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PFM02: Financial Mathematics Part II

Event: E1732 Category: Finance & Accounting

Highlights

* Allow a highly trained applied mathematician and a seasoned experienced market practitioner to share with you the key requisite foundational mathematical concepts and tools that are commonly used in the Financial Markets.

* An opportunity to re-learn and learn mathematics in an enjoyable and effective manner.

* Topics covered include Permutations and Combinations, Probability Theory, Probability Distributions, Interest Computation Methodologies, and examples of their applications in Finance.

* A discussion on Time Value of Money, Concept of Fair Value and Discounted Expectation, Term Structure and Yield Curves will also be included.

* This program forms part of a Foundational Program which is a requisite for anyone wishing to move on to gain an in-depth understanding of the applied mathematics used in the financial markets.

Seminar Facilitator(s):

Dr. Jeffrey C. K. Lim
Ph.D., C.Sci., C.Math., FIMA, FRM, PRM, B.Fel.

For more information about the seminar please go to:

http://www.pi-eta.com/Seminars/Spore_Seminars/PIETA_Seminars/SemSporePFM02_Highlights.asp

date

5 - 6 Aug, 2010

time

9:00 am - 5:00 pm

venue

Concorde Hotel Singapore,
100 Orchard Road,
Singapore 238840

Fee

SGD 2,782

Complimentary: No
SDF-funded: No

target audience

Senior Management, Risk Management Personnel, Treasury and Finance Personnel, Operations and Settlements Personnel, Accountants, Internal and External Auditors, and anyone interested in gaining more in-depth knowledge in the Financial Markets.

Max number of participants

Registration Status

Open for Registration

organizing company

PI ETA Consulting Company

contact details

Telephone: +(65) 63410010
Fax: +(65) 63410020
Email: marketing@pi-eta.com

event description

Seminar Background

PFM02 is part II of the Essential Foundational Mathematics Program in Finance. This program does not assume that participants have prior knowledge of the topics covered, but instead takes participants through from the very basics all the way up to the requisite knowledge level, providing one with a solid foundational platform to be able to understand applications of some key concepts in financial markets. Without an understanding of the essential mathematics, one cannot be expected to understand some of the underlying concepts in financial markets; hence this foundational program is meant to provide one with the requisite platform to build upon in order to have a better understanding of the financial markets.

Seminar Content

* Permutations and Combinations
- Fundamental Principal of Counting
- Permutations
- Permutations with Repetitions
- Ordered Samples
- Combinations
- Ordered Partitions
- Group Discussion/Assignment
# Perform calculations of Permutations and Combinations
# Understand the key difference in the two terminologies
# Case Study to explore the use of Permutations and Combinations in
building Scenarios in Financial Markets.

* Probability Theory
- Introduction To Probability Theory
- Sample Space and Events
- Finite Probability Spaces
- Equi-probable Spaces
- Conditional Probability and Independence
- Theorems on Finite Probability Spaces
- Mathematical Expectation
- Applications in Financial Markets
- Group Discussion/Assignment
# Perform calculations in Probability Theory
# Case Study to explore the use of Probability Theory in Financial Markets
(which include its usage in the Insurance Industry and Treasury Markets)

* Probability Distribution
- Random Variables and their Moments
# Random Variables
# Probability Space and Distribution of a Random Variable
# Key Moments of Random Variables
Expectation
Variance
Skewness
Kurtosis

* Function of Random Variables
# Definition
# Sum of Functions of Random Variables
# Product of Functions of Random Variables

* Some Key Probability Distributions
- Uniform Distribution
- Bernoulli Distribution
- Binomial Distribution
- Normal Distribution

* Standard Normal Distribution
- Log-Normal Distribution
- Chi-square Distribution
- Student-t Distribution
- Central Limit Theorem
- Applications in Financial Markets
- Group Discussion/Assignment
# Discuss the use of Key Moments of Random Variables in the Financial
Markets.
# Discuss the use of the various Probability Distributions in the Financial
Markets

* Interest Calculation Methodologies
- Simple
- Compounding
# Daily
# Monthly
# Quarterly
# Semi-Annually
# Annually
# Continuously
- Discount
- Market Conventions
# Act/360 DayCount Convention
# Act/365 DayCount Convention
# Act/Act DayCount Convention
# 30/360 DayCount Convention
- Group Discussion/Assignment
# Perform calculations of Interest using the various Interest Compounding
methodologies and under the various Market Conventions.
# Case Study to understand the notion of Effective Interest Rate and to
compute the Effective Interest Rate for a given series of Amortizing
Cashflows.

* Time Value Of Money
- Definition
- Future Value of Money
- Present Value of Money

* Concept Of Fair Value And Notion of Discounted Expectation

* Introduction To Term Structure

* Introduction To Yield Curves
- Various Types of Yield Curves
# Treasury Curves
# Credit Curves
# Swaps Curves
- Purpose of Yield Curves
- Components Used In Yield Curve Construction
- Factors Influencing the Shape of Yield Curves
- Group Discussion/Assignment
# Discuss the reasons behind the shapes of some given Yield Curves