Financial Mathematics Courses Description
BUS 101 – Introduction to Business Administration
The aim of the course is to provide the students with an awareness and understanding of the environment within which business undertakings take place. Upon the successful completion of this course, students will be equipped with a set of ideas related to the nature of business organisations and their activities from a holistic perspective. Course intends to develop an understanding of the integrated nature of problems faced by organisations and the methods that govern managerial decisions.
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Main textbook: |
OcurtPand, L.Bovee Business in Action, Prentice Hall, 2002. |
The Business Game works with real life situations and aims to teach students about internal functional alignment, market segmentation, product positioning, finance and teamwork within a company. During the course students will experience team decision-making, team building and negotiation. By the end of the term students will be able to draw useful information and important analysis out of the data available on their own and their competitors’ businesses and thus will have a better understanding of the way each department’s decisions impact other parts of the business, and the importance of working across functional areas for optimal results. During the course, mentoring is provided decision-making, preparing and using spreadsheets, building teams. It is the objective of the course to enhance critical thinking and to provide a framework for gathering future knowledge throughout their academic career in business administration.
The aim of this course is to equip students with the basic practical and theoretical skills they will need to complete their degrees. The course covers basic programming concepts, techniques, documentation, standards. On completion of this course, students should be able to take a specification and produce a small to medium computer program that works satisfactorily for all inputs, that is reasonably efficient in implementation, that is well documented and that conforms to the relevant standards. The course includes a substantial practical element and the lessons learnt should enable students to program effectively in any language they may encounter.
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Main textbook: |
Per Brinch Hansen, Programming for everyone in Java, Springer. |
The aim of this course is to equip students with the basic practical and theoretical skills they will need to complete their degrees. The course covers basic programming concepts, techniques, documentation, standards. On completion of this course, students should be able to take a specification and produce a small to medium computer program that works satisfactorily for all inputs, that is reasonably efficient in implementation, that is well documented and that conforms to the relevant standards. The course includes a substantial practical element and the lessons learnt should enable students to program effectively in any language they may encounter.
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Main textbook: |
Per Brinch Hansen, Programming for everyone in Java, Springer . |
This is an annual course on the introduction to economics. The first term mainly concerns Microeconomics and the second term is devoted to Macroeconomics. The aim of the course is to develop an understanding of elementary Micro and Macroeconomic analysis and its applications. By the end of the second term you should have acquired a basic understanding of the main Micro and Macroeconomic topics, including: analysis of the consumer, the firm, the economics of public sector, product markets, national income, aggregate demand and supply, an introduction to the real economy and money and prices in the long run and some basic concepts about inflation and unemployment trade-off. The material covered as part of this course will be useful for organising your thinking about economics.
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Main textbook: |
Mankiw, G. N. (1998) Principles of Economics, The Dryden Press, USA. |
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Auxiliary textbooks: |
Begg, D. S. Fisher and R. Dornbusch. (1997), Economics, Mc Graw Hill, UK. Lipsey, R.G. & Chrystal (1995), ‘Positive Economics’. Oxford University Press, UK. Sloman, J. (1997), Economics, Prentice Hall, UK. Parkin. M. & King, D. (1995), Economics, Addison Wesley, UK |
This is an annual course on the introduction to economics. The first term mainly concerns Microeconomics and the second term is devoted to Macroeconomics. The aim of the course is to develop an understanding of elementary Micro and Macroeconomic analysis and its applications. By the end of the second term you should have acquired a basic understanding of the main Micro and Macroeconomic topics, including: analysis of the consumer, the firm, the economics of public sector, product markets, national income, aggregate demand and supply, an introduction to the real economy and money and prices in the long run and some basic concepts about inflation and unemployment trade-off. The material covered as part of this course will be useful for organising your thinking about economics.
