mathematics (focus probability) from the Universität Jena. Professor Wolf is actively involved in the actuarial education at the German Association of Actuaries (DAV). is Professor of Mathematics and Finance at the Vienna University of Economics and Business (WU). Prior to that, he held positions as Professor of Optimization and Financial Mathematics at the University of Leipzig and various academic positions at the University of Zurich and at the Federal Institute of Technology (ETH) in Zurich. He holds a diploma in mathematics from the University of Bonn where he received his PhD in financial economics in 1996. His main research fields are quantitative risk management, dynamic credit risk models and the pricing and hedging of derivatives under incompleteness and market frictions. Rüdiger has published research papers in leading international academic journals and has given seminars at a number of important international conferences and institutions. He is co-author of the popular book "Quantitative Risk Management: Concepts Techniques & Tools" (Princeton University Press, second edition 2015), which was rated as one of the Top 10 Technical Books of 2006 on Financial Engineering, by Financial Engineering News. Rüdiger has also been involved in consulting projects for Swiss and German insurance companies and banks and is frequently giving practitioner training courses.
Jochen Wolf
Since 2005, Jochen Wolf has been Professor for Mathematics and Economics at the Hochschule Koblenz. Before, he worked for several years at the German financial supervisor BaFin where he was responsible for various aspects of insurance supervision. At BaFin he was also involved in the Solvency II project. Prior to joining BaFin, Prof Wolf held various research positions in stochastic analysis at Universität Jena and at the Université Paris-Nord. He holds a diploma in mathematics from the Universität Mainz and a doctorate in mathematics (focus probability) from the Universität Jena. Professor Wolf is actively involved in the actuarial education at the German Association of Actuaries (DAV).