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Mathematics of Finance I (ACTL90001)
Graduate courseworkPoints: 12.5On Campus (Parkville)
About this subject
- Overview
- Eligibility and requirements
- Assessment
- Dates and times
- Further information
- Timetable(opens in new window)
Contact information
Semester 1
Email: pche@unimelb.edu.au
Overview
Availability | Semester 1 |
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Fees | Look up fees |
Topics include compound interest functions; valuation of a series of payments, including where the cash flows and/or the force of interest are continuous functions of time; equations of value; loans repayable by instalments; characteristics of major asset types; and discount valuation of fixed interest securities, ordinary shares and property, including effects of tax; discount valuation of index-linked bonds and forward contracts; term structure of interest rates; duration and convexity; discounted cash flow techniques; distributions of accumulations and present values.
Intended learning outcomes
On successful completion of this subject a student should be able to:
- Apply relevant pre-requisite mathematical knowledge in the solution of a range of practical problems;
- Describe and apply the main methods of finding the accumulation or present value of money under simple and compound interest and discount;
- Derive and apply formulae to calculate the accumulation or present value of a series of payments, including the cases of continuous payments and variable interest rates;
- Analyse and solve equations of value for rates of interest;
- Calculate rates of return on investment portfolios using methods employed by actuaries;
- Construct and analyse a loan schedule, including cases when terms of a loan are altered;
- Analyse financial aspects of projects using discounted cash flow techniques;
- Explain the key features of the main types of financial assets, including shares, bonds, property and derivatives;
- Perform compound interest calculations relating to financial assets, including the calculation of price and yield;
- Calculate the delivery price and the value of a forward contract using arbitrage free pricing methods;
- Perform calculations relating to the term structure of interest rates;
- Derive results for simple stochastic models for investment returns, and apply these results.
Generic skills
High level of development:
- Written communication
- Problem solving
- Application of theory to practice
- Synthesis of data and other information
- Use of computer software
Last updated: 3 November 2022
Eligibility and requirements
Prerequisites
Students who have not previously studied probability theory must take MAST20004 Probability (may be taken concurrently with this subject).
Code | Name | Teaching period | Credit Points |
---|---|---|---|
MAST20004 | Probability | Semester 1 (On Campus - Parkville) |
12.5 |
Corequisites
None
Non-allowed subjects
None
Recommended background knowledge
- Students should have a background in mathematics
- Students should be competent in the use of Excel
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 3 November 2022
Assessment
Additional details
- 1000 word assignment due week 11 (10%);
- A one hour mid-semester test due week 10 (20%) and
- A two hour end of semester exam (70%).
- Hurdle requirement: Successful completion of this subject requires a pass (50%) in the final exam.
Last updated: 3 November 2022
Dates & times
- Semester 1
Principal coordinators Ping Chen and Ping Chen Mode of delivery On Campus (Parkville) Contact hours A 2 hour seminar and a 1 hour workshop per week Total time commitment 170 hours Teaching period 26 February 2018 to 27 May 2018 Last self-enrol date 9 March 2018 Census date 31 March 2018 Last date to withdraw without fail 4 May 2018 Assessment period ends 22 June 2018 Semester 1 contact information
Email: pche@unimelb.edu.au
Time commitment details
Estimated total time commitment of 170 hours per semester
Last updated: 3 November 2022
Further information
- Texts
Prescribed texts
Compound Interest and its applications, Fitzherbert and Pitt, 2013.
- Related Handbook entries
This subject contributes to the following:
Type Name Course Graduate Diploma in Actuarial Science Course Master of Actuarial Science - Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 3 November 2022