BSc Actuarial Science and Mathematics

Year of entry: 2022

Course unit details:
Financial Mathematics for Actuarial Science 2

Unit code MATH20951
Credit rating 10
Unit level Level 2
Teaching period(s) Semester 1
Offered by Department of Mathematics
Available as a free choice unit? No

Overview

This course unit covers methods of describing, assessing and comparing financial projects and investments under a range of conditions relevant to actuarial science.

Pre/co-requisites

Unit title Unit code Requirement type Description
Financial Mathematics for Actuarial Science 1 MATH10951 Pre-Requisite Compulsory
MATH20951 pre-requisites

For students on the Actuarial Science and Mathematics programme only.

Aims

This course unit aims to develop knowledge and skills regarding the mathematics involved in financial transactions, in the context of actuarial science.

Learning outcomes

Upon completion of this cousre unit, students will be able to:

  • Assess and compare financial projects by calculating yields, discounted payback periods, and accumulated profits.
  • Analyze the effects of coupon rate, tax, and redemption date on the prices and yields of fixed interest securities.
  • Construct portfolios to determine the price of a forward contract.
  • Examine whether a pension fund can be immunized, by evaluating functions of its assets and liabilities.
  • Identify relationships between known and unknown information on spot rates, forward rates, and par yields.
  • Apply properties of probability distributions to quantify future values of financial investments, when the interest rate is a random variable.

Syllabus

This unit explores some further simple financial topics from a mathematical perspective.

  • Finance and the Actuarial Profession
  • Assessing and Comparing Financial Projects
  • Fixed Interest Securities
  • Types of Investments
  • Arbitrage
  • Effect of Term
  • Stochastic Models

Employability skills

Other
The skills and knowledge developed in this course unit are of a direct relevance to careers in actuarial and financial professions, as well as being transferable to a range of other numerate disciplines. This course unit includes activities involving the use of computational and graphical software to solve mathematical problems in the context of financial applications.

Assessment methods

Method Weight
Other 20%
Written exam 80%
  • Coursework: one coursework assignment, weighting within unit 20%.
  • Examination at end of semester 1, weighting within unit 80%.

Feedback methods

Feedback tutorials will provide an opportunity for students' work to be discussed and provide feedback on their understanding.  The in-coursework also provides an opportunity for students to receive feedback.  Students can also get feedback on their understanding directly from the lecturer, for example during the lecturer's office hour.

Recommended reading

  • S.J. Garrett, "An Introduction to the Mathematics of Finance: a Deterministic Approach," Butterworth-Heinemann, 2013.
  • J.J. McCutcheon & W.F. Scott, "An Introduction to the Mathematics of Finance," Butterworth-Heinemann, 1986.
  • P. Zima & R.L. Brown, "Schaum's Outline - Mathematics of Finance," McGraw-Hill, 2011.
  • "Core Reading for the 2019 exams - CM1 Actuarial Mathematics" (formerly: "CT1 Financial Mathematics"), Institute and Faculty of Actuaries, 2018.

    Study hours

    Scheduled activity hours
    Lectures 11
    Tutorials 11
    Independent study hours
    Independent study 78

    Teaching staff

    Staff member Role
    Neil Morrison Unit coordinator

    Additional notes

    The independent study hours will normally comprise the following. During each week of the taught part of the semester:

    ·         You will normally have approximately 60-75 minutes of video content. Normally you would spend approximately 2-2.5 hrs per week studying this content independently

    ·         You will normally have exercise or problem sheets, on which you might spend approximately 1.5hrs per week

    ·         There may be other tasks assigned to you on Blackboard, for example short quizzes or short-answer formative exercises

    ·         In some weeks you may be preparing coursework or revising for mid-semester tests

    Together with the timetabled classes, you should be spending approximately 6 hours per week on this course unit.

    The remaining independent study time comprises revision for and taking the end-of-semester assessment.

    The above times are indicative only and may vary depending on the week and the course unit. More information can be found on the course unit’s Blackboard page.

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