UNIVERSITY OF KENT – CODE OF PRACTICE FOR QUALITY ASSURANCE
MODULE SPECIFICATION
1 The title of the module
Financial Mathematics (MA715)
2 The Department which will be responsible for management of the module
School of Mathematics, Statistics and Actuarial Science.
3 The Start Date of the Module
September 2005, suspended 2008, re-introduced 2009-10
4 Cohort of Students
Cohort 2010 onwards
5 The number of students expected to take the module
10 (Year 2010/11). This will increase in subsequent years
6 Modules to be withdrawn on the introduction of this proposed module and consultation with other relevant Departments and Faculties regarding the withdrawal
None
7 The level of the module (eg Certificate [C], Intermediate [I], Honours [H] or Postgraduate [M])
H
8 The number of credits which the module represents
15 (ECTS 7.5)
9 Which term(s) the module is to be taught in (or other teaching pattern)
Autumn Term
10 Prerequisite and co-requisite modules
None
11 The programmes of study to which the module contributes
BSc in Actuarial Science for students entering via APL route)
Graduate Diploma/Certificate in Actuarial Science
12 The intended subject specific learning outcomes and, as appropriate, their relationship to programme learning outcomes
On successful completion of the module, students will be able to:
a. Describe how to use a generalized cashflow model to descried financial transactions, making allowances for the probability of payment. (A2, B1, B2, B3, C1)
b. Describe how to take into account the time value of money using the concepts of compound interest and discounting. (A2, B1, B2, B3, C1)
c. Show how interest rates or discount rates may be expressed in terms of different time periods. (A2, B1, B2, B3, C1)
d. Demonstrate a knowledge and understanding of real and money interest rates (A2, B1, B2, B3, C1)
e. Calculate the present value and the accumulated value of a stream of equal or unequal payments using specified rates of interest and the net present value at a real rate of interest, assuming a constant rate of inflation. (A2, B1, B2, B3, C1)
f. Define and use the more important compound interest functions including annuities certain. (A2, B1, B2, B3, C1)
g. Define an equation of value. (A2, B1, B2, B3, C1)
h. Describe how a loan may be repaid by regular instalments of interest and capital. (A2, B1, B2, B3, C1)
i. Show how discounted cashflow techniques can be used in investment project appraisal. (A2, B1, B2, B3, C1)
j. Describe the investment and risk characteristics of typical assets available for investment purposes. (A2, B1, B2, B3, C1)
k. Analyse elementary compound interest problems. (A1, B1, B2, B3, C1)
l. Calculate the delivery price and the value of a forward contract using arbitrage free pricing methods(A2, B1, B2, B3, C1)
m. Show an understanding of the term structure of interest rates. (A2, B1, B2, B3, C1)
n. Show an understanding of simple stochastic interest rate models. (A2, B1, B2, B3, C1)
o. Appreciate recent developments in Financial Mathematics and the links between the theory of Financial Mathematics and their practical application (C2)
13 The intended generic learning outcomes and, as appropriate, their relationship to programme learning outcomes
On successful completion of the Module, students will have developed a logical mathematical approach to solving problems (B4, B5, D1, D3). They will have developed skills in oral and written communication (D2), the use of relevant information technology (D4), time management and organisation (D5) and studying (D6).
14 A synopsis of the curriculum
Lecture syllabus: 48 lectures (Autumn Term)
The syllabus includes the professional curriculum of the Faculty and Institute of Actuaries examination CT1:
· Cashflow models: Defining the financial timeline and explaining accumulating and discounting money.
· Explanation of interest rate definitions: Explaining simple interest/compound interest/discount/and continuous ways of expressing interest rates and the formulas necessary to calculate equivalence. Defining continuously varying interest rates.
· Annuities: Defining and showing how to calculate the present value and accumulated vales of level, arithmetic, geometric annuities (and perpetuities).
· Continuous Payments: Explaining the aspects of both continuous payments and continuously varying payments.
· Equations of Value: Calculation of one variable, given the other variables in an equation of value.
· Loans: Calculation of interest/capital in payments in typical loans.
· Project Appraisal: Explanation of the concepts and methods of deciding between alternative investment projects.
· Arbitrage and forward contracts – Derivatives: Explanation of arbitrage/no arbitrage and forward contracts and derivatives.
· Term structure of interest rates: Define and give examples of using duration and convexity in cashflows.
· Stochastic interest rate models: Show how interest rates can be modelled from a stochastic framework – introduce the fixed interest model and the varying interest model.
(See http://www.actuaries.org.uk/students/syllabus/syllabus_2010)
This is a dynamic syllabus, changing regularly to reflect current practice. The latest syllabus is appended.
15 Indicative Reading List
The students are required to purchase the study notes published by the Actuarial Education Company for Subject CT1 – Financial Mathematics. These are ordered from the Company by the Lecturer.
16 Learning and Teaching Methods, including the nature and number of contact hours and the total study hours which will be expected of students, and how these relate to achievement of the intended learning outcomes
The module consists of: 48 lectures
No of contact hours: 48
Total study hours: 150
The lectures contain numerous worked examples to emphasise the practical application of the theory. The exercise sheets, which count towards the degree mark, are intended to reinforce the lecture material, encourage the student to read the study notes and to apply the concepts taught to practical problems.
17 Assessment methods and how these relate to testing achievement of the intended learning outcomes
Assessment: The module is assessed by examination (80%) and by continuous assessment (20%).
Continuous Assessment:
This will consist of two regular open-book written assessments, which are completed by students outside contact hours. These consist of questions and numerical problems requiring short and long answers and they test all the learning outcomes outlined in Sections 12 and 13.
Examination:
A 3-hour written examination in the Summer term what will consist of questions and numerical problems requiring short and long answers and they will test the learning outcomes outlined in Section 12.
18 Implications for learning resources, including staff, library, IT and space
This module has been redesigned as part of an overall restructure of the Actuarial Science modules. There should be minimal overall impact on the above resources.
19 A statement confirming that, As far as can be reasonably anticipated, the curriculum, learning and teaching methods and forms of assessment do not present any non-justifiable disadvantage to students with disabilities
As far as can be reasonably anticipated, the curriculum, learning and teaching methods and forms of assessment do not present any non-justifiable disadvantage to students with disabilities
Statement by the Director of Learning and Teaching: "I confirm I have been consulted on the above module proposal and have given advice on the correct procedures and required content of module proposals"
......Director of Learning and Teaching / ......
Date
Statement by the Head of Department: "I confirm that the Department has approved the introduction of the module and will be responsible for its resourcing"
......Head of Department / ......
Date