Registry
Module Specifications
Archived Version 2013 - 2014
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Description MS318 builds on the material of MS216 to provide students with a grounding in elements of financial mathematics and its related applications, particularly the calculation of present and accumulated values for various streams of cash flows. The course also provides an introduction to financial instruments, including derivatives, and the concept of `no arbitrage' as it relates to financial mathematics. The combined syllabi of MS216 and MS318 map fully onto the 14 objectives of CT1: Financial Mathematics. | |||||||||||||||||||||||||||||||||||||||||
Learning Outcomes 1. Demonstrate attainment of the learning outcomes of MS216: An Introduction to the Mathematics of Finance 2. Interpret and solve problems relating to real and money interest rates 3. Describe the investment and risk characteristics of certain types of asset available for investment purposes. 4. Describe and solve elementary compound interest problems. 5. Calculate the delivery price and the value of a forward contract using arbitrage free pricing methods. 6. Interpret and solve problems relating to the term structure of interest rates. 7. Interpret and solve problems relating to simple stochastic models for investment returns. | |||||||||||||||||||||||||||||||||||||||||
All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml |
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Indicative Content and
Learning Activities Review of MS216 A review of the syllabus topics of MS216: An Introduction to the Mathematics of Finance, but also with the additional topics of variable force of interest and weighted rates of return (under Project Appraisal). CT1: (i) to (ix) Investments Fixed interest borrowings by government and other bodies; shares and other equity-type finance; derivatives. CT1: (x) Simple Compound Interest Problems Fixed Interest Securities; Running yields and redemption yields; present value or yield from an ordinary share or property; real rate of interest; index-linked bonds; income tax, capital gains tax and investments. CT1: (iv) & (xi) Arbitrage & Forward Contracts Calculating the price with or without fixed income and dividend yield; value of a forward contract; hedging. CT1: (xii) Term Structure of Interest Rates Yield (par and to maturity); spot and forward rates; duration, volatility and convexity; immunization. CT1: (xiii) Stochastic Interest Rate Models Mean and variance of independent and identically distributed annual rates of return; log-normal distribution; probability calculations. CT1: (xiv) | |||||||||||||||||||||||||||||||||||||||||
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Indicative Reading List
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Other Resources 4736, Webpage, John Carroll, 0, MS318 Tutorial Sheets & Exam Papers, www.dcu.ie/~carrollj/ms318.html, | |||||||||||||||||||||||||||||||||||||||||
Programme or List of Programmes |
- See the module specification for MS318 in 2003 - 2004
- See the module specification for MS318 in 2004 - 2005
- See the module specification for MS318 in 2005 - 2006
- See the module specification for MS318 in 2006 - 2007
- See the module specification for MS318 in 2007 - 2008
- See the module specification for MS318 in 2008 - 2009
- See the module specification for MS318 in 2009 - 2010
- See the module specification for MS318 in 2010 - 2011
- See the module specification for MS318 in 2011 - 2012
- See the module specification for MS318 in 2012 - 2013
- See the module specification for MS318 in 2013 - 2014
- See the module specification for MS318 in 2014 - 2015
- See the module specification for MS318 in 2015 - 2016
- See the module specification for MS318 in 2016 - 2017
- See the module specification for MS318 in 2017 - 2018
- See the module specification for MS318 in 2018 - 2019
- See the module specification for MS318 in 2019 - 2020
- See the module specification for MS318 in 2020 - 2021
- See the module specification for MS318 in 2021 - 2022
- See the module specification for MS318 in 2022 - 2023
- See the module specification for the current year