MATH 418B - Financial Mathematics II

Description:
Actuarial financial mathematics, including bonds, returns, duration and convexity, immunization, and swaps and interest rate determinants. Course will be offered every year (Winter).

Prerequisites:
Prerequisite: MATH 418A with a grade of C or higher.

Credits: (4)

Learner Outcomes:
Upon successful completion of this course, the student will be able to:

Calculate the price, book value, accumulation of discount/amortization of premium, redemption value, coupon rate, or yield rate of a bond given sufficient partial information.
Estimate the value of an investment using duration and convexity.
Construct an asset portfolio for Redington immunization, full immunization, and exact matching of a series of liability cash flows.
Summarize the determinants of interest rates and the components of interest.
Measure the sensitivity of a valuation to changes in parameters by conducting sensitivity testing.
Communicate financial mathematics results clearly in writing.

Learner Outcomes Approval Date:
3/1/18

Anticipated Course Offering Terms and Locations: