Registry

Module Specifications

Current Academic Year 2012 - 2013
Please note that this information is subject to change.

Module Title	Financial Mathematics
Module Code	MS318
School	School of Mathematics
Online Module Resources
Module Co-ordinator	Semester 1: John Carroll Semester 2: John Carroll Autumn: John Carroll
Module Teacher	John Carroll
NFQ level	8	Credit Rating	7.5
Pre-requisite	None
Co-requisite	None
Compatibles	None
Incompatibles	None

Description

MS318 builds on the material of MS216 to provide students with a grounding in elements of financial mathematics and its related applications, particularly the calculation of present and accumulated values for various streams of cash flows. The course also provides an introduction to financial instruments, including derivatives, and the concept of `no arbitrage' as it relates to financial mathematics. The combined syllabi of MS216 and MS318 map fully onto the 14 objectives of CT1: Financial Mathematics.

Learning Outcomes

1. Demonstrate attainment of the learning outcomes of MS216: An Introduction to the Mathematics of Finance
2. Interpret and solve problems relating to real and money interest rates
3. Describe the investment and risk characteristics of certain types of asset available for investment purposes.
4. Describe and solve elementary compound interest problems.
5. Calculate the delivery price and the value of a forward contract using arbitrage free pricing methods.
6. Interpret and solve problems relating to the term structure of interest rates.
7. Interpret and solve problems relating to simple stochastic models for investment returns.

Workload	Full-time hours per semester
*Type*	*Hours*	*Description*
Lecture	36	Presentation of course material
Tutorial	11	Working from supplied tutorial sheets
Total Workload: 47

All module information is indicative and subject to change. For further information,students are advised to refer to the University's Marks and Standards and Programme Specific Regulations at: http://www.dcu.ie/registry/examinations/index.shtml

Indicative Content and Learning Activities

Review of MS216.
A review of the syllabus topics of MS216: An Introduction to the Mathematics of Finance, but also with the additional topics of variable force of interest and weighted rates of return (under Project Appraisal).CT1: (i) to (ix).

Investments.
Fixed interest borrowings by government and other bodies; shares and other equity-type finance; derivatives.CT1: (x).

Simple Compound Interest Problems.
Fixed Interest Securities; Running yields and redemption yields; present value or yield from an ordinary share or property;real rate of interest; index-linked bonds;income tax, capital gains tax and investments.CT1: (iv) & (xi).

Arbitrage & Forward Contracts.
Calculating the price with or without fixed income and dividend yield; value of a forward contract; hedging.CT1: (xii).

Term Structure of Interest Rates.
Yield (par and to maturity); spot and forward rates; duration, volatility and convexity; immunization.CT1: (xiii).

Stochastic Interest Rate Models.
Mean and variance of independent and identically distributed annual rates of return; log-normal distribution; probability calculations.CT1: (xiv).

Assessment Breakdown
Continuous Assessment	25%	Examination Weight	75%

Course Work Breakdown
Type	Description	% of total	Assessment Date
In Class Test	A 55-minute closed-book examination from a supplied set of questions.	25%	Week 10

Reassessment Requirement
Resit arrangements are explained by the following categories; 1 = A resit is available for all components of the module 2 = No resit is available for 100% continuous assessment module 3 = No resit is available for the continuous assessment component
This module is category 1

Indicative Reading List

ActEd Study Materials: 0, Subject CT1 Course Notes, Actuarial Education Company,
JJ McCutcheon and W E Scott: 1999, An Introduction to the Mathematics of Finance, Butterworth-Heinemann, 0 7506 0092

Other Resources

4736, Webpage, John Carroll, 0, MS318 Tutorial Sheets & Exam Papers, www.dcu.ie/~carrollj/ms318.html,

Array

Programme or List of Programmes

ACM

BSc Actuarial Mathematics

BSSA

Study Abroad (DCU Business School)

BSSAO

Study Abroad (DCU Business School)

ECSA

Study Abroad (Engineering & Computing)