Registry

Module Specifications

Archived Version 2008 - 2009

Module Title	Financial Mathematics
Module Code	MS318
School	School of Mathematical Sciences
Online Module Resources
Module Co-ordinator	Prof John Carroll	Office Number	X139
Level	3	Credit Rating	7.5
Pre-requisite	None
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
	Hours
Lectures	36
Tutorials	12
Laboratories	0
Seminars	0
Independent Learning Time	64.5

Total	112.5
Placements
Assignments

NOTE

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 variable force of interest, and weighted rates of return (under Project Appraisal). [CT1 - (i) to (x) (see MS216 Syllabus)]

< 3 > Investments: Fixed Interest borrowings by Government and other bodies; shares and other equity-type finance; derivatives. [CT1 - (x)]

< 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. [CT1 - (iv) & (xi)]

< 6 > Arbitrage & Forward Contracts: Price with/without Fixed income and dividend yield; value of a forward contract; hedging. [CT1|(xii)]

< 6 > Term Structure of Interest Rates: Yield (par and to Maturity) spot/forward rates; duration, volatility and convexity; immunization. [CT1|(xiii)]

< 6 > Stochastic Interest Rate Models: Mean/Variance of independent and identically dis- tributed annual rates of return; log-normal distribution; probability calculations. [CT1|(xiv)]

Assessment
Continuous Assessment	25%	Examination Weight	75%

Indicative Reading List

ActEd Study Materials: Subject CT1 Course Notes, The Actuarial Education Com- pany (on behalf of the Instutute of Actuaries and the Faculty of Actuaries).

Programme or List of Programmes on which this module will be delivered: