1. SylabUZ
2. Wydział Matematyki, Informatyki i Ekonometrii
3. semestr zimowy 2023/2024
4. Computer science and econometrics - pierwszego stopnia z tyt. licencjata
5. Mathematical Finance and Actuarial Mathematics

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Mathematical Finance and Actuarial Mathematics - opis przedmiotu

Cel przedmiotu

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. 

Wymagania wstępne

Zapisz zmiany

Courses in mathematical analysis and probability theory.

Zakres tematyczny

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.

Metody kształcenia

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.

Efekty uczenia się i metody weryfikacji osiągania efektów uczenia się

Opis efektu	Symbole efektów	Metody weryfikacji	Forma zajęć

Warunki zaliczenia

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.

Literatura podstawowa

 

1. H.U. Gerber, Life Insurance Mathematics, Springer, Berlin, 1990.
2. N.L. Bowers, H.U. Gerber, J. Hickman, D. Jones, C. Nesbitt, Actuarial Mathematics, Soc. of Actuaries, Illinois 1997.
3. J. Hull, Options, Futures and Other Derivatives, Prentice Hall 2012.
4. M. Dobija, E. Smaga, Podstawy matematyki finansowej i ubezpieczeniowej, PWN, Warszawa, 1995.

Literatura uzupełniająca

 

 

 

 

Uwagi

Zmodyfikowane przez dr Ewa Synówka (ostatnia modyfikacja: 10-04-2024 20:11)