Postgraduate Course: Investment Mathematics (CMSE11106)
Course Outline
| School | Business School |
College | College of Humanities and Social Science |
| Course type | Standard |
Availability | Available to all students |
| Credit level (Normal year taken) | SCQF Level 11 (Postgraduate) |
Credits | 15 |
| Home subject area | Common Courses (Management School) |
Other subject area | None |
| Course website |
None |
Taught in Gaelic? | No |
| Course description | The course is concerned with the mathematics relating to financial investment in equities, bonds, options and other securities. Discussion of academic theory is combined with an emphasis on practical application. The intention is to equip students with a grounding in the mathematical concepts and tools which will help them cope in the increasingly sophisticated financial markets. The course will be suitable for students without a background in investment mathematics. Further reading will be provided for those with prior knowledge of the subject.
The first three weeks of the course concentrate mainly on a deterministic approach to the fundamental valuation and analysis of basic investments from a mathematical viewpoint, relying heavily on compound interest techniques. A number of more advanced specialist mathematical topics in investment are then discussed in subsequent weeks including mean-variance portfolio theory, asset pricing models, stochastic modelling and option pricing models.
Excel applications of the topics introduced will not be covered in the course but are briefly discussed in the required text Investment Mathematics. Those students wishing to implement the material using Excel are referred to the book Financial Modeling by Benninga (MIT Press, 2008).
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Entry Requirements (not applicable to Visiting Students)
| Pre-requisites |
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Co-requisites | |
| Prohibited Combinations | |
Other requirements | None |
| Additional Costs | None |
Information for Visiting Students
| Pre-requisites | Business School Postgraduate Students Only |
| Displayed in Visiting Students Prospectus? | No |
Course Delivery Information
| Not being delivered |
Summary of Intended Learning Outcomes
KNOWLEDGE AND UNDERSTANDING
By the end of the course, students should have an understanding of the underlying mathematics relating to:
Building Block Skills
> Compound interest calculations
> Fixed-income bond analysis
> Index-linked bond analysis
> Equity valuation and duration
> Real estate valuation
> Measures of investment risk
Advanced Topics
> Mean-variance portfolio theory
> Asset pricing models
> Stochastic modelling
> Option pricing models
INTELLECTUAL SKILLS AND PERSONAL DEVELOPMENT
Cognitive Skills:
On completion of the course students should have demonstrated that they are able to:
* follow complex lines of argument
* show ability in mathematical reasoning
Key Skills:
On completion of the course students should be able to:
* demonstrate an ability to solve quantitative problems
* communicate effectively in tutorials |
Assessment Information
| There is a group assignment which counts for 30% of the total marks and a final two hour examination which counts for 70% of the total marks. |
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 | Not entered |
Contacts
| Course organiser | |
Course secretary | Ms Natalie Honeyman
Tel: (0131 6)51 1458
Email: Natalie.Honeyman@ed.ac.uk |
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