Undergraduate Course: Financial Mathematics (MATH10003)

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 10 (Year 3 Undergraduate)	Credits	10
Home subject area	Mathematics	Other subject area	Specialist Mathematics & Statistics (Honours)
Course website	https://info.maths.ed.ac.uk/teaching.html	Taught in Gaelic?	No
Course description	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.

Entry Requirements (not applicable to Visiting Students)
Pre-requisites	Students MUST have passed: Several Variable Calculus and Differential Equations (MATH08063) AND Fundamentals of Pure Mathematics (MATH08064) AND ( Probability (MATH08066) OR Probability with Applications (MATH08067))	Co-requisites
Prohibited Combinations		Other requirements	None
Additional Costs	None

Information for Visiting Students
Pre-requisites	None
Displayed in Visiting Students Prospectus?	Yes

Course Delivery Information

Delivery period: 2013/14 Semester 1, Available to all students (SV1)			Learn enabled: Yes	Quota: None
Web Timetable	Web Timetable
Course Start Date	19/09/2013
Breakdown of 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 )
Additional Notes
Breakdown of Assessment Methods (Further Info)	Written Exam 95 %, Coursework 5 %, Practical Exam 0 %
Exam Information
Exam Diet	Paper Name	Hours:Minutes
Main Exam Diet S2 (April/May)	MATH10003 Financial Mathematics	2:00

Delivery period: 2013/14 Semester 1, Part-year visiting students only (VV1)			Learn enabled: Yes	Quota: None
Web Timetable	Web Timetable
Course Start Date	19/09/2013
Breakdown of Learning and Teaching activities (Further Info)	Total Hours: 100 ( Lecture Hours 22, Seminar/Tutorial Hours 5, Summative Assessment Hours 2, Programme Level Learning and Teaching Hours 2, Directed Learning and Independent Learning Hours 69 )
Additional Notes
Breakdown of Assessment Methods (Further Info)	Written Exam 95 %, Coursework 5 %, Practical Exam 0 %
Exam Information
Exam Diet	Paper Name	Hours:Minutes
Main Exam Diet S1 (December)	Financial Mathematics (Visiting Students Semester 1 only)	2:00

Summary of Intended 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.

Assessment Information
See 'Breakdown of Assessment Methods' and 'Additional Notes' above.

Special Arrangements
None

Additional Information
Academic description	Not entered
Syllabus	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.
Transferable skills	Not entered
Reading list	http://www.readinglists.co.uk
Study Abroad	Not Applicable.
Study Pattern	See 'Breakdown of Learning and Teaching activities' above.
Keywords	FiM

Contacts
Course organiser	Dr Lukasz Szpruch Tel: (0131 6)50 5742 Email: L.Szpruch@ed.ac.uk	Course secretary	Mrs Kathryn Mcphail Tel: (0131 6)50 4885 Email: k.mcphail@ed.ac.uk