| 1. | Course Title | Financial Mathematics | |||||||||||
| 2. | Code | 4ФЕИТ08030 | |||||||||||
| 3. | Study program | 13-PMA | |||||||||||
| 4. | Organizer of the study program (unit, institute, department) | Faculty of Electrical Engineering and Information Technologies | |||||||||||
| 5. | Degree (first, second, third cycle) | Second cycle | |||||||||||
| 6. | Academic year/semester | I/1 | 7. | Number of ECTS credits | 6.00 | ||||||||
| 8. | Lecturer | Dr Biljana Jolevska-Tuneska | |||||||||||
| 9. | Course Prerequisites | ||||||||||||
| 10. | Course Goals (acquired competencies):
After completing the course, the student demonstrates an understanding and knowledge of the basics of financial mathematics. Also, the student is trained to independently analyze mathematical models in finance, as well as to apply different models and techniques to solve specific financial problems. |
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| 11. | Course Syllabus:
Simple and compound interest. Time value of money. Basic compound interest function. Discontinuous cash flow. Simple Stochastic Models. Introduction to a simple market model. One period binary model. Risk and return. Future contracts. Call and put options. Managing risk with these options. Discrete financial models. Binary multi-period model. Multidimensional Black-Scholes model. Fundamental theorem of finance. |
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| 12. | Learning methods:
Blended way of learning: lectures supported by presentations and visualization of concepts and independent project assignments. |
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| 13. | Total number of course hours | 180 | |||||||||||
| 14. | Distribution of course hours | 3 + 3 | |||||||||||
| 15. | Forms of teaching | 15.1 | Lectures-theoretical teaching | 45 hours | |||||||||
| 15.2 | Exercises (laboratory, practice classes), seminars, teamwork | 45 hours | |||||||||||
| 16. | Other course activities | 16.1 | Projects, seminar papers | 30 hours | |||||||||
| 16.2 | Individual tasks | 30 hours | |||||||||||
| 16.3 | Homework and self-learning | 30 hours | |||||||||||
| 17. | Grading | ||||||||||||
| 17.1 | Exams | 0 points | |||||||||||
| 17.2 | Seminar work/project (presentation: written and oral) | 50 points | |||||||||||
| 17.3. | Activity and participation | 20 points | |||||||||||
| 17.4. | Final exam | 30 points | |||||||||||
| 18. | Grading criteria (points) | up to 50 points | 5 (five) (F) | ||||||||||
| from 51 to 60 points | 6 (six) (E) | ||||||||||||
| from 61 to 70 points | 7 (seven) (D) | ||||||||||||
| from 71 to 80 points | 8 (eight) (C) | ||||||||||||
| from 81 to 90 points | 9 (nine) (B) | ||||||||||||
| from 91 to 100 points | 10 (ten) (A) | ||||||||||||
| 19. | Conditions for acquiring teacher’s signature and for taking final exam | none | |||||||||||
| 20. | Forms of assessment | Project assignment and final exam | |||||||||||
| 21. | Language | Macedonian and English | |||||||||||
| 22. | Method of monitoring of teaching quality | Self-evaluation | |||||||||||
| 23. | Literature | ||||||||||||
| 23.1. | Required Literature | ||||||||||||
| No. | Author | Title | Publisher | Year | |||||||||
| 1. | M. Capinski ant T. Zastawriak, | Mathematics for Finance: An introduction to Financial Engineering | Springer | 2007 | |||||||||
| 2. | J. Nielsen | Financial Mathematics 1 | Leeds University | 2012 | |||||||||
| 23.2. | Additional Literature | ||||||||||||
| No. | Author | Title | Publisher | Year | |||||||||
| 1. | A.J. Roberts | Elementary calculus of financial mathematics | SIAM | 2009 | |||||||||