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Main textbook: |
Mankiw, G. N. (1998) Principles of Economics, The Dryden Press, USA. |
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Auxiliary textbooks: |
Begg, D. S. Fisher and R. Dornbusch. (1997), Economics, Mc Graw Hill, UK. Lipsey, R.G. & Chrystal (1995), ‘Positive Economics’. Oxford University Press, UK. Sloman, J. (1997), Economics, Prentice Hall, UK. Parkin. M. & King, D. (1995), Economics, Addison Wesley, UK |
Real numbers and their properties. Fundamentals of analytic geometry. Sequences and series. Convergent sequences. Open and closed sets of the real line. Bolzano-Weierstrass and Heine-Borel Theorems. Compactness. Limits of functions. Continuous functions. Differentiable functions. Curve sketching, maxima and minima. Taylor series. L’Hospital’s Rule.
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Main textbook: |
R. Courant, F. John. Introduction to calculus and analysis. Springer, 1999, V. I, II. |
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Auxiliary textbooks: |
W. Parzynski, P.Zipse. Introduction to mathematical analysis. McGraw-Hill, 1987. S. Stein, A. Barcellos. Calculus and analytic geometry. McGraw-Hill, 1992. |
Integral calculus. Primitives. Fundamental theorem of differential calculus. Integration techniques. Approximate calculation of integrals. Improper integrals. The Riemann Integral. Power series. Uniform convergence. Weierstrass approximation theorem.
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Main textbook: |
R. Courant, F. John. Introduction to calculus and analysis. Springer, 1999, V. I, II. |
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Auxiliary textbooks: |
W. Parzynski, P.Zipse. Introduction to mathematical analysis. McGraw-Hill, 1987. S. Stein, A. Barcellos. Calculus and analytic geometry. McGraw-Hill, 1992. |
MATH 131
MATH 132
MATH 195
MATH 196
BUS 211 – Introduction to Accounting
The aim of the course is to enable students to appreciate the role of accounting in the business environment, to develop the skills required to record business transactions and to apply accounting concepts in the preparation of financial statements. Upon successful completion of this course, students should be able to demonstrate an understanding of the purpose of accounting, the application of concepts and conventions, to master the procedures for recording business events and compiling a financial database and to prepare financial statements for managerial decisions.
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Main textbook: |
Needles, Powers, Mills, Anderson; Principles of Accounting, Houghton Mifflin, 2002. |
BUS 212 – Financial Reporting and Cost Analysis
The aim of the course is to enable students to distinguish the different forms of business ownership, to appreciate the impact of different forms of business ownership on financial reporting and the resulting capital structure and to understand the impact of statutory regulations and the accounting profession's requirements on the format and presentation of company accounts. On completion of this course, students should be able to prepare financial statements for partnerships and companies; make adjustments required for the application of different accounting concepts; assess financial wealth of a business from a set of annual reports and identify underlying causes for changes in performance; adjust for businesses adopting different accounting policies and identify how products are to be costed and how financial information is used to aid short-term decision making.
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Main textbook: |
Needles, Powers, Mills, Anderson; Principles of Accounting, Houghton Mifflin, 2002. |
COMP 202 – Business Information Systems
The aim of this course is to provide students with knowledge of the structure of business information systems and how they are designed to support management decision making. A student completing this unit will be able to identify the various methods of processing data and their business application, construct a database and use it to perform basic queries, understand the approaches to the design and development of a business information systems, appreciate the legal, ethical and organisational issues relating to the security and control of business data and finally select a system for a given business need.
COMP 231 – Data Structures and Algorithms I
This course covers the basic science behind the use of computers to provide effective and efficient methods for carrying out tasks. Tasks looked at include data storage and retrieval, sorting and searching, semi-numerical tasks such as encryption, planning and optimisation tasks, problems space searches and games playing. To carry out these tasks, both algorithms and structures for the storage of data need to be specified. mathematical tools have to be developed that enable us to measure the fundamental effectiveness of algorithms, and in particular the way these algorithms scale as the size of the task being performed increases. This course introduces the basic sorting and searching methods and dynamic data structures such as linked lists and trees.
COMP 232 – Data Structures and Algorithms II
This course builds on Comp 231 to apply similar techniques to analyse more sophisticated algorithms and data structures. Topics covered include various tree types, graphs, storage structures and algorithms suitable for storage and retrieval of data to and from secondary storage, greedy algorithms, graph search and traversal, random algorithms.
