Postgraduate Course: Financial Mathematics and Investment (MATH11048)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Course type | Standard |
Availability | Not available to visiting students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 10 |
| Home subject area | Mathematics |
Other subject area | Operational Research |
| Course website |
http://student.maths.ed.ac.uk |
Taught in Gaelic? | No |
| Course description | This course is available only to students on the 'Financial Operational Research' Degree Programme.
The need to produce models in Finance that are as close to reality as possible has required the use of advanced mathematics and stochastic analysis. This course explores the basic theory of Financial Mathematics and considers important applications in finance and investment. The following topics are covered.
Introduction to financial derivatives, futures and forwards, options, option strategies.
Revision of probability, expectation, variance, covariance
and correlation, binomial and normal distribution, central limit theorem.
Time value of money, compound interest and discounting, equation of value.
Duration, convexity and immunisation of a portfolio.
Compound interest functions including annuities certain.
General loan schedule, comparison of investment projects.
Binomial trees and basic option pricing techniques in discrete time, limit of the Cox-Ross-Rubinstein model.
Brief introduction to Brownian Motion and Ito's formula,
Black-Scholes option pricing formula and its properties.
Different types of security (equities, debentures, index-linked stocks), stocks issued by governments, public bodies and limited companies. The term to maturity, perpetuities, prices and yields allowing for the possibility of default. Taxation. Needs of different investors, particularly pension funds. |
Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
|
Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Course Delivery Information
|
| Delivery period: 2014/15 Semester 1, Not available to visiting students (SS1)
|
Learn enabled: Yes |
Quota: None |
|
Web Timetable |
Web Timetable |
| Course Start Date |
15/09/2014 |
| Breakdown of Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 25,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
71 )
|
| Additional Notes |
|
| Breakdown of Assessment Methods (Further Info) |
Written Exam
100 %,
Coursework
0 %,
Practical Exam
0 %
|
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S2 (April/May) | | 2:00 | |
Summary of Intended Learning Outcomes
1. Knowledge of basic financial concepts.
2. Ability to apply basic probability theory in financial models.
3. Understanding of issues in actuarial mathematics.
4. Understanding of basic financial derivative instruments.
5. Understanding of option pricing in discrete time.
6. Familiarity with the Black-Scholes formula.
7. Understanding of some practical aspects of equities and bonds.
|
Assessment Information
| See 'Breakdown of Assessment Methods' and 'Additional Notes' above. |
Special Arrangements
| MSc Financial Operational Research students only. |
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 | FMI |
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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