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Module Title |
Financial Mathematics
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Module Code |
MS318
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School |
School of Mathematical Sciences
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Online Module Resources
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| Module Co-ordinator | Prof John Carroll | Office Number | X139 |
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Level |
3
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Credit Rating |
7.5
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Pre-requisite |
MS216
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Co-requisite |
None
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Module Aims
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- To provide a grounding in financial mathematics and their simple applications.
- To enable the student to become fully conversant with actuarial philosophy and actuarial scientific methods.
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Learning Outcomes
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- Proficiency in presenting a complex, verbally described, financial scenario in mathematical symbolism.
- Competence in undertaking the mathematical analysis of the resultant mathematical expressions.
- Ability to appraise the derived solutions and figures for reasonableness and validity.
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Indicative Time Allowances
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Hours
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Lectures |
36
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Tutorials |
12
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Laboratories |
0
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Seminars |
0
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Independent Learning Time |
64.5
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Total |
112.5
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Placements |
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Assignments |
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NOTE
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Assume that a 7.5 credit module load represents approximately 112.5 hours' work, which includes all teaching, in-course assignments, laboratory work or other specialised training and an estimated private learning time associated with the module.
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Indicative Syllabus
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Indicative Lecture hours given in < > below:
< 6 > Review of MS216: An Introduction to the Mathematics of Finance with the inclusion of the additional topics of APR (under Loan Schedules) and weighted rates of return (under Project Appraisal).
< 3 > Investments: Fixed Interest borrowings by Government and other bodies; shares and other equity-type finance; derivatives.
< 9 > Simple Compound Interest Problems: Fixed Interest Securities; Running yields and redemption yields; present value/yield from an ordinary share/property; real rate of interest; index-linked bonds; income tax, capital gains tax and investments.
< 6 > Arbitrage & Forward Contracts.
< 6 > Term Structure of Interest Rates: yield (par and to Maturity) spot/forward rates; duration and convexity; immunization.
< 6 > Stochastic Interest Rate Models: Mean/Variance of independent and identically distributed annual rates of return; log-normal distribution; probability calculations.
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| Assessment | | Continuous Assessment | 25% | Examination Weight | 75% |
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Indicative Reading List
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- An Introduction to the Mathematics of Finance, JJ McCutcheon and W E Scott, Published by the Institute of Actuaries & the Faculty of Actuaries, Butterworth-Heinemann 1999. ISBN 0 7506 0092.
- ActEd Study Materials: 2003 Examinations - Subject 102, The Actuarial Education Company, ) IFE: 2003 Examinations.
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Programme or List of Programmes
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| BSSA | Study Abroad (DCU Business School) |
| BSSAO | Study Abroad (DCU Business School) |
| ECSA | Study Abroad (Engineering & Computing) |
| ECSAO | Study Abroad (Engineering & Computing) |
| FM | BSc in Financial & Actuarial Mathematics |
| HMSA | Study Abroad (Humanities & Soc Science) |
| HMSAO | Study Abroad (Humanities & Soc Science) |
| MS | BSc in Mathematical Sciences |
| SHSA | Study Abroad (Science & Health) |
| SHSAO | Study Abroad (Science & Health) |
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