STATS 722 Financial Mathematics

Below description edited in year: 2011

Points: 15

Prereqs: 15 points in Stage 2 Statistics and 15 points in Stage 2 Mathematics or B+ in BIOSCI 209

Restrictions: STATS 370

Credit: Final exam= 75%, coursework= 25% (1 test worth 15% and assignments worth 10%) or Final exam= 100%. Must obtain at least 50% in final exam to pass

Textbooks: None. Handouts will be given out

For Advice: David Scott (Email: d.scott@auckland.ac.nz | extn: 85055)

Taught: Second Semester City

Website: STATS 722 website

This course includes the material in STATS 370. It is intended for postgraduate students who have not already passed STATS 370.

STATS 722 is an extended version of STATS 370. This course is suitable for Finance majors who want to learn more about the more mathematical aspects of the subject and for Statistics or Mathematics majors wanting to learn about Finance.

Topics studied include: An introduction to stochastic differential equations and their solutions; mean-variance portfolio theory; options, arbitrage and put-call relationships; introduction of binomial and Black-Scholes option pricing models; compound interest, annuities, capital redemption policies, valuation of securities, sinking funds; varying rates of interest, taxation; duration and immunisation; introduction to life annuities and life insurance mathematics.

Disclaimer:
Although every reasonable effort is made to ensure accuracy, this information for the course year (2012), is provided as a general guide only for students and is subject to alteration. All students enrolling at the University of Auckland must consult its official document, the University of Auckland Calendar, to ensure that they are aware of and comply with all regulations, requirements and policies.