EC 201 – Macroeconomic Theory
This course presents the theory of short run economic fluctuations which provides the basis for understanding most discussions of monetary and fiscal policy. Also the course gives ample attention to long-run topics including economic growth, the natural rate of unemployment, persistent inflation and government debt. Topics include money supply and money demand, the open economy, the theory of economic fluctuations and debates over various macroeconomic issues as well. Macroeconomics is an empirical discipline, motivated and guided by a wide array of experience. In line with this approach, the course aims to familiarize students with the macroeconomic characteristics of Turkish economy and covers its current macroeconomic problems and policies.
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Main textbook: |
N. Gregory Mankiw, Macroeconomics, and 4th Ed. Worth Publishers. |
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Auxiliary textbooks: |
N. Gregory Mankiw, Principles of Economics. Begg, Fischer & Dornbusch, Economics. Lipsey & Chrystal, Principles of Economics. |
EC 202 – Microeconomic Theory
Microeconomics is the science of choice under scarcity. We start by examining some basic principles of microeconomic theory and see how an economist might apply them to a wide variety of choices involving scarcity. Later chapters more formally develop the theory. The goals of the course are to develop economic intuition and to teach the technical tools so that students end up “thinking like an economist.”And the best way to do that is to work through a series of problems familiar from actual experience
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Main textbook: |
Landsburg,Steven e.;Price Theory and Applications;4th ed;South WesternCollege Publishing; 1999. |
Interest rates. Discounted cash flows. Assessment of projects. Analysis of loan schedules. Consumer credit. Fixed interest and equity securities.
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Main textbooks: |
J. McCutcheon, W. Scott. An introduction to the mathematics of finance. Heinemann, 1986. N. Bowers, H. Gerber, J. Hickman, D. Jones, C. Nesbitt. Actuarial mathematics. 2nd ed. Society of Actuaries, 1997. |
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Auxiliary textbooks: |
S. Kellison. The theory of interest. 2nd ed. Irwin, 1991. M. Butcher, C. Nesbitt. Mathematics of compound interest. Ulrich's Books, 1971. |
Continuously payable cash flows. Indexation of payments. Stochastic interest rate models. Term structure of interest rates. Forward contracts.
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Main textbooks: |
J. McCutcheon, W. Scott. An introduction to the mathematics of finance. Heinemann, 1986. N. Bowers, H. Gerber, J. Hickman, D. Jones, C. Nesbitt. Actuarial mathematics. 2nd ed. – Society of Actuaries, 1997. |
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Auxiliary textbooks: |
S. Kellison. The theory of interest. 2nd ed. Irwin, 1991. M. Butcher, C. Nesbitt. .Mathematics of compound interest. Ulrich's Books, 1971. |
The normal distribution. Central limit theorem. Random variables, variance, covariance, Kolmogorov’s and Chebyshev’s inequalities, correlation. Laws of large numbers. Moment generating functions. Compound distributions. Elements of ruin theory. Random walks. Introduction to the Markov chains theory. The simplest time-depending stochastic processes. Statistical computing I (Excel, Wmaple, MiniTab, etc.).
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Main textbook: |
W. Feller. An introduction to probability theory and its applications. Wiley, 1971. |
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Auxiliary textbooks: |
I. Miller, M. Miller. John E. Freund's mathematical statistics. Prentice Hall, 1999. G. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. |
Problems solvable by the methods of linear programming. Some basics of combinatorial geometry. Graphical methods. The simplex method. Duality, an interpretation of dual variables in economics. Post-optimality analysis. Applications of linear programming: transportation, assignment problems, etc.
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Main textbook: |
G. Dantzig, M. Thapa. Linear programming. Springer. 1997. |
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Auxiliary textbooks: |
J.Franklin. Methods of mathematical economics. Linear and nonlinear programming, fixed-point theorems. SIAM, 2002. |
Historical survey of genesis and formation of financial institutions and insurance companies. Actuarial societies in England and Scotland; Institute of Actuaries, Faculty of Actuaries. The role of financial analysts and actuaries in modern financial and insurance companies.
