MATHEMATICS (TURKISH, PHD) | |||||
PhD | TR-NQF-HE: Level 8 | QF-EHEA: Third Cycle | EQF-LLL: Level 8 |
Course Code | Course Name | Semester | Theoretical | Practical | Credit | ECTS |
MAT5025 | Mathematical Finance | Fall | 3 | 0 | 3 | 8 |
The course opens with the approval of the Department at the beginning of each semester |
Language of instruction: | Tr |
Type of course: | Departmental Elective |
Course Level: | |
Mode of Delivery: | Face to face |
Course Coordinator : | Dr. GENCO FAS |
Course Objectives: | The purpose of this course is to give the student a background in the theory of interest, provide an understanding of cashflows and the ability to compare investment decisions. The course material is designed to meet the requirements of national and international exams of actuarial science. |
The students who have succeeded in this course; Students will learn how to apply compound interest theory to find the present value and accumulated value of cashflows, will know about types of annuities certain and will be able to evaluate yield rates and compare investment decisions. This course will also demonstrate how loan repayments can be determined and will treat some special products. |
Time value of money, simple and compound interest, accumulated value and present value, solution of interest problems, basic and general annuities, yield rates, amortisation tables and loan funds, discounted cashflow, capital redemption policies. |
Week | Subject | Related Preparation | |
1) | Measurment of Interest, accumulation and amount functions, effective rate of interest, simple and compound interest, present value, effective rate of discount, nominal rates of interest and discount. | ||
2) | Measurment of interest continued; forces of ineterest and discount, solution of problems in interest, equations of value, unknown time, unknown interest. | ||
3) | Elementary annuities:annuity immediate, annuity due, annuity values on any date, perpetuities, unknown time, varying interest. | ||
4) | General annuities : Annuities payable less frequently than interest is convertible, continuous annuities, unknown time and unknown rate of interest. | ||
5) | General Annuities continued: Elementary varying annuities, more general varying annuities, continuous varying annuities. | ||
6) | Yield rates: Discounted cash flow, single investment rate, Reinvestmnt rate, investment yields, | ||
7) | Yield rates continued: time weighted yields of interest, portfolio methods and investment year method. | ||
8) | Tekrar ve problem çözümleri. | ||
9) | Amortization schedules and sinking funds: Finding outstanding fund, amortization schedules, sinking funds.. | ||
10) | Discounted cash flow analysis cont’d: effect of inflation, yield of a fund, measuring investmnt performance. | ||
11) | Capital Redemption Policies: Premium Calculation, policy value, p-term payment policies. | ||
12) | Capital redemption policies continued: surrender values, paid up policy values and policy alterations,changes in interest rate, reinvestment rate. | ||
13) | Discounted cash flow analysis: Net cash flow, net present value and profit, comparison of two investment projects, differing interest in lending and borrowing | ||
14) | General review. |
Course Notes: | The Theory of Interest, Kellison S.G., Irwin Inc., U.S.A., 1991. An Introduction to Mathematics of Finance, Cutcheon, J.J. and Scott, W.F., , Butterworth-Heinemann, Oxford, 1996. |
References: | SOA sınav soruları/SOA exam questions. http://www.soa.org/education/exam-req/syllabus-study-materials/edu-multiple-choice-exam.aspx |
Semester Requirements | Number of Activities | Level of Contribution |
Attendance | 14 | % 5 |
Laboratory | % 0 | |
Application | % 0 | |
Field Work | % 0 | |
Special Course Internship (Work Placement) | % 0 | |
Quizzes | % 0 | |
Homework Assignments | 3 | % 15 |
Presentation | % 0 | |
Project | 1 | % 15 |
Seminar | % 0 | |
Midterms | 1 | % 30 |
Preliminary Jury | % 0 | |
Final | 1 | % 35 |
Paper Submission | % 0 | |
Jury | % 0 | |
Bütünleme | % 0 | |
Total | % 100 | |
PERCENTAGE OF SEMESTER WORK | % 50 | |
PERCENTAGE OF FINAL WORK | % 50 | |
Total | % 100 |
Activities | Number of Activities | Duration (Hours) | Workload |
Course Hours | 14 | 3 | 42 |
Laboratory | 0 | 0 | 0 |
Application | 0 | 0 | 0 |
Special Course Internship (Work Placement) | 0 | 0 | 0 |
Field Work | 0 | 0 | 0 |
Study Hours Out of Class | 14 | 3 | 42 |
Presentations / Seminar | 0 | 0 | 0 |
Project | 1 | 15 | 15 |
Homework Assignments | 4 | 10 | 40 |
Quizzes | 3 | 6 | 18 |
Preliminary Jury | 0 | ||
Midterms | 1 | 19 | 19 |
Paper Submission | 0 | ||
Jury | 0 | ||
Final | 1 | 24 | 24 |
Total Workload | 200 |
No Effect | 1 Lowest | 2 Low | 3 Average | 4 High | 5 Highest |
Program Outcomes | Level of Contribution |