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DEGREE REGULATIONS & PROGRAMMES OF STUDY 2014/2015
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DRPS : Course Catalogue : School of Mathematics : Mathematics

Undergraduate Course: Financial Mathematics (MATH10003)

Course Outline
SchoolSchool of Mathematics CollegeCollege of Science and Engineering
Credit level (Normal year taken)SCQF Level 10 (Year 3 Undergraduate) AvailabilityAvailable to all students
SCQF Credits10 ECTS Credits5
SummaryOptional 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.
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
Information for Visiting Students
Pre-requisitesNone
Course Delivery Information
Academic year 2014/15, 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 Mathematics2:00
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.
Reading List
http://www.readinglists.co.uk
Additional Information
Course URL https://info.maths.ed.ac.uk/teaching.html
Graduate Attributes and Skills Not entered
Study Abroad Not Applicable.
KeywordsFiM
Contacts
Course organiserDr Goncalo Dos Reis
Tel: (0131 6)51 7677
Email: g.dosreis@ed.ac.uk		 Course secretaryMrs Kathryn Mcphail
Tel: (0131 6)50 4885
Email: k.mcphail@ed.ac.uk
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