Certificate in Financial Maths & Modelling Syllabus

Certificate in Financial Maths &038 role model Syllabus Overview The Certificate in Financial Maths &038 model provides a rigorous and integrated set of quantitative tools to understand and ex manifest fiscal instruments, financial danger and embodied value and the of im mannerly burning(prenominal) relationship between them. The emphasis throughout is on t he practical mould of real life problems and opportunities.Techniques such as no- merchandise set, distance, convex shape and portfolio analysis including the trade-off between risk and return are explained and applied. The career analyses the use of survival of the fittests for financial risk management, and the paygrade of contrary types of option apply binomial pricing models, the Black Scholes model and other techniques. It also int roduces and applies value at Risk measures, their potential us es and their limitations. subject area whole 1 Fundamental concepts in financial math and molding translate un it 1 introduces the fundamental concepts of financial math and modelling in the five areas of worry rat e maths modelling the set of a series of fixed or growing future specieflows modelling the term structure of int erest rates utilize no arbitrage relationships selected issues in probability and statistical models and modelling the maths of Value at Risk.Study unit of measurement 2 imitate the maths of debt Study unit of measurement 2 looks at modelling the maths of debt in the main areas of present values, fut ure cash flows, timing and risk and interest rat e sensitivity and time models, in particular value relationships with respect to yield, maturity, voucher rate and coupon frequency.Study unit of measurement 3 mannequin the maths of foreign tack Study unit 3 introduces the c oncepts of modelling t he maths of foreign exchange in the four areas of quoting conventions hedging exploitation preceding foreign exchange cont racts the relationships bet ween fore ign exchange rates, interest rates and ostentation rates and applying VaR to foreign exchange risk management. Study Unit 4 theoretical account the maths of derivatives Study Unit 4 covers the maths and modelling of derivatives in t he cardinal areas of int roduction to derivatives mathematics and modelling capital foodstuff swap mathematics.Study Unit 5 simulation the maths of options Study Unit 5 covers the maths and modelling of options in the four areas of option payoff mathematics option payoff maths in the context of hedging option military rank modelling and options arbitrage and the put-call parity relationship. Study Unit 6 Modelling the maths of portfolios and corporate pay Study Unit 6 introduces the fundamental concepts of modelling the maths of port folios and corporate finance in the t wo areas of modelling port folios analysis of risk and return, and modelling for corporate finance corporate paygrade and the impact of changing capit al structure. tie be am of merged Treasurers (01. 04. 11, subject to change) Study Unit 1 Fundamental concepts in financial maths and modelling Unit introduction 1. 0. 1 Notation and rules of algebra 1. 0. 2 Financial modelling component part 1 Interest rate mathematics 1. 1. 1 Interest calculations and quoting conventions 1. 1. 2 The time-value relationship discussion section 2 Modelling values of a series of future cashflows 1. 2. 1 Infinite series cashflows (perpetuities) and their valuation 1. 2. Finite series cashflows (annuities) and their valuation Section 3 Modelling the term structure of interest rate s no arbitrage relationships 1. 3. 1 Zero coupon, forward and par structures of interest rates different forms of yield curves 1. 3. 2 No arbitrage relationships between zero coupon, forward and par rates Section 4 Probability and stati sti cal models selected issue s 1. 4. 1 Measures of central location (or central tendency), dispersion and correlation 1. 4. 2 Frequency distributions in t heory and in practice Section 5 Modelling the maths of Value at Risk 1. . 1 Modelling the maths of Value at Risk for single risks 1. 5. 2 Extending the modelling of Value at Risk Study Unit 2 Modelling the maths of debt Section 1 condensed term debt 2. 1. 1 Short term debt issuers, market participants and market conventions 2. 1. 2 Calculation of interest and valuation of short term debt instruments Section 2 Longer term debt 2. 2. 1 Analysis and valuation of bonds 2. 2. 2 Real interest rates and inflation indexing Section 3 Interest rate sensitivity and duration models 2. 3. Duration and int erest rat e price sensitivity, relative and absolute measures 2. 3. 2 Interest rate immunisation, convexity and modified convexity Study Unit 3 Modelling the maths of foreign exchange Section 1 Foreign exchange mathematics 3. 1. 1 Converting between currencies using item foreign exchange rates 3. 1. 2 Converting between currencies determining and using forward foreign exchange rat es 3 . 1. 3 The maths of foreign exchange risk management 3. 1. 4 Applying Value at Risk to foreign exchange risk managementStudy Unit 4 Modelling the maths of derivatives Section 1 Introduction to derivative s mathematics 4. 1. 1 Payoffs for fixing derivatives and options 4. 1. 2 The maths of FRAs cashflows, hedging, valuation and basis risk 4. 1. 3 Futures contracts cashflows, hedging and valuation Section 2 Modelling swap mathematics 4. 2. 1 The maths of capital market swaps including interest rate swaps 4. 2. 2 The maths of cross-currency interest rate swaps Association of Corporate Treasurers (01. 04. 11, subject to change) Study Unit 5 Modelling the maths of optionsSection 1 Option payoff mathematics 5. 1. 1 Payoffs from employment strategies with single options 5. 1. 2 Payoffs from trading strategies involving more than one option Section 2 Option payoff maths hedging and hedged results achieved 5. 2. 1 hedge a portfolio options plus underlying asset/(liability) 5. 2. 2 H edging corporate exposures with options Section 3 Option valuation modelling 5. 3. 1 Binomial option valuation models 5. 3. 2 Black Scholes option pricing model 5. 3. 3 Arbitrage and the put-call parity relationshipStudy Unit 6 Modelling the maths of portfolios and corporate finance Section 1 Modelling portfolios analysi s of ri sk and return 6. 1. 1 Modelling simple port folios analysis of risk and return 6. 1. 2 Modelling multi-asset port folios &038 portfolios including liabilities Section 2 Modelling for corporate finance 6. 2. 1 Modelling the constitute of corporate capital 6. 2. 2 Modelling the relationship between corporate value and capital structure 6. 2. 3 Modelling corporate valuation Association of Corporate Treasurers (01. 04. 11, subject to change)