Page 85 - Handbook Bachelor Degree of Science Academic Session 20212022

Faculty of Science Handbook, Academic Session 2021/2022

Term Structure of Interest Rate: Yield curves, spot and
SIQ2001 MICROECONOMICS
forward rates, duration, convexity, immunization.
Fundamental principles of economics; price theory which
covers the demand model, supply model and equilibrium Introduction to Derivatives: Forward and futures, short and
point; shape of demand curve and consumer behavior; long positions, arbitrage, put and call options, interest rate
and currency swaps, put-call parity, hedging.
substitution effects and income; shape of supply curve and
behavior of firms; theory of production and cost of production; Assessment:
analysis of competitive markets in the short term; monopoly
and oligopoly. Continuous Assessment: 40%
Final Examination: 60%
Assessment: References:
Continuous Assessment: 40%
Final Examination: 60% 1. Garrett, S. J. (2013). Introduction to the Mathematics
of Finance. A Deterministic Approach (Second
Edition), Butterworth-Heinemann.
References: 2. Kellison, S.G. (2009) The Theory of Interest (Third
1. Katz, Michael L. and Rosen, Harvey S. (1999). Edition), Irwin/McGraw-Hill.
Microeconomics, 2nd ed., McGraw Hill.
2. Sloman, J., Hinde, K. and Garratt, D. (2013). 3. Broverman, S.A. (2017). Mathematics of Investment
and Credit (Seventh Edition), ACTEX Publications.
Economics for Business, 6th ed., Pearson.
3. Begg, D. (2012). Economics for business. McGraw 4. Vaaler, L. J. F., Harper, S. K., and Daniel, J. W.
(2019). Mathematical Interest Theory (Third Edition),
Hill Higher Education. The Mathematical Association of America.
4. Bade, R., Parkin, M. (2014). Foundation of 5. Chan, W. S., and Tse, Y. K. (2018). Financial
Economics. Pearson.
5. Mankiw G., (2018). Macroecomics. Pearson, 7th Mathematics for Actuaries (Second Edition), World
Scientific Publishing Company.
Edition.
SIQ3001 ACTUARIAL MATHEMATICS I
SIQ2002 MACROECONOMICS
Survival distributions: lifetime probability functions, force of
Macroeconomic issues and problems; fundamental mortality, moments and variance, parametric survival
concepts of national income; method of calculating national models, percentiles, recursions, fractional ages, select and
income; simple Keynesian model; derivation of IS curve, LM ultimate life tables.
curve, aggregate demand curve, and aggregate supply
curve; relationship between interest rates, monetary
demand, consumption and investments; relationship Life Insurances: continuous type life insurances, discrete
type life insurances, probabilities, percentiles, recursive
between price levels, monetary demand, aggregate demand formula, m-thly payments, varying insurance.
and aggregate supply in a Keynesian model.
Life Annuities: continuous type life annuities, discrete type
Assessment:
Continuous Assessment: 40% life annuities, expectation and variance, probabilities,
percentiles, recursive formulas, m-thly payments, varying
Final Examination: 60%
annuities.
References:
1. Richard T. Froyen (2002). Macroeconomics: Premiums: expectation and variance of loss random variable,
Theories and Policies, 7th ed., Prentice Hall. fully continuous and discrete premiums, semicontinuous
2. Case, Karl E. et. al. (2013). Principles of premiums, m-thly premiums, gross premiums, probabilities,
percentiles.
Macroeconomics, Prentice Hall.
3. Sloman, J., Hinde, K. and Garratt, D. (2013).
Economics for Business, 6th ed., Pearson. Assessment:
4. Bade, R., Parkin, M. (2014). Foundation of Continuous Assessment: 40%
Final Examination:
60%
Economics. Pearson.
5. Mankiw. G (2019), Macroeconomics. Pearson
References:
1. Bowers, N., Gerber, H., Hickman, J., Jones, D.,
SIQ2003 FINANCIAL MATHEMATICS AND Nesbitt, C. (1997). Actuarial mathematics, 2nd ed.,
DERIVATIVES Society of Actuaries.
2. Dickson, D. C., Hardy, M. R., & Waters, H. R. (2020).
Actuarial mathematics for life contingent risks (3rd
Time Value of Money: simple interest, compound interest,
present and accumulated values, nominal rate of interest, edition). Cambridge University Press.
force of interest, equation of value. 3. Cunningham, R. J. (2011). Models for quantifying
risk. Actex Publications.
4. Promislow, S. D. (2011). Fundamentals of actuarial
Annuities: annuity immediate, annuity due, perpetuity, m-thly
annuity, continuous type annuity, deferred annuities, varying mathematics. John Wiley & Sons.
annuities.
SIQ3002 PORTFOLIO THEORY AND ASSET MODELS
Loans: Amortization, sinking funds, amortization with
continuous payments.
Utility theory: Features of utility functions, expected utility
theorem, risk aversion.
Bonds: Types of bonds, pricing formula, callable and serial
bonds, other securities.
Stochastic dominance: Absolute, first and second order
stochastic dominance.
Cash flows: Discounted cash flows, internal rate of return,
money-weighted and time weighted rate of return.
Measures of investment risk: Variance, semi-variance,
probability of shortfall, value-at-risk, expected shortfall.
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