NEW. Seminar Facilitator. Seminar Duration 2 Days, 9:00am to 5:00pm

Transcription

1 NEW Financial Mathematics Part II Highlights Allw a highly trained applied mathematician and a seasned experienced market practitiner t share with yu the key requisite fundatinal mathematical cncepts and tls that are cmmnly used in the Financial Markets An pprtunity t re-learn and learn mathematics in an enjyable and effective manner Tpics cvered include Permutatins and Cmbinatins, Prbability Thery, Prbability Distributins, Interest Cmputatin Methdlgies, and examples f their applicatins in Finance A discussin n Time Value f Mney, Cncept f Fair Value and Discunted Expectatin, Term Structure and Yield Curves will als be included This prgram frms part f a Fundatinal Prgram which is a requisite fr anyne wishing t mve n t gain an in-depth understanding f the applied mathematics used in the financial markets Seminar Facilitatr Dr. Jeffrey C. K. Lim, Ph.D., C.Sci., C.Math., FIMA, FRM, PRM, B.Fel. 1 Seminar Duratin 2 Days, 9:00am t 5:00pm

2 Seminar Backgrund PFM02 is part II f the Essential Fundatinal Mathematics Prgram in Finance. This prgram des nt assume that participants have prir knwledge f the tpics cvered, but instead takes participants thrugh frm the very basics all the way up t the requisite knwledge level, prviding ne with a slid fundatinal platfrm t be able t understand applicatins f sme key cncepts in financial markets. Withut an understanding f the essential mathematics, ne cannt be expected t understand sme f the underlying cncepts in financial markets; hence this fundatinal prgram is meant t prvide ne with the requisite platfrm t build upn in rder t have a better understanding f the financial markets. Seminar Cntent Permutatins and Cmbinatins Fundamental Principal f Cunting Permutatins Permutatins with Repetitins Ordered Samples Cmbinatins Ordered Partitins Perfrm calculatins f Permutatins and Cmbinatins Understand the key difference in the tw terminlgies Case Study t explre the use f Permutatins and Cmbinatins in building Scenaris in Financial Markets. Prbability Thery Intrductin T Prbability Thery Sample Space and Events Finite Prbability Spaces Equi-prbable Spaces Cnditinal Prbability and Independence Therems n Finite Prbability Spaces Mathematical Expectatin Applicatins in Financial Markets Perfrm calculatins in Prbability Thery Case Study t explre the use f Prbability Thery in Financial Markets (which include its usage in the Insurance Industry and Treasury Markets) 2

3 Prbability Distributin Randm Variables and their Mments Randm Variables Prbability Space and Distributin f a Randm Variable Key Mments f Randm Variables Expectatin Variance Skewness Kurtsis Functin f Randm Variables Definitin Sum f Functins f Randm Variables Prduct f Functins f Randm Variables Sme Key Prbability Distributins Unifrm Distributin Bernulli Distributin Binmial Distributin Nrmal Distributin Standard Nrmal Distributin Lg-Nrmal Distributin Chi-square Distributin Student-t Distributin Central Limit Therem Applicatins in Financial Markets Discuss the use f Key Mments f Randm Variables in the Financial Markets. Discuss the use f the varius Prbability Distributins in the Financial Markets Interest Calculatin Methdlgies Simple Cmpunding Daily Mnthly Quarterly Semi-Annually Annually Cntinuusly Discunt Market Cnventins Act/360 DayCunt Cnventin Act/365 DayCunt Cnventin Act/Act DayCunt Cnventin 30/360 DayCunt Cnventin 3

4 Perfrm calculatins f Interest using the varius Interest Cmpunding methdlgies and under the varius Market Cnventins. Case Study t understand the ntin f Effective Interest Rate and t cmpute the Effective Interest Rate fr a given series f Amrtizing Cashflws. Time Value Of Mney Definitin Future Value f Mney Present Value f Mney Cncept Of Fair Value And Ntin f Discunted Expectatin Intrductin T Term Structure Intrductin T Yield Curves Varius Types f Yield Curves Treasury Curves Credit Curves Swaps Curves Purpse f Yield Curves Cmpnents Used In Yield Curve Cnstructin Factrs Influencing the Shape f Yield Curves Discuss the reasns behind the shapes f sme given Yield Curves Benefits f Attendance Participants can expect t be equipped with sme f the mre advanced fundatinal mathematical cncepts which frm the basic requisite platfrm n which t build upn t have a better understanding and wrking knwledge f the financial markets. Wh shuld attend? Senir Management, Risk Management Persnnel, Treasury and Finance Persnnel, Operatins and Settlements Persnnel, Accuntants, Internal and External Auditrs, and anyne interested in gaining mre in-depth knwledge in the Financial Markets. 4

