2020-2021 Academic Catalog [Archived Catalog]
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ACSC 515 - Financial Mathematics
Credits: Three (3)
This course covers the mathematical theory of compound interest with applications to investments and corporate finance. Topics include amortization of loans sinking fund, price of bonds, amortization of premium, accumulation of discount, interest rate swaps and determinants of interest rates; the dollar weighted return, time-weighted rate of return, duration and convexity of cash flows; constructing an investment portfolio to fully immunize set of liability cash flows.
ACSC 514 and ACSC 515 cover all of the learning objectives contained in Examination FM (Financial Mathematics) of the Society of Actuaries. A presentation of one project is required for the course.
Note: This course is for graduate students only.
Prerequisite: ACSC-514
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