Financial Mathematics (VS1) (U01924)

? Credit Points : 10 ? SCQF Level : 10 ? Acronym : MAT-3-FiM

Optional course for Honours Degrees involving Mathematics and/or Statistics; stipulated course for Honours in Economics and Statistics.

Syllabus summary: Revision of random variables, expectation, variance, covariance and correlation. Binomial distribution. Properties of Normal random variables and the central limit theorem. Time value of money, compound interest rates and present value of future payments. Fixed interest and equity securities. Duration, convexity and their use in the immunisation of a portfolio of liabilities. Option pricing tecniques in discrete and continuous time. Black-Scholes option pricing formula.

Entry Requirements

? This course is only available to part year visiting students.

? This course is a variant of the following course : U01626

Subject Areas

Home subject area

Specialist Mathematics & Statistics (Honours), (School of Mathematics, Schedule P)

Delivery Information

? Normal year taken : 3rd year

? Delivery Period : Not being delivered

? Contact Teaching Time : 2 hour(s) per week for 11 weeks

All of the following classes

Type	Day	Start	End	Area
Lecture	Tuesday	10:00	10:50	KB
Lecture	Friday	10:00	10:50	KB

Summary of Intended Learning Outcomes

1. Knowledge of basic financial concepts.
2. Ability to apply basic probability theory in financial models.
3. Introduction to actuarial mathematics.
4. Introduction to basic financial derivative instruments.
5. Introduction to option pricing in discrete time.
6. Familiarity with the Black-Scholes formula.