300-204 Financial Mathematics II

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300-204 Financial Mathematics II
Credit Points	12.5
Coordinator	R M Fitzherbert
Prerequisites	300-203 Financial Mathematics I and 620-201 Probability.
Semester	2 (view timetable)
Contact	Two 1-hour lectures and a 1-hour tutorial per week
Subject Description	Topics include discount valuation of index-linked bonds and forward contracts; term structure of interest rates; duration and convexity; discounted cash flow techniques; distributions of accumulations and present values; stochastic simulation; time series models.
Generic Skills	High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; use of computer software.
Assessment	A 2-hour end-of-semester examination (70%), two assignments totalling not more than 2000 words (20%), and a 45 minute mid-semester examination (10%). Satisfactory completion of this subject requires a 50% pass in the end of semester examination.

Search : Index : Faculty of Economics and Commerce : Actuarial Studies
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Status:                   Official 2007
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