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Module Specifications

Archived Version 2005 - 2006

Module Title Financial Mathematics
Module Code MS318
School School of Mathematical Sciences

Online Module Resources

Module Co-ordinatorProf John CarrollOffice NumberX139
Level 3 Credit Rating 7.5
Pre-requisite MS216
Co-requisite None
Module Aims
- 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.

Learning Outcomes
- 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.

Indicative Time Allowances
Lectures 36
Tutorials 12
Laboratories 0
Seminars 0
Independent Learning Time 64.5

Total 112.5
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.

Indicative Syllabus
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.
Continuous Assessment25% Examination Weight75%
Indicative Reading List
- 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.
Programme or List of Programmes
BSSAStudy Abroad (DCU Business School)
BSSAOStudy Abroad (DCU Business School)
ECSAStudy Abroad (Engineering & Computing)
ECSAOStudy Abroad (Engineering & Computing)
FMBSc in Financial & Actuarial Mathematics
HMSAStudy Abroad (Humanities & Soc Science)
HMSAOStudy Abroad (Humanities & Soc Science)
MSBSc in Mathematical Sciences
SHSAStudy Abroad (Science & Health)
SHSAOStudy Abroad (Science & Health)