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AM30FT Financial Mathematics Level: 6 Credits: 10 Teaching Period: 1 Module Tutor: Dr A K Chattopadhyay Aims: To understand the relevance of mathematics and statistics in financial modelling. In particular, to inspire in the student an aptitude towards analysing financial markets using relevant theoretical methods and models. Content: Interest, Financial Assets and Return: Mathematical preliminaries: mean, median, mode, variance, covariance Interests: simple and complex Saving with Variable Interest Rates Paying off a Loan with Variable Interest Rates Present and Future Values Annuities, amortisation and sinking funds Financial Bonds Portfolio Analysis and Derivatives: Mathematical preliminaries: correlation, regression, probability Basic mathematics of Options, Futures and other Derivatives. Portfolio theory Two parameter model, beta, capital asset prising model. Risk assessment (only basics) Teaching: Lectures 22 hours Tutorials 11 hours Self-study and examination 67 hours Assessment: Continuous Assessment: 10% Class Test Examination (1.5 hours): 90% Progress and feedbacks on the module will be given via Class Test evaluation and solutions of homework problems throughout the module. All such worked out solutions as well as class room lecture materials will be uploaded regularly on the Blackboard website. All provisional marks will be available within 4 weeks of the submission of the work. Combination of the Class Test and Final Examination will be the student mark. Module Outcomes Teaching/Learning What the stsudent should gain Methods from successful completion of the module Knowledge and Understanding Assessment Methods Lectures / Tutorials Class tests and Examination An appreciation of the context and historical development of financial mathematics. An understanding of the relevance of mathematics in financial modelling. EAS, Aston University – AM Module Specification 2010/11 Last update 09/9/11 An understanding of some of the mathematical models used in practice. Intellectual Skills Lectures / Tutorials Class tests and Examination Develop an ability to mathematically analyse financial bond option theory markets, using analytical and computational methods. Professional / Subject-specific Skills Lectures / Tutorials Class tests and Examination Implement, test and evaluate mathematical models. Apply mathematical models to real data analysis. Transferable Skills Self study Self assessment and tutorials Large scale data analysing ability Familiarity with appropriate mathematical architecture, including softwares Reading List Griffiths, H. Financial Investments, McGraw-Hill Ayres, F. Mathematics of Finance, McGraw-Hill (Schaum series) Ingersoll, J. Theory of Financial Decision Making, Rowan and Littlefield Ross, S. M. Mathematical Finance, Cambridge UP Wilmott, P and Rasmussen, H, New Directions in Mathematical Finance, John Wiley & Sons McCutcheon, J. J. and Scott, W. F. Introduction to the Mathematics of Finance, Butterworth-Heinemann. Puxty, A. G. and Colin Dodds, J. Financial Management, Chapman & Hall Brown, K. C. and Reilly, F. K. Investment Analysis and Portfolio Management, South-Western, Division of Thomson Learning Prerequisites AM10SP (Statistics and Probability) AM20MC (Multi Variate Calculus) AM20IM (Introduction to Numerical Methods) EAS, Aston University – AM Module Specification 2010/11 Last update 09/9/11