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Financial Mathematics II (ACTL20002)

Undergraduate level 2Points: 12.5On Campus (Parkville)

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Overview

Year of offer2019
Subject levelUndergraduate Level 2
Subject codeACTL20002
Campus
Parkville
Availability
Semester 2
FeesSubject EFTSL, Level, Discipline & Census Date

Topics include discount valuation of bonds and other assets including forward contracts; term structure of interest rates; duration and convexity; distributions of accumulations and present values; stochastic simulation; time series models

Intended learning outcomes

  • Perform compound interest calculations relating to financial assets, including the calculation of price and yield with and without allowance for default
  • Calculate rates of return on investment portfolios using methods employed by actuaries
  • Calculate duration and convexity of cash flow and demonstrate an understanding of the principles and limitations of immunisation
  • Show an understanding of spot rates, forward rates and the term structure of interest rates
  • Analyse compound interest problems at a more advanced level than in ACTL20001 Financial Mathematics I
  • Show an understanding of simple stochastic models for investment returns
  • Show an understanding of the application of simple time series models for investment returns
  • Apply pre-requisite mathematical and statistical concepts to the solution of problems on the above topics

Generic skills

  • High level of development: written communication; problem solving; statistical reasoning; application of theory to practice; use of computer software.

Eligibility and requirements

Prerequisites

Both of:

Code Name Teaching period Credit Points
ACTL20001 Financial Mathematics I
Semester 1
12.5
MAST20004 Probability
Semester 1
Semester 2
12.5

Corequisites

None

Non-allowed subjects

None

Recommended background knowledge

Please refer to Prerequisites and Corequisites.

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

Assessment

Description

  • A 2-hour end-of-semester examination (70%)
  • Two assignments totalling not more than 2000 words (20%)
  • A 45 minute mid-semester examination (10%)
  • To pass this subject students must pass the end of semester examination.

Dates & times

  • Semester 2
    Principal coordinatorJohnny Li
    Mode of deliveryOn Campus — Parkville
    Contact hoursTwo 1-hour lectures and a 1-hour tutorial per week
    Total time commitment170 hours
    Teaching period29 July 2019 to 27 October 2019
    Last self-enrol date 9 August 2019
    Census date31 August 2019
    Last date to withdraw without fail27 September 2019
    Assessment period ends22 November 2019

    Semester 2 contact information

Time commitment details

Estimated total time commitment of 170 hours.

Further information

  • Texts

    Prescribed texts

    You will be advised of prescribed texts by your lecturer.

    Recommended texts and other resources

    Compound Interest and its Applications, Fitzherbert and Pitt, 2013

  • Breadth options

    This subject is available as breadth in the following courses:

  • 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: 12 July 2019