# BSc Actuarial Science and Mathematics / Course details

Year of entry: 2022

## Course unit details:Financial Mathematics for Actuarial Science 2

Unit code MATH20951 10 Level 2 Semester 1 Department of Mathematics 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.

• 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

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.