This module is not currently running in 2021 to 2022.
The module covers mathematical techniques used in general areas of finance as well as in investment. Its focus is on the application of such techniques and mathematical models to quantitative finance.
The syllabus includes interest rates, time value of money, annuities, investment valuation, fixed income instruments, stochastic models for investment returns, modern portfolio theory and asset pricing, optimal consumption/portfolio strategies, and bond analysis.
36 hours of lectures and example classes.
Adams, A., Booth, P., Bowie, D., & Freeth, A. (2003). Investment Mathematics, John Wiley & Sons.
Cvitani'c, J., & Zapatero, F. (2004). Introduction to the Economics and Mathematics of Financial Markets. Massachusetts Institute of Technology.
Wilmott, P. (2006). Paul Wilmott on Quantitative Finance. John Wiley & Sons
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes. On successful completion of the module students will be able to:
a. show a systematic knowledge, understanding and critical awareness of the financial theory;
b. to show a comprehensive understanding of the complex techniques applicable to solve problems;
c. to appreciate recent developments and methodologies in financial mathematics and the links between the theory of financial mathematics and their practical application and to critically evaluate such methodologies.
The intended generic learning outcomes. On successful completion of the Module, students will have:
a. developed a logical mathematical approach to solving complex problems
b. developed skills in written communication to both technical and non-technical audiences
c. developed skills in the use of relevant information technology
d. developed skills in time management, organisation and studying so that tasks can be planned and implemented at a professional level.
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