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Main textbook: |
The course is based on the annual reports and other materials of Institute of Actuaries and Faculty of Actuaries, the professional organizations of English and Scottish actuaries. |
Interpolation and extrapolation. Numerical solution of systems of linear equations. Numerical differentiation. Numerical integration. Numerical solution of ordinary/partial differential equations.
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Main textbook: |
J. Faires, R. Burden. Numerical methods. Brooks/Cole Publishing, 1998. |
Basic geometrical and topological properties of the spaces R^n. Bolzano-Weierstrass and Heine-Borel Theorems for the spaces R^n. Limit and continuity of functions of several variables. Partial derivatives, total differential, chain rule. Directional derivative, tangent plane, extrema of functions of several variables, divergence, curl, orthogonal curvilinear coordinates. Inverse and implicit function theorems.
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Main textbook: |
R. Courant, F. John. Introduction to calculus and analysis. Springer, 1999, V. I, II. |
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Auxiliary textbooks: |
W. Parzynski, P.Zipse. Introduction to mathematical analysis. McGraw-Hill, 1987. S. Stein, A. Barcellos. Calculus and analytic geometry. McGraw-Hill, 1992. |
Matrices. Determinants. Linear systems. Cramer’s method. Gauss’ method. Quadratic forms. Arithmetic spaces R^n. Scalar and vector products. The eigenvectors and eigenvalues of a matrix. Second order curves and surfaces. Vector spaces. Linear mappings. Euclidean spaces. Groups of linear transformations.
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Main textbook: |
S. Roman. Advanced linear algebra. Springer, 1995. |
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Auxiliary textbook: |
H. Moore, A. Yaqub. A first course in linear algebra with applications. San Diego, Academic Press, 1998. |
The sample spaces and events. Discrete sample spaces. Probabilities in discrete sample spaces. Elements of combinatorial analysis. Combination of events. Conditional probability. Stochastic independence. Binomial distribution. Bernoulli trials. Poisson and negative binomial distributions.
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Main textbook: |
W. Feller. An introduction to probability theory and its applications. Wiley, 1971. |
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Auxiliary textbooks: |
I. Miller, M. Miller. John E. Freund's mathematical statistics. Prentice Hall, 1999. G. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. |
This course examines financial matters within the firm and the financial environment in which the firm coexists. The course demonstrates how the modern theory of finance provides a framework for practical and skillful financial management of a firm. On the successful completion of this course, students will have an understanding of the financial environment, the financial markets and instruments, in order to determine how, where and when to raise financial capital to fuel economic projects. They will be able to develop systematic, analytical decision-making skills to choose among alternative projects and investments; and be able to interpret and utilise the firm's financial statements to monitor, measure and enhance the firm's performance.
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Main textbook: |
Z.Bodie, R.C.Merton; Finance, Prentice Hall, 2002. |
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Auxiliary textbooks: |
Campbell, Lo, and MacKinlay; The Econometrics of Financial Markets, Princeton, 1997. |
BUS 352 – Financial Institutions, Markets and Instruments
The aim of this course is to explore and understand the nature of financial markets, instruments and institutions and to evaluate the operations of financial institutions, mechanisms of financial markets and the nature of various financial instruments. On successful completion of the course, the student should be able to appreciate the major operations of financial markets; appreciate the role of financial institutions and to explore and understand various financial institutions.
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Main textbooks: |
Alexander and Sharpe and Bailey; Fundamentals of Investments, Prentice Hall, 2001. |
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Auxiliary textbooks: |
Santamero and Babbel; Financial Markets, Instruments, and Institutions Mc-Graw Hill, 2001. |
There is a crisis in the development of computer systems. In particular the development of large computer systems often takes far more time and money than planned, and sometimes major projects fail completely and have to be abandoned. This course looks at the battery of techniques used to try and avoid these problems and bring a scientific approach to the management of software development.
COMP 332 – Software Project
This course aims to use the techniques developed in Comp 331 to manage the development of a medium size software project, preferable for a real customer inside or outside the University. The project/s) undertaken will be carried out under the regular supervision of the instructor for the course. Projects may be team based or individual.
