F78AB Actuarial and Financial Mathematics

Dr Giovanni RabittiDr Karamjeet SinghDr Larry O’BrienDr Andres Barajas Paz

Course co-ordinator(s): Dr Giovanni Rabitti (Edinburgh), Dr Karamjeet Singh (Malaysia), Dr Larry O’Brien (Malaysia), Dr Andres Barajas Paz (Dubai).

Aims:

To introduce the student to more advanced mathematical models of cashflows accumulated or discounted at interest, and to develop skill in applying these models to real financial contracts and transactions.

Detailed Information

Course Description: Link to Official Course Descriptor.

Pre-requisites: none.

Linked course(s): F78AA Actuarial and Financial Mathematics A .

Location: Dubai, Edinburgh, Malaysia.

Semester: 2.

Syllabus:

  • Nominal rates of interest
  • Force of interest and continuous cash flows
  • Duration and Redington's theory of immunization
  • The term structure of interest rates
  • Forward contracts

Reading list:

  • Garrett, S.J. (2013): An Introduction to the Mathematics of Finance: A Deterministic Approach. Oxford: Butterworth-Heinemann/Elsevier.
  • Formulae and Tables for Actuarial Examinations (“Yellow Tables”). Published for the Institute and the Faculty of Actuaries.

SCQF Level: 8.

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