SylabUZ
Nazwa przedmiotu | Mathematical Finance and Actuarial Mathematics |
Kod przedmiotu | 11.5-WK-CSEEP-MFAM-S22 |
Wydział | Wydział Matematyki, Informatyki i Ekonometrii |
Kierunek | Computer science and econometrics |
Profil | ogólnoakademicki |
Rodzaj studiów | pierwszego stopnia z tyt. licencjata |
Semestr rozpoczęcia | semestr zimowy 2022/2023 |
Semestr | 5 |
Liczba punktów ECTS do zdobycia | 4 |
Typ przedmiotu | obowiązkowy |
Język nauczania | angielski |
Sylabus opracował |
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Forma zajęć | Liczba godzin w semestrze (stacjonarne) | Liczba godzin w tygodniu (stacjonarne) | Liczba godzin w semestrze (niestacjonarne) | Liczba godzin w tygodniu (niestacjonarne) | Forma zaliczenia |
Wykład | 30 | 2 | - | - | Zaliczenie na ocenę |
Laboratorium | 30 | 2 | - | - | Zaliczenie na ocenę |
The course aims to teach students how to use basic tools for analyzing the time value of money; valuing securities and analyzing the risk of various financial instruments; skills in evaluating and comparing investment projects, loans, and retirement plans, as well as calculating premiums in insurance.
Courses in mathematical analysis and probability theory.
Lecture/Laboratory:
1.Interest and discounting: simple, compound, and continuous. Nominal and effective rates, continuous rate.
2. Cash flow streams – present value and future value with constant and variable discount rates; internal rate of return and modified internal rate of return.
3. Periodic and perpetuities, in advance and in arrears. Equal payments, standardly increasing, and standardly decreasing payments.
4. Cash flow analysis in investment projects and project evaluation.
5. Debt repayment – repayment schedule, current debt. Short-term debts and simple interest. Medium- and long-term debts and compound interest.
6. Straight-line depreciation, declining balance depreciation, fixed-rate depreciation, accelerated depreciation, sinking fund method.
7. Elements of securities valuation theory (for bills of exchange, treasury bonds, bonds, stocks). Term structure of interest rates.
8, Futures contracts and options - information on the valuation of derivative financial instruments.
9. Elements of securities portfolio theory.
10. Basic types of life insurance and annuities.
11. Survival functions and probability of survival. Survival tables and their parameters.
12. Determining single net premium, annual net premium, and premiums payable in subperiods in life insurance.
Lecture utilizing data on interest rates for deposits and loans, quotes of financial instrument prices from online sources.
Laboratory exercises – individual solving of tasks with real data using spreadsheet software, preceded by discussion on necessary theoretical tools, individual elaboration of solutions for selected tasks in the form of reports.
Opis efektu | Symbole efektów | Metody weryfikacji | Forma zajęć |
The condition for passing the course is to receive positive grades from both the lecture and the laboratory. The final grade for the course will be determined based on the grades from the lecture and the laboratory, by rounding the weighted average of these two grades to the grade scale specified in the study regulations. The weight of the lecture grade will be 0.6, and the weight of the laboratory grade will be 0.4.
Zmodyfikowane przez dr Ewa Synówka (ostatnia modyfikacja: 24-02-2024 10:01)