Course co-ordinator(s): Ian Sharpe (Edinburgh).
Aims:
This course aims to provide postgraduate students with a broad knowledge of basic concepts in financial mathematics including interest rates, arbitrage, stochastic interest rates, inflation and continuous cash flows.
Summary:
- Introduction
- Rates of interest and discount
- Present values, equations of values and yields
- Annuities
- Loan schedules
- Project appraisal
- The yield on a fund
- Fixed interest securities
- Index-linked securities
- Forward contracts
- The term structure of interest rates
- Stochastic interest rate models
Detailed Information
Course Description: Link to Official Course Descriptor.
Pre-requisites: none.
Location: Edinburgh.
Semester: 1.
Reading list:
McCutcheon, J.J. & Scott, W.F. (1995): An Introduction to the Mathematics of Finance. Published for the Institute and the Faculty of Actuaries.
Formulae and Tables for Actuarial Examinations. Published for the Institute and the Faculty of Actuaries.
Hull, J. C. (2000): Options, Futures, and Other Derivatives. 4th ed. Prentice Hall.
SCQF Level: 11.
Credits: 15.
Other Information
Help: If you have any problems or questions regarding the course, you are encouraged to contact the course leader.
Canvas: further information and course materials are available on Canvas