UniMelb UGHB96 : 300-203 Mathematics in the Financial World

Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 192) Actuarial Studies subject : Next:300-302 | Prev:300-101 | Search | Help

300-203 Mathematics in the Financial World

Year 2 Actuarial Studies.

Credit points: 12.5

Coordinator: Ms Margaret Atkinson.

Prerequisite: 617-160 Scientific Programming and Statistics, 617-101 Mathematics 1A.

Contact: Three 1-hour lectures and a one-hour tutorial.

Timetable: First semester

Objectives:

On completion of the subject, students will be able to:

calculate the present value and the accumulated value of a stream of equal or unequal payments using specified rates of interest;
show how interest rates or discount rates may be expressed in terms of different time periods;
analyse compound interest problems and solve an equation of value for the implied rate of interest;
show how discounted cash flow techniques can be used in project appraisal, with an allowance for taxation;
show an understanding of simple stochastic interest rate models; and
evaluate the liabilities under a capital redemption contract or annuity certain, in terms of emerging costs and in terms of present values, for the purposes of product pricing and for the purposes of reserving.

Content:

Valuation of annuities certain; loans repayable by instalments of principal and interest; valuation of financial securities using Makeham's formula; the effect of income and capital gains taxes; discounted cash flow; the determination of yield; methods used to assess alternative investments; reinvestment rate models.

Assessment:

A 3-hour final examination (85%)and two 1-hour examinations during the semester (15 per cent).

Prescribed texts:

McCutcheon J J and Scott W An Introduction to the Mathematics of Finance Heinemann

Actuarial Studies subject : Next:300-302 | Prev:300-101 | Search | Help Handbook 1996 : Faculty of Economics and Commerce (Volume 3 page 192)

Status:          Official 1996
Date created:    Oct  9 1995
Last modified:   Oct  9 1995
Authorised by:   Academic Registrar
Email enquiries: Course_Information@registrar.unimelb.edu.au

Maintained by:   Dept. of Actuarial Studies, Faculty of Economics and Commerce.