Almost all large data processing systems rely on a generalised database to store and retrieve data. This course aims to look at the theoretical and technical issues involved in the implementation of such generalised databases. Course contents include: .Introduction to databases. Entity relationship model. Physical database design and access strategies. Relational data model. SQL data manipulation language. Theoretical data manipulation languages. Normal forms and logical database design. Query processing. Concurrency control and recovery in databases. Implementation of a simple storage manager and design of a relational database.
This course builds on and develops the content of Comp 381. Course contents include: Basic structures of database models. Logic for knowledge bases. Resolution refutation. Deduction. Deductive databases. Recursive and non recursive query processing. Object-oriented databases.
This is a two-semester course, aiming to cover the main topics of microeconomic theory introducing the principal techniques of economic analysis. The students are assumed to be familiar with the basic notions of microeconomic theory and calculus.
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Main textbook: |
Andrew Schotter; A Modern Approach, Third Edition, (Addison Wesley Longman, 2001). |
This is a two-semester course, aiming to cover the main topics of microeconomic theory introducing the principal techniques of economic analysis. The students are assumed to be familiar with the basic notions of microeconomic theory and calculus.
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Main textbook: |
Andrew Schotter; A Modern Approach, Third Edition, (Addison Wesley Longman, 2001). |
EC 371 is a course primarily about financial investment. The focus will be on investments in common stock. The course offers a thorough treatment of the fundamental aspects of financial investments and is comprised of three main parts. Part one covers the elements of investing, dealing with such topics as the different approaches to investing (fundamental analysis versus more subjective, psychological approaches), how securities are traded, and mutual funds. Part two covers security analysis and deals with the various methods and techniques of estimating the value of a firm's common stock and its bonds. Part three covers portfolio theory and involves the analysis of risk-and-return aspects of holding a well-diversified portfolio. An underlying theme of the analysis is that established and well-organised security markets are efficient. This has crucial implications for the investor, which we will thoroughly analyse. One aim of this course is to provide the student with a guide for sound investment strategy.
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Main textbook: |
Bodie, Kane, Marcus; Essentials of Investments, 4th ed.; 2001, McGraw-Hill. |
EC 372 – Economic Foundations of Investment and Finance II
This course builds on the concepts and ideas taught in EC 371. However, we ewtend the analysis by incorporating an international perspective and approach. We begin with a discussion of the risk-and-return benefits of international diversification of a portfolio. We then proceed with the topic of asset pricin, both domestic and international asset pricing models is presented: the Capital Asset Pricing Model (CAPM), the International Capital Asset Pricing Model (ICAPM), the multi-country ICAPM, and the multi-factor Arbitrage Pricing Model. We then turn on attention to a detailed analysis and application of derivative assets, dealing with options, futures, swaps. In this section of the course we consider techniques to enhance investment-return and manage (or hedge) risk-exposure. A key feature of EC 372 is an internet-based portfolio – simulation by each student, in which each student starts out with the same allotment of funds and then engages in a construction and subsequent management of a portfolio, applying the lessons from both EC 371 and EC 372
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Main textbooks: |
Bodie, Kane, Marcus; Essentials of Investments, 4th ed.; 2001, McGraw-Hill. |
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Auxiliary textbooks: |
Solnik; International Investments; 4th ed.; 2000, Addison-Wesley.
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Sample characteristics and their distributions. Parameter estimation. Hypothesis testing. Linear regressions and least squares methods. Decision Rules. Statistics of stationary sequences. Statistical computing II.
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Main textbook: |
W. Feller. An introduction to probability theory and its applications. Wiley, 1971. |
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Auxiliary textbooks: |
I. Miller, M. Miller. John E. Freund's mathematical statistics. Prentice Hall, 1999. G. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. I. Hossack, J. Pollard, B. Zehnwirth. Introductory statistics with applications in general insurance. Cambridge University Press, 1999. |
Life tables and definition of the main life table (commutative) functions. Future lifetime as a random variable, distributions density functions, moments etc. Uniform distribution of deaths and constant force of mortality. Gompertz and Makeham laws of mortality. Other life table functions. Contrast between deterministic and statistical (stochastic) approaches. Life table as a population model and stationary populations. Main types of insurance contract and standard actuarial symbols. Expected values of payments under different insurance contracts. Numerical evaluation including life table functions. Equations of value. The net premium.
