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2017/18 Undergraduate Module Catalogue

MATH2515 Financial Mathematics 2

10 creditsClass Size: 240

Module manager: Dr Graham Murphy
Email: G.J.Murphy@leeds.ac.uk

Taught: Semester 1 (Sep to Jan) View Timetable

Year running 2017/18

Pre-requisite qualifications

(MATH1510 or LUBS1035) and (MATH1710 or MATH1715 or LUBS1280)

This module is approved as a discovery module

Module summary

*

Objectives

Introduction to financial assets, term structure of interest rates and no-arbitrage pricing with particular emphasis on futures and forward contracts. For exemptions from actuarial exams, please see http://www.mathsstudents.leeds.ac.uk/careers-employment/exemption-from-professional-exams.html

Learning outcomes
On completion of this module, students should be able to understand the role of different financial assets, the term structure of interest rates and the principle of no-arbitrage pricing. They should be able to apply these concepts to the valuation of futures and forward contracts.

Syllabus

1. Introduction to financial investments, financial assets
2. Forward contracts. No-arbitrage pricing of forward and futures contracts (without and with dividends)
3. Term structure of interest rates, discount factors, zero-coupon bonds. Present value of a cashflows sequence.
4. Coupon bonds. Duration, convexity of a cashflow sequence
5. Portfolio immunization
6. Stochastic interest rate models

Teaching methods

Delivery type	Number	Length hours	Student hours
Lecture	22	1.00	22.00
Tutorial	9	1.00	9.00
Private study hours			69.00
Total Contact hours			31.00
Total hours (100hr per 10 credits)			100.00

Private study

Consolidation of course notes and background reading:

- Faculty/Institute of Actuaries "CT 1 Financial Mathematics"
- J. C. Hull "Options, Futures, and other Financial Derivatives"

Opportunities for Formative Feedback

Assessment of success on example sheets.
Contact during tutorials.

Methods of assessment

Coursework

Assessment type	Notes	% of formal assessment
In-course Assessment	Exercise Sheets	15.00
Total percentage (Assessment Coursework)		15.00

There is no resit available for the coursework component of this module. If the module is failed, the coursework mark will be carried forward and added to the resit exam mark with the same weighting as listed above.

Exams

Exam type	Exam duration	% of formal assessment
Standard exam (closed essays, MCQs etc)	2 hr 00 mins	85.00
Total percentage (Assessment Exams)		85.00

Normally resits will be assessed by the same methodology as the first attempt, unless otherwise stated

Reading list

The reading list is available from the Library website

Last updated: 26/04/2017

Disclaimer

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