Department of Statistics

STATS 370 Financial Mathematics

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Below description edited in year: 2018

Points: 15

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

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 distributed.

For Advice: Geoffrey Pritchard (Email: | extn: 87400), David Smith (Email: | extn: 85390)

Taught: Second Semester City

Website: STATS 370 website

STATS 370 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: Models for financial returns; pricing of options using binomial models and the Black-Scholes formula; mean-variance portfolio theory; 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.

Although every reasonable effort is made to ensure accuracy, this information for the course year (2019) 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.

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