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Main textbooks: |
H. Gerber. Life insurance mathematics. With exercises contributed by Samuel H. Cox. Springer, 1998. N. Bowers, H. Gerber, J. Hickman, D. Jones, C. Nesbitt. Actuarial mathematics. 2nd ed. Society of Actuaries, 1997. |
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Auxiliary textbooks: |
B. Benjamin, J. Pollard. The analysis of mortality and other actuarial statistics. Institute of Actuaries and Faculty of Actuaries, 1993. R. Elandt-Johnson, N. Johnson. Survival models and data analysis. John Wiley & Sons, 1999. |
Selection and select life tables. Actuarial functions using select life tables. Changes in standard notations. Net and gross premiums. With-profit polices. Reserves. Mortality profits.
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Main textbooks: |
H. Gerber. Life insurance mathematics. With exercises contributed by Samuel H. Cox. Springer, 1998. N. Bowers, H. Gerber, J. Hickman, D. Jones, C. Nesbitt. Actuarial mathematics. 2nd ed. Society of Actuaries, 1997. |
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Auxiliary textbooks: |
B. Benjamin, J. Pollard. The analysis of mortality and other actuarial statistics. Institute of Actuaries and Faculty of Actuaries, 1993. R. Elandt-Johnson, N. Johnson. Survival models and data analysis. John Wiley & Sons, 1999. |
Introduction to collective risk theory. Poisson processes. Loss distributions. Distribution of aggregate claims. Ruin theory (Lundberg's inequality). Heterogeneity models. Bayesian estimations. Buhlmann and Buhlmann-Straub models. Application to group life insurance. The individual risk model. Premium loading. Reinsurance. Excess of loss reinsurance. Proportional reinsurance. Utility Functions. The maximal expected utility criterion. Insurance applications. Premium calculation principles: expected value, standard deviation, variance, zero utility, exponential premium.
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Main textbooks: |
H. Bühlmann. Mathematical methods in risk theory. Springer, 1996. C. Daykin, T. Pentikainen, M. Pesonen. Practical risk theory for actuaries. - - Chapman & Hall, 1994. |
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Auxiliary textbooks: |
H. Panjer, G. Willmot. Insurance risk models. Society of Actuaries, Schaumburg, IL, 1992. S. Klugman, H. Panjer, G. Willmot, G. Venter. Loss models: from data to decisions. John Wiley & Sons, 1998. J.-P.Bouchaud, M. Potters. Theory of financial risks. From statistical physics to risk management. Cambridge University Press, 2001. |
General credibility theory. Basic concepts: experience rating. Bayesian credibility. Empirical Bayes credibility: Model 1 and Model 2. Bonus-malus systems. Experience rating, Markov chains. Outstanding claim reserves. Chain Ladder method. Inflation-adjusted chain ladder method. Average cost of claim method. Bornhuetter-Ferguson Method.
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Main textbooks: |
H. Bühlmann. Mathematical methods in risk theory. Springer, 1996. C. Daykin, T. Pentikainen, M. Pesonen. Practical risk theory for actuaries. Chapman & Hall, 1994. |
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Auxiliary textbooks: |
H. Panjer, G. Willmot. Insurance risk models. Society of Actuaries, Schaumburg, IL, 1992. S. Klugman, H. Panjer, G. Willmot, G. Venter. Loss models: from data to decisions. John Wiley & Sons, 1998. J.-P.Bouchaud, M. Potters. Theory of financial risks. From statistical physics to risk management. Cambridge University Press, 2001. |
FM 332 – Property Appraisal
Why is the property appraisal needed in economy? Main principles of property appraisal. Method of comparative sales. Profit-losses based appraisals. Other methods of property appraisal.
