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2017/18 Undergraduate Module Catalogue
MATH2515 Financial Mathematics 2
10 creditsClass Size: 240
Module manager: Dr Graham Murphy
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
ObjectivesIntroduction 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
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.
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
|Delivery type||Number||Length hours||Student hours|
|Private study hours||69.00|
|Total Contact hours||31.00|
|Total hours (100hr per 10 credits)||100.00|
Private studyConsolidation 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 FeedbackAssessment of success on example sheets.
Contact during tutorials.
Methods of assessment
|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.
|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 listThe reading list is available from the Library website
Last updated: 26/04/2017
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