Financial Mathematics (U01626)

? 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. Interest income. The equation of value. Annuities. The general loan schedule. Net present values.Comparison of investment projects Option pricing techniques in discrete and continuous time. Black-Scholes option pricing formula.

Entry Requirements

? This course is not accepting further student enrolments.

? Pre-requisites : (Passes at C or better in (MAT-2-FoC, MAT-2-SVC, MAT-2-LiA, MAT-2-MAM) and (MAT-2-Prb or concurrent MAT-3-Prb)) or (MAT-2-am3, MAT-2-mm3, MAT-2-am4, MAT-2-mm4 with permission of the Head of School) or (MAT-2-mi3, MAT-2-mi4 with permission of Head of School)

? Prohibited combinations : MAT-3-FiMO

Variants

? This course has variants for part year visiting students, as follows

Financial Mathematics (VS1) (Semester 1 (Blocks 1-2))

Subject Areas

Home subject area

Specialist Mathematics & Statistics (Honours), (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
22/09/2008	15:00	15:50	Lecture Theatre B, 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

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.