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Main textbook: |
J. Stewart. Real estate appraisal in a nutshell. University of Toronto Press, 1972. |
The aim of this course is to teach students the basic ideas of business finance by introducing them to the financial environment and the financial decision making process. On successful completion of this course, students will understand the management of working capital, evaluate investment alternatives using a variety of methods and apply financial planning and controlling techniques.
The course discusses the role of financial markets and financial institutions in increasing national economic efficiency and social welfare. The necessary conditions for a stable financial environment and the political, legal and economic structure of financial institutions are analysed. In particular, the role and importance of an independent central banking system and a well functioning commercial banking system are highlighted. The difference between and similarities of well-developed financial markets and those in developing nations are discussed. Recent developments in the globalisation of financial markets and their impact on local economies are also emphasised.
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Main textbook: |
Saunders; Financial Institutions Management: A modern perspective, Mc Graw-Hill, 2001. |
BUS 481 – Business Ethics
The aim of this course is to make a strong stress on importance of correct and ethical behaviour for corporate (individual) market players. The students will be provided with numerous examples of positive/negative taste from real economy.
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Main textbook: |
Boatnight; Ethics and the Conduct of Business, 3rd ed. Prentice Hall, 2001. |
This is a course designed to give the student the necessary knowledge and working ability to make the financial decisions in the management of a business. The tasks of the financial manager (or management team) are diverse and interrelated. Included among these tasks are: deciding what projects are profitable; what projects the firm will undertake; how to finance the projects; how much debt is optimal for the firm; how to manage the firms assets; interpreting the firm’s accounting statements; managing risk. This course will use a coordinated set of practical applications and examples to explain and demonstrate the modern finance techniques of carrying out these tasks. In EC 415 the focus is on capital budgeting: the decision making process and apparatus concerning project profitability and implementation. Other major topics to be covered in EC 415: accounting statements; time value of money; asset valuation; risk and return.
(Please note that this corporate finance topic is to be taught over two semesters. Each semester’s treatment constitutes a separate course: EC 415 is presented in the fall semester and EC 432 (which uses the same text) in the spring semester.)
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Main textbook: |
Brealey, Myers, Marcus; Fundamentals of Corporate Finance; 3rd ed.; McGraw-Hill, 2001. |
This is a course designed to give the student the necessary knowledge and working ability to make the financial decisions in the management of a business. The tasks of the financial manager (or management team) are many. Included among these tasks are: deciding what projects are profitable; what projects the firm will undertake; how to finance the projects; how much debt is optimal for the firm, how to manage the firms assets, interpreting the firm’s accounting statements, managing risk. This course will use a coordinated set of practical applications and examples to explain and demonstrate the modern finance techniques of carrying out these tasks.
Please note that this corporate finance topic is to be taught over two semesters. Each semester’s treatment constitutes a separate course:
EC 415 (ECONOMICS OF CORPORATE INVESTMENT POLICY) is presented in the fall semester and EC 432 in the spring semester. In EC 432 the focus is on the financing of the firm and its projects: the different types and sources of financing; the costs and benefits and disadvantages of each; and a consideration of the optimal capital structure (or financing mix). Other major topics in EC 432 include financial statement analysis; international financial management; and risk management. In EC 415 the focus is on capital budgeting: the decision making process and apparatus concerning which projects are profitable what projects the firm will undertake. Other major topics in EC 415 include accounting statements; time value of money; asset valuation; and the risk, return, and cost of capital.
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Main textbook: |
Brealey, Myers, Marcus; Fundamentals of Corporate Finance; 3rd ed.; McGraw-Hill, 2001. |
Random sequences and processes, covariance, spectral distribution and decomposition, linear, invariant operations, linear least-mean-square estimation, normal equations, rational spectral density and autoregressive-moving average models.
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Main textbooks: |
S. Karlin, M. Howard. A first course in stochastic processes. Academic Press, 1975. J. Lamperti. Stochastic processes: a survey of the mathematical theory. Springer, 1977. |
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Auxiliary textbooks: |
Z. Brzezniak, T. Zastawniak. Basic stochastic processes: A course through exercises. Springer, 1998. W. Paul, Jörg Baschna. Stochastic processes: from physics to finance. Springer, 1999. G. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. |
FM 421 – Mathematics of General Insurance
Main types of non-life policies. Review of risk theory and its applications to general insurance. Premiums and reserves. Managing a portfolio of non-life policies.
