This module is not currently running in 2024 to 2025.
Indicative topics are:
• Interest rates and discount factors
• Time value of money
• Level annuities, increasing annuities, and perpetuities.
• Valuation of investments, net present value, internal rates of return.
• Term structure of interest rates.
• Stochastic interest models for investment returns.
• Foreign currency investments.
• Modern portfolio theory and asset pricing.
• Optimal consumption / portfolio Strategies. Utility Maximization in discrete/continuous time. Utility indifference pricing and hedging. Market indices. Portfolio performance measurement. Bond analysis. Option pricing
models. Stochastic investment models.
Total contact hours: 37
Private study hours: 113
Total study hours: 150
Main assessment methods
Individual Essay (2000 words) (40%)
Examination, 2 hours (60%)
Adams, A., Booth, P., Bowie D., & Freeth D. (2003). Investment Mathematics. Chichester: John Wiley & Sons.
Cvitani´c, J., & Zapatero, F. (2004). Introduction to the Economics and Mathematics of Financial Markets. Boston, Mass: Massachusetts Institute of Technology.
Voitle, J. (2002) Vault Guide to Advanced Finance and Quantitative Interviews. New York: Vault Inc.
Wilmott, P. (2007). Paul Wilmott on Quantitative Finance. 2nd Edn. Chichester : John Wiley & Sons.
Wilmott, P. (2009). Frequently Asked Questions in Quantitative Finance. 2nd Edn. Chichester: John Wiley & Sons
See the library reading list for this module (Canterbury)
The intended subject specific learning outcomes.
On successfully completing the module students will be able to:
1 Show a systematic knowledge, understanding and critical awareness of financial mathematics theory.
2 Show a comprehensive understanding of the complex techniques applicable to solve mathematical problems in the area of finance.
3 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 successfully completing the module students will be able to:
1 Exhibit a logical mathematical approach to solving complex problems.
2 Exhibit skills in written communication to both technical and non-technical audiences.
3 Use relevant information technology.
4 Apply effective time management, organisation and studying so that tasks can be planned and implemented at a professional level.
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