Page 144 - FULL FINAL HANDBOOK 20232024

Faculty of Science Handbook, Academic Session 2023/2024

Bernoulli and Navier-Stokes. Dimensional analysis and SIQ2003 FINANCIAL MATHEMATICS AND
dimensionless parameters. Dynamic similarity and DERIVATIVES
boundary layer approximation.
Time Value of Money: simple interest, compound
Solutions of flow problems and initial/boundary interest, present and accumulated values, nominal rate
conditions using computational fluid dynamics methods. of interest, force of interest, equation of value.
Assessment: Annuities: annuity immediate, annuity due, perpetuity,
Continuous Assessment: 40% m-thly annuity, continuous type annuity, deferred
Final Examination: 60% annuities, varying annuities.
Loans: Amortization, sinking funds, amortization with
continuous payments.
SIM3030 DYNAMICAL SYSTEMS THEORY
Bonds: Types of bonds, pricing formula, callable and
Flows on the line. Flows on the circle. serial bonds, other securities.
Two-dimensional flows. Phase plane. Limit cycles. Cash flows: Discounted cash flows, internal rate of
Bifurcations. return, money-weighted and time weighted rate of return.
Three- and higher dimensional flows. Phase space. Term Structure of Interest Rate: Yield curves, spot and
Chaos. forward rates, duration, convexity, immunization.
Numerical simulations. Applications. Introduction to Derivatives: Forward and futures, short
and long positions, arbitrage, put and call options,
Assessment: interest rate and currency swaps, put-call parity,
Continuous Assessment: 50% hedging.
Final Examination: 50%
Assessment:
Continuous Assessment: 40%
Final Examination: 60%
SIQ1001 INTRODUCTION TO ACCOUNTING
Basic principles of accounting – including the role of
accounting standards. Different types of business entity. SIQ3001 ACTUARIAL MATHEMATICS I
Basic structure of company accounts. Interpretation and
limitation of company accounts. Survival distributions: lifetime probability functions, force
of mortality, moments and variance, parametric survival
Assessment: models, percentiles, recursions, fractional ages, select
Continuous Assessment: 40% and ultimate life tables.
Final Examination: 60%
Life Insurances: continuous type life insurances, discrete
type life insurances, probabilities, percentiles, recursive
formula, m-thly payments, varying insurance.
SIQ2001 MICROECONOMICS
Life Annuities: continuous type life annuities, discrete
Fundamental principles of economics; price theory which type life annuities, expectation and variance,
covers the demand model, supply model and equilibrium probabilities, percentiles, recursive formulas, m-thly
point; shape of demand curve and consumer behavior; payments, varying annuities.
substitution effects and income; shape of supply curve
and behavior of firms; theory of production and cost of Premiums: expectation and variance of loss random
production; analysis of competitive markets in the short variable, fully continuous and discrete premiums,
term; monopoly and oligopoly. semicontinuous premiums, m-thly premiums, gross
premiums, probabilities, percentiles.
Assessment:
Continuous Assessment: 40% Assessment:
Final Examination: 60% Continuous Assessment: 40%
Final Examination: 60%
SIQ2002 MACROECONOMICS
SIQ3002 PORTFOLIO THEORY AND ASSET
Macroeconomic issues and problems; fundamental MODELS
concepts of national income; method of calculating
national income; simple Keynesian model; derivation of Utility theory: Features of utility functions, expected utility
IS curve, LM curve, aggregate demand curve, and theorem, risk aversion.
aggregate supply curve; relationship between interest
rates, monetary demand, consumption and investments; Stochastic dominance: Absolute, first and second order
relationship between price levels, monetary demand, stochastic dominance.
aggregate demand and aggregate supply in a Keynesian
model. Measures of investment risk: Variance, semi-variance,
probability of shortfall, value-at-risk, expected shortfall.
Assessment: Portfolio theory: Mean-variance portfolio, diversification,
Continuous Assessment: 40% efficient frontier, optimal portfolio selection, efficient
Final Examination: 60% portfolio identification.
Models of asset returns: Single-index models, fitting a
single index model, multi-index models.
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