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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