Undergraduate Course: Financial Mathematics (Ord) (MATH09007)
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 09 (Year 3 Undergraduate) |
Credits |
10 |
Home subject area |
Mathematics |
Other subject area |
Specialist Mathematics & Statistics (Ordinary) |
Course website |
http://student.maths.ed.ac.uk |
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Course description |
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. |
Course Delivery Information
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.
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Assessment Information
Coursework: 15%; Degree Examination: 85%.
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Please see Visiting Student Prospectus website for Visiting Student Assessment information |
Special Arrangements
Not entered |
Contacts
Course organiser |
Dr Bruce Worton
Tel: (0131 6)50 4884
Email: Bruce.Worton@ed.ac.uk |
Course secretary |
Mrs Katherine Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk |
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copyright 2010 The University of Edinburgh -
1 September 2010 6:18 am
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