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 300-203 Mathematics in the Financial World

Coordinator

Ms M Atkinson

Prerequisites

620-131 Scientific Programming and Simulation or 617-160 Scientific Programming and Statistics (1996 Handbook), 620-121 Mathematics 1A.

Semester

1

Contact

Three 1-hour lectures and a 1-hour tutorial

Subject Description

Compound interest functions; valuation of annuities certain; loans repayable by instalments; comparison of value and yield of cash flow transactions; valuation of fixed interest securities, with and without tax on interest and capital gains; duration and volatility of securities; introduction to concept of immunisation and matching; consumer credit contracts; introduction to stochastic interest rate models.

Assessment

A 3-hour final examination (85%) and a 2-hour mid-semester test (15%). Assignments during the semester are an integral part of the course, but are not included in formal assessment.

Prescribed Texts
  • McCutcheon J J and Scott W, An Introduction to the Mathematics of Finance. Heinemann.
Search : Index : Faculty of Economics and Commerce : Actuarial Studies
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Next 300-204 An Introduction to Stochastic Techniques in Financial Mathematics
 
Status:                   Official 1998
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Authorised by:            Academic Registrar
Email Enquiries:          Course_Information@registrar.unimelb.edu.au