MATH 4270 Mathematical Models Finance II

A course on the mathematical derivation, analysis, and interpretation of advanced mathematical models in finance and interest theory and is a continuation of course MATH3260. Technology will be used to give students a hands-on experience in developing and solving their own models. The course will cover the more advanced topics needed for the second actuarial exam. Applications to “real-world” problems in interest theory, including more complex analysis and applications of the models developed in MATH3260 will be studied. Although primary focus will be on the application of financial models developed in Kellison, the mathematical derivation and analysis of the formulae will also be covered.

Financial models studied will include: Valuation of discrete and continuous streams of payments, including the case in which the interest conversion period differs from the payment period; determination of yield rates on investments; application of interest theory to fixed income securities, cash flow and portfolio models and additional financial models. Derivation, analysis and applications of duration and convexity models for approximating changes in present value and for constructing investment portfolios for immunization and asset-liability management will also be studied.

Prerequisite(s): MATH 3260
Credits: 3.0