5 Seminar Facilitatr Dr. Jeffrey C. K. Lim, certified Financial Risk Manager (FRM 1 ) and certified Prfessinal Risk Manager (PRM 2 ), is currently the Managing Directr f PI ETA Cnsulting Cmpany, a Treasury & Financial Risk Management Cnsulting Cmpany. A Chartered Scientist (C.Sci. 3 ), a Chartered Mathematician (C.Math. 4 ) and an elected Fellw f the Institute f Mathematics and Its Applicatins (IMA), U.K. (FIMA), Jeff earned his Ph.D. in Stchastic Financial Mdeling frm the University f Cambridge in England. Jeff s research interest at Cambridge was in the area f Arbitrage Opprtunities ccurring in the Mispricing f Financial Optins, and his riginal research culminated in the publicatin f his dctral dissertatin entitled: Multi-perid Mean-Variance Optin Prtfli Strategies. Jeff was an authrized Securities & Financial Derivatives Representative in Lndn, having been certified by The Securities and Futures Authrity (SFA) in England, where he started his career as a Derivatives Analyst with Nmura Internatinal in Lndn, England. He subsequently jined NatWest Markets frm Lndn, England t becme its Head f Currency Structured Prducts fr Suth and Suth-East Asia. Jeff then mved t American Express Bank t becme its Directr f Structured Prducts, prir t assuming his current psitin. Jeff has als cntributed t the develpment and enhancement f talent and infrastructure fr Singapre's financial center as a guest Prfessr at the Natinal University f Singapre s Center fr Financial Engineering, where he was respnsible fr the curriculum f its Master f Science degree prgram s cre mdules in Financial Derivatives and Treasury Management. In additin, Jeff has als been invited by the Nanyang Technlgical University and the Singapre Management University t share his expertise in a similar capacity. In recgnitin f Jeff s expertise and experience in the field f Treasury and Financial Risk Management, the University f New Suth Wales Asia appinted Jeff t be its first Adjunct Prfessr with the university s Divisin f Business and Humanities. At PI ETA Cnsulting Cmpany, Jeff was Principal Inventr in tw f the Patents that the cmpany currently hlds ne in Treasury & Financial Risk Management Systems, and the ther in Knwledge Management Systems. Prfessinally, Jeff is a Fellw f bth The Glbal Assciatin f Risk Prfessinals (GARP), U.S.A. and The Prfessinal Risk Managers Internatinal Assciatin (PRMIA), U.S.A. He is als a Fellw f the Cambridge Philsphical Sciety, U.K. and a Life-time Member f The Cambridge Sciety, U.K. Jeff is als hnured t be a Fellw f The Cambridge Cmmnwealth Sciety, U.K., having been previusly awarded the Cambridge Cmmnwealth Trust and the Shell Grup f Cmpanies Dctral Research Schlarship. 1 The Financial Risk Manager (FRM) designatin is awarded by The Glbal Assciatin f Risk Prfessinals (GARP), U.S.A. 2 The Prfessinal Risk Manager (PRM) designatin is awarded by The Prfessinal Risk Managers Internatinal Assciatin (PRMIA), U.S.A. 3 The Chartered Scientist (C.Sci.) designatin is awarded by The Science Cuncil, U.K. 4 The Chartered Mathematician (C.Math.) designatin is awarded by The Institute f Mathematics and Its Applicatins (IMA), U.K. 5

6 As a special recgnitin f Jeff s prfessinal achievements, n 9 April 1999, Barns Wh s Wh cnferred Jeff with the Barns Fellwship status, making him a Barns Fellw (B.Fel.). This award by their Charter, is limited t nly the tp 10% f thse selected fr publicatin in Barns Wh s Wh Internatinal. Fr mre infrmatin, please cntact PI ETA Engagement Resurce (PEER) Grup at Tel: Fax: marketing@pi-eta.cm Website: 6