Financial and Investment Mathematics

Transcription

1 MODULE SPECIFICATION UNDERGRADUATE PROGRAMMES KEY FACTS Module name Financial and Investment Mathematics Module code AS1201 School Cass Business School Department or equivalent UG Programme UK credits 30 ECTS 15.0 Level 4 Delivery location (partnership programmes only) MODULE SUMMARY Module outline and aims The work which actuaries do often involves placing a value now on a series of payments which are to be made in the future. This module is key to understanding how actuaries can do this in practice. In other words, this module will allow you to understand how we can use compound interest theory to assess the value of investments and projects which are taking place over a period of time. If you do well enough in this module then you will be recommended for exemption from the Actuarial Professions CT1 exam. This module aims to: - Provide a grounding in financial mathematics and its simple applications - Introduce and enable you to apply some of the mathematical techniques which are necessary for the analysis of investments - Introduce relevant concepts from probability and statistics, and apply them to investment analysis. Content outline 1. Time value of money using compound interest and discounting. 2. Present values and accumulated values. 3. Interest rates and discount rates for different time periods. 4. Compound interest functions. 5. Equations of value. 6. Project appraisals using discounted cash-flow techniques. 7. Investment valuation.

2 8. Real returns; index-linked bonds. 9. Yield curves; spot and forward interest rates. 10. Stochastic interest rate models. 11. Immunisation. WHAT WILL I BE EXPECTED TO ACHIEVE? On successful completion of this module, you will be expected to be able to: Knowledge and understanding: - Understand how payments can be accumulated and discounted at different rates of interest - Be aware of the different asset classes available to institutional investors, and know how to value such assets - Understand how market rates of interest (eg spot rates and forward rates) can be used to value investments Skills: - Be able to calculate time weighted and money weighted rates of return - Be able to determine the repayments due under different types of loan structures - Use the theory of immunisation to choose suitable assets to match the liabilities Values and attitudes: - Appreciate the role of the actuary in placing fair present values on assets and liabilities - Demonstrate awareness of the limitations of using various different weighted rates of returns to assess the skills of investment managers HOW WILL I LEARN? There will be four of lectures in odd weeks of term, and two in even weeks. These lectures will be a mixture of theory, worked examples and examples for students to try in class. In addition, tutorial sheets will be handed out regularly, the solutions to which will be covered in a weekly examples class. Teaching pattern: Teaching Teaching Contact Self- Placement Total

3 component type directed study Lectures Lecture Tutorials Tutorial TOTALS: WHAT TYPES OF ASSESSMENT AND FEEDBACK CAN I EXPECT? Assessments student learning There will be four individual online tests, each worth 3% of the total mark. In addition, there will be a progress test in January worth 8% of the total mark. The final exam will be worth 80% of the total mark. Assessment pattern: Assessment component Coursework Examination Assessment criteria Assessment type Written assignment, including essay Written Exam Weighting Minimum qualifying mark Pass/Fail? N/A N/A Assessment Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate in order to complete an assessment successfully and Grade-Related Criteria are descriptions of the skills, knowledge or attributes students need to demonstrate to achieve a certain grade or mark in an assessment. Assessment Criteria and Grade-Related Criteria for module assessments will be made available to students prior to an assessment taking place. More information will be available from the module leader. Feedback on assessment Following an assessment, students will be given their marks and feedback in line with the Assessment Regulations and Policy. Online tests will be submitted online using Moodles Assignment tool. Test results and outline solutions will be uploaded to Moodle within 3 weeks of each test. Scripts for the January progress test will be marked and returned within 3 weeks of the test. Outline solutions will be uploaded to Moodle soon after the scripts have been returned.

4 Assessment Regulations The Pass mark for the module is 40%. Any minimum qualifying marks for specific assessments are listed in the table above. The weighting of the different components can also be found above. The Programme Specification contains information on what happens if you fail an assessment component or the module. INDICATIVE READING LIST An Introduction to the Mathematics of Finance, McCutcheon & Scott (Heinemann, 1987). Investment Mathematics and Statistics, Adams, Bloomfield, Booth & England (Kluwer, 1993). Core Reading for Subject CT1, Institute/Faculty of Actuaries. Version: 2.0 Version date: July 2013 For use from:

5 Appendix: see for the full list of JACS codes and descriptions CODES HESA Code Description Price Group 24 Mathematics C JACS Code Description Percentage (%) N323 The application of statistical concepts within the financial industry. 100