Financial Mathematics (Ord) (U01640)

? Credit Points : 10 ? SCQF Level : 9 ? Acronym : MAT-3-FiMO

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

? Pre-requisites : MAT-2-FoC, MAT-2-SVC, MAT-2-LiA, MAT-2-MAM, MAT-2-Prb or MAT-2-am3, MAT-2-mm3, MAT-2-am4, MAT-2-mm4, MAT-2-Prb or MAT-2-mi3, MAT-2-mi4

? Prohibited combinations : MAT-3-FiM

Subject Areas

Home subject area

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

Delivery Information

? Normal year taken : 3rd year

? Delivery Period : Semester 1 (Blocks 1-2)

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

First Class Information

Date	Start	End	Room	Area	Additional Information
20/09/2007	15:00	16:00	Lecture Theatre C, JCMB	KB

All of the following classes

Type	Day	Start	End	Area
Lecture	Monday	15:00	15:50	KB
Lecture	Thursday	15:00	15:50	KB

Summary of Intended Learning Outcomes

The following are the learning objectives for the Honours version, MAT-3-FiM; for this (Ordinary) version there is more emphasis on the technical, rather than conceptual elements, which will be reflected by a different examination.

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.