Undergraduate Course: Financial Mathematics (MATH10003)
Course Outline
| School | School of Mathematics |
College | College of Science and Engineering |
| Credit level (Normal year taken) | SCQF Level 10 (Year 3 Undergraduate) |
Availability | Available to all students |
| SCQF Credits | 10 |
ECTS Credits | 5 |
| Summary | 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. |
| Course description |
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.
|
Information for Visiting Students
| Pre-requisites | None |
| High Demand Course? |
Yes |
Course Delivery Information
|
| Academic year 2015/16, Available to all students (SV1)
|
Quota: None |
| Course Start |
Semester 1 |
Timetable |
Timetable |
| Learning and Teaching activities (Further Info) |
Total Hours:
100
(
Lecture Hours 22,
Summative Assessment Hours 2,
Programme Level Learning and Teaching Hours 2,
Directed Learning and Independent Learning Hours
74 )
|
| Assessment (Further Info) |
Written Exam
95 %,
Coursework
5 %,
Practical Exam
0 %
|
| Additional Information (Assessment) |
Coursework 5%, Examination 95%
|
| Feedback |
Not entered |
| Exam Information |
| Exam Diet |
Paper Name |
Hours & Minutes |
|
| Main Exam Diet S1 (December) | MATH10003 Financial Mathematics | 2:00 | |
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.
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Reading List
| http://www.readinglists.co.uk |
Contacts
| Course organiser | Dr Goncalo Dos Reis
Tel: (0131 6)51 7677
Email: |
Course secretary | Mr Brett Herriot
Tel: (0131 6)50 4885
Email: |
|
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