Certificate in Financial Maths & Modelling Syllabus

Certificate in Financial mathematics & simulate computer program Overview The Certificate in Financial Maths & simulation provides a rigorous and unified set of quantitative tools to understand and ex plain financial instruments, financial take chances and somatic observe and the cardinally serious descent between them. The emphasis end-to-end is on t he hard-nosed beatling of real life problems and op airunities.Techniques such(prenominal) as no- trade set, epoch, convexness and portfolio analysis including the tradeoff between venture and conk argon explained and applied. The course analyses the use of survivals for financial endangerment management, and the paygrade of various types of option exploitation binomial pricing models, the Black Scholes model and other techniques. It also int roduces and applies time value at Risk measures, their potential us es and their limitations. oeuvre social unit 1 important concepts in financial mathematics and sim ulation report unit of measurement 1 introduces the fundamental concepts of financial math and modeling in the five areas of equalityticipation rat e mathematics fashion model the values of a series of fixed or development time to come cashflows example the term anatomical body structure of int erest charge per units using no arbitrage relationships selected issues in probability and statistical models and role model the math of Value at Risk. analyse Unit 2 casting the math of debt determine Unit 2 looks at theoretical account the mathematics of debt in the primary(prenominal) areas of present values, fut ure cash flows, timing and risk and interest rat e predisposition and duration models, in particular value relationships with respect to yield, maturity, voucher rate and coupon frequency. sphere Unit 3 moulding the maths of hostile veer Study Unit 3 introduces the c oncepts of modelling t he maths of foreign change in the four areas of quoting conventio ns hedgerow using transport foreign flip-flop cont racts the relationships bet ween foreign exchange rank, interest rates and inflation rates and applying volt-ampere to foreign exchange risk management. Study Unit 4 Modelling the maths of derivatives Study Unit 4 covers the maths and modelling of derivatives in t he two areas of int roduction to derivatives mathematics and modelling bang-up commercialise swap mathematics.Study Unit 5 Modelling the maths of options Study Unit 5 covers the maths and modelling of options in the four areas of option offspring mathematics option payoff maths in the context of hedging option e rating modelling and options arbitrage and the put-call simile relationship. Study Unit 6 Modelling the maths of portfolios and unified pay Study Unit 6 introduces the fundamental concepts of modelling the maths of port folios and somatic pay in the t wo areas of modelling port folios analysis of risk and return, and modelling for corporate pay corporate valuation and the reach of changing capit al structure. Association of merged Treasurers (01. 04. 11, subject area to change) Study Unit 1 Fundamental concepts in financial maths and modelling Unit introduction 1. 0. 1 Notation and rules of algebra 1. 0. 2 Financial modelling parting 1 involution rate mathematics 1. 1. 1 Interest calculations and quoting conventions 1. 1. 2 The time-value relationship subsection 2 Modelling values of a series of future cashflows 1. 2. 1 Infinite series cashflows (perpetuities) and their valuation 1. 2. Finite series cashflows (annuities) and their valuation component 3 Modelling the term structure of interest rate s no arbitrage relationships 1. 3. 1 Zero coupon, fore and par structures of interest rates different forms of yield curves 1. 3. 2 No arbitrage relationships between zero coupon, forward and par rates role 4 probability and stati sti cal models selected issue s 1. 4. 1 Measures of profound location (or central te ndency), dispersion and correlational statistics 1. 4. 2 Frequency distributions in possibility and in practice voice 5 Modelling the maths of Value at Risk 1. . 1 Modelling the maths of Value at Risk for maven risks 1. 5. 2 Extending the modelling of Value at Risk Study Unit 2 Modelling the maths of debt class 1 concisely term debt 2. 1. 1 Short term debt issuers, market participants and market conventions 2. 1. 2 Calculation of interest and valuation of defraud term debt instruments atom 2 lifelong term debt 2. 2. 1 Analysis and valuation of bonds 2. 2. 2 Real interest rates and inflation indexing Section 3 Interest rate sensitivity and duration models 2. 3. Duration and int erest rat e outlay sensitivity, relative and absolute measures 2. 3. 2 Interest rate immunisation, convexity and modified convexity Study Unit 3 Modelling the maths of foreign exchange Section 1 Foreign exchange mathematics 3. 1. 1 Converting between currencies using berth foreign exchange rat es 3. 1. 2 Converting between currencies determining and using forward foreign exchange rat es 3. 1. 3 The maths of foreign exchange risk management 3. 1. 4 Applying Value at Risk to foreign exchange risk managementStudy Unit 4 Modelling the maths of derivatives Section 1 Introduction to derivative s mathematics 4. 1. 1 Payoffs for fixing derivatives and options 4. 1. 2 The maths of FRAs cashflows, hedging, valuation and basis risk 4. 1. 3 Futures contracts cashflows, hedging and valuation Section 2 Modelling swap mathematics 4. 2. 1 The maths of dandy market swaps including interest rate swaps 4. 2. 2 The maths of cross-currency interest rate swaps Association of corporate Treasurers (01. 04. 11, subject to change) Study Unit 5 Modelling the maths of optionsSection 1 Option payoff mathematics 5. 1. 1 Payoffs from handicraft strategies with single options 5. 1. 2 Payoffs from trading strategies involving more than one option Section 2 Option payoff maths hedging and hedged results achieved 5. 2. 1 hedgerow a portfolio options plus underlying addition/(liability) 5. 2. 2 Hedging corporate exposures with options Section 3 Option valuation modelling 5. 3. 1 Binomial option valuation models 5. 3. 2 Black Scholes option pricing model 5. 3. 3 Arbitrage and the put-call proportion relationshipStudy Unit 6 Modelling the maths of portfolios and corporate finance Section 1 Modelling portfolios analysi s of ri sk and return 6. 1. 1 Modelling plain port folios analysis of risk and return 6. 1. 2 Modelling multi-asset port folios & portfolios including liabilities Section 2 Modelling for corporate finance 6. 2. 1 Modelling the cost of corporate capital 6. 2. 2 Modelling the relationship between corporate value and capital structure 6. 2. 3 Modelling corporate valuation Association of Corporate Treasurers (01. 04. 11, subject to change)