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Main textbook: |
B. Sundt. An introduction to non-life insurance mathematics. Verlag Versicherungswirtschaft, Karlsruhe, 1991. |
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Auxiliary textbooks: |
I. Hossack, J. Pollard, B. Zehnwirth. Introductory statistics with applications in general insurance. Cambridge University Press, 1999. H. Panjer, G. Willmot. Insurance risk models. Society of Actuaries, Schaumburg, IL, 1992. |
Students should attend the departmental colloquium in financial mathematics and give a seminar talk on a selected topic.
World-wide review of pension schemes (state schemes, professional schemes, pension schemes in EU countries, in USA and in Turkey). Life table (commutative) functions for calculating benefits, premiums and reserves. Main principles of a pension scheme management.
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Main textbook: |
P. Davis. Pension funds: retirement-income security, and capital markets: an interna. Oxford: Clarendon Press, 1995. |
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Auxiliary textbook: |
S. Prodano. Pension funds: investment and performance. Gower, 1987. |
Markov sequences and processes: Markov chain sequences, stationary and steady-state distributions, ergodicity, Markov chain processes, Kolmogorov and Fokker-Planck equations, Poisson processes, queueing models. Independent and orthogonal increment processes: Brownian motion, Wiener and Poisson processes
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Main textbooks: |
J. Lamperti. Stochastic processes: a survey of the mathematical theory. Springer, 1977. S. Karlin, M. Howard. A first course in stochastic processes. Academic Press, 1975. |
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Auxiliary textbooks: |
Z. Brzezniak, T. Zastawniak. Basic stochastic processes: A course through exercises. Springer, 1998. W. Paul, Jörg Baschna. Stochastic processes: from physics to finance. Springer, 1999. G. Grimmett, D. Stirzaker. Probability and random processes. Oxford University Press, 2001. |
Review of utility functions. Investor’s expected utility of investment. Measures of risk of investment: variance, semi-variance, shortfall probability and mean shortfall. The mean and variance of return on a portfolio of assets. Single factor and multi-factor models. Capital asset pricing model and arbitrage pricing model. Efficient market hypotheses.
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Main textbooks: |
J. McCutcheon, W. Scott. An introduction to the mathematics of finance. Heinemann, 1986. W. Paul, Jörg Baschna. Stochastic processes: from physics to finance. Springer. |
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Auxiliary textbook: |
N. Bowers, H. Gerber, J. Hickman, D. Jones, C. Nesbitt. Actuarial mathematics. 2nd ed. Society of Actuaries, 1997. |
FM 442 – Senior Project II
Students will write a thesis on an advanced topic in financial mathematics under an advisor.
Role/tasks of a life office actuary. Appointed Actuary. Asset types and using assets to hedge interest rate risk. Valuation of liabilities. Life office accounts. Policy cash-flows and asset shares. Bonus systems. Capital needs of a life office, solvency and financial strength. Product/contract pricing. Expense analysis. Financial Condition Reports. Valuation of a life office for purchase reinsurance and underwriting.
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Main textbook: |
The course is based on the annual reports and other materials of Institute of Actuaries and Faculty of Actuaries. |
The aim of this course is to familiarise students with the operations of global financial markets and to introduce them to the conceptual framework within which the key financial decisions of multinational firms can be analysed. At the end of this course, students will be familiar with currency futures and options and be able to use these products to hedge against foreign currency risk. Students will also learn about the management of international working capital and the tools used in multinational fixed asset decisions.
INF 412 – Current Issues in Finance
The aim of this course is to teach students the factors that influence stock returns and introduce them to the capital market theories. On successful completion of this course, students will be able to use statistical techniques in the evaluation of different investment instruments and be familiar with portfolio management. Students will also learn about the issues behind merger and acquisition decisions and use cash flow analysis in the valuation of acquired firms.