Financial Mathematics

• Recapitulation of basic mathematical terms (functions, exponential and logarithmic functions) • Interest and return types (arithmetic, geometric with single and multiple interest payments, continuous) • Interest and return calculations for all types mentioned above • Equivalent transformations of interest rates and returns • Final and cash value calculations with the various interest types • Annuity calculations • Annuity value • Present value of an infinity stream of constant cash flows and of an infinity stream of cash flows with constant growth rate • Consideration of inflation in future and present values • Drawing up repayment schedules on an annual and an interim basis • Bond pricing incl. accrued interest • Calculation of the Macaulay Duration • Calculation of the premium for a life insurance policy

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Jürgen Tietze: Einführung in die Finanzmathematik, Springer Verlag, 12th edition, 2014 Thomas Heidorn: Finanzmathematik in der Bankpraxis: Vom Zins zur Option, 7th Edition, 2016 Exercise sheets

Planned learning activities and teaching methods

Integrated classes (2 groups) Lectures and exercises

Assessment methods and criteria

Continuous assessment (three short written tests) and final written exam

Prerequisites and co-requisites

(Austrian) secondary school-leaving level in mathematics

Infos

Degree programme

Banking and Finance (Bachelor)

Cycle

Bachelor

ECTS Credits

3.00

Language of instruction

German

Curriculum

Full-Time

Academic year

2021

Semester

1 WS

Incoming

No

Learning outcome

After successful completion of the course, the students can • identify and explain the standard types of interest (decursive/anticipatory or deferred/prepayment) • match daily counting conventions with different European and global markets and to explain their calculation differences • identify and apply various methods of calculating returns (International Capital Markets Association, US method, 360TM) • calculate future values, net present values and annuities of payment series such as loans and bonds • create and use basic risk ratios

Course code

0229-19-01-VZ-DE-03