## PART I : PG Diploma

COURSE MODULE | NAME | DETAILS |
---|---|---|

FIRST SEMESTER | ||

MFM 5021 | Applied Finance | 30L, 2C |

MFM 5022 | Stochastic Calculus for Finance | 30L, 2C |

MFM 5023 | Financial Econometrics | 30L, 2C |

MFM 5024 | Financial Derivatives | 30L, 2C |

SECOND SEMESTER | ||

MFM 5025 | Financial Risk Management | 30L, 2C |

MFM 5026 | Computing for Finance | 30L, 2C |

MFM 5028 | Corporate Finance | 30L, 2C |

MFM 5036 | Case study on Financial Market | 90P, 3C |

THIRD SEMESTER | ||

MFM 5027 | Optimization Methods for Finance | 30L, 2C |

MFM 5029 | Factor Analysis | 30L, 2C |

MFM 5031 | Financial Decision Theory | 30L, 2C |

MFM 5032 | Financial Accounting | 30P, 2C |

TOTAL CREDITS (PG Diploma) | 25C |

## PART II : M.Sc. Coursework

COURSE MODULE | NAME | DETAILS |
---|---|---|

FORTH SEMESTER | ||

MFM 5038 | Case Study on Financial Modeling & Simulation | 150L, 5C |

TOTAL CREDITS (M.Sc. Coursework) | 30C |

In addition to the above course modules, this program will cover several other course modules such as Economics, Fund Management, Project Management, Marketing, Basic Accounting, Financial Data Mining, etc.

## Evaluation Criteria

All the theory course modulus will be evaluated by written examinations and/or assignments where appropriate. Laboratory course modulus will be evaluated by assessments and/or end of the semester examinations. The Seminar will be evaluated by its content presentations.

## Degree awarding criteria:

Students are required to take all 25 credits of core modules from Part I. Those who obtain a GPA of not less than 2.50 for Part I of the programme will be allowed to proceed to Part II of the programme. Students who fail to obtain a GPA of 2.50 but maintain a GPA of not less than 2.00 in Part I will be eligible for the award of the Postgraduate Diploma in Financial Mathematics. The students who proceed to Part II and satisfactory completion of the modules in Part II and obtain a GPA of not less than 2.50 in Part I and Part II together will be eligible for the award of the M.Sc. (Coursework) in Financial Mathematics. Those who fail to obtain a GPA of 2.50 for Part I and Part II together of the programme but maintain a GPA of not less than 2.00 in Part I will be eligible for the award of the Postgraduate Diploma in Financial Mathematics.

In addition to this, the general guidelines of the Faculty of Science are applicable to the award of the MSc and the Postgraduate Diploma in Financial Mathematics.

## Extended Details

MFM 5021: Applied Finance (30L, 2C)

Time value of money, Valuation of annuities, Loan repayments, Bond valuation, Rate of return of an investment, Term structure of interest rates, Cash flow duration and immunization, Stocks, Fixed income investments, exchange rates.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5022: Stochastic Calculus for Finance (30L, 2C)

Introduction to Probability Theory, General probability spaces, Conditional expectation, Risk-neutral probability measure, Applications – using binomial asset pricing model, Markov property, applications to Exotic options, Stopping time and American options, Jensen’s Inequality, Random walks, Discrete time Brownian motion.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5023: Financial Econometrics (30L, 2C)

Review of Statistics, Least square and maximum likelihood estimation, Linear regression, multiple regression, Testing CAPM and measuring portfolio performance, models of normal returns, testing the abnormal returns, moving average, autoregressive (and/or ARIMA models), Time series analysis, forecasting asset returns, ARCH and GARCH models, Option pricing and estimation of continuous time processes, non-parametric estimation.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5024: Financial Derivatives (30L, 2C)

Introduction to Option Markets, Asset price as a random walks, Ito’s lemma and applications, Black-Scholes option pricing Model and its derivation, hedging with options, Exotic and path dependent options, Binomial model as a back testing tool for option pricing.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5025: Financial Risk Management (30L, 2C)

Market Risks: Risk and Return, Portfolio risk measures, Risk-Return preferences, Correlation, Mote-Carlo simulation of asset returns, Value at Risk, efficient frontier, Applications of CAPM in risk management, Credit Risk: Introduction to credit matrix frame work, Credit VaR, Operational Risk: Basel II.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5026: Computing for Finance (30L, 2C)

Use of computer software packages/programming (Advance Excel, Excel Macro, MATLAB and VB) for financial modeling and simulation, Implementation of binomial trees, Random number generation, correlated Random numbers, Monte-Carlo simulations, Implementation of Newton-Raphson, Excel Solver, Multiple Regression.

Assessment: Assignments/In class/ Practical exams 40% and end of semester practical examination 60%.

MFM 5027: Optimization Methods for Finance (30L, 2C)

Optimization problems, Optimization with data uncertainty, linear programming problem, duality, optimality conditions, short review on simplex methods, LP models in finance: asset/liability cash-flow matching, short-term financing, dedication, and sensitivity analysis for LP, case studies on constructing a dedicated portfolio. Derivative securities and fundamental theorem of asset pricing, Arbitrage detection using LP, Nonlinear programming: univariate optimization, unconstrained optimization, constrained optimization.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5028: Corporate Finance (30L, 2C)

Introduction: Corporate finance and financial manager, the goal of the financial management, Stock valuation, Capital budgeting, Investment criteria, Capital structure, cost of capital, dividend policy, personal and corporation taxation, Project analysis and evaluation, Return risk and the security market line, short/long term financing, Measures and assessment of financial performance.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5029: Factor Analysis (30L, 2C)

Mathematical concepts of factor analysis, Diagonal method of factor extraction, Types of factor models, approximate factor models, Arbitrage pricing theory, Small n estimation methods, large n estimation methods, number of factors, equity and fixed income characteristics, Characteristic-based factor models of equities, Fama-French model and extensions, semi parametric approach to characteristic-based factor models.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5031: Financial Decision Theory (30L, 2C)

Introduction to game theory and related application, two-person game, n-person game, utility theory, static cooperative games, dynamