Postgraduate Course: Financial Model Building (MATH11051)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 5 |
| Home subject area | Mathematics |
Other subject area | Operational Research |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | Building and implementing accurate financial models requires a comprehensive understanding of the assets being modelled and the generally accepted mathematical frameworks used for valuation. This course gives a practical overview of Fixed Income markets, current pricing conventions, the most common pricing algorithms and an introduction to some interest rate and credit derivative products. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | None |
| Displayed in Visiting Students Prospectus? | No |
Course Delivery Information
|
| Delivery period: 2012/13 Block 2 (Sem 1), Available to all students (SV1)
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WebCT enabled: Yes |
Quota: None |
| Location |
Activity |
Description |
Weeks |
Monday |
Tuesday |
Wednesday |
Thursday |
Friday |
| No Classes have been defined for this Course |
| First Class |
First class information not currently available |
| No Exam Information |
Summary of Intended Learning Outcomes
1. Knowledge of fixed income assets, derivatives and market conventions.
2. Ability to apply interest rate calculations to fixed income products.
3. Understanding of modelling requirements for pricing and analysing fixed income assets.
4. Understanding of yield curve concepts and modelling frameworks.
5. Understanding of recovery modelling frameworks.
6. Understanding of credit modelling frameworks.
7. Understanding of liquidity modelling frameworks.
8. Ability to implement financial models. |
Assessment Information
| Continuous assessment 100% |
Special Arrangements
| None |
Additional Information
| Academic description |
Not entered |
| Syllabus |
Not entered |
| Transferable skills |
Not entered |
| Reading list |
Not entered |
| Study Abroad |
Not entered |
| Study Pattern |
Not entered |
| Keywords | FMB |
Contacts
| Course organiser | Dr Julian Hall
Tel: (0131 6)50 5075
Email: |
Course secretary | Mrs Frances Reid
Tel: (0131 6)50 4883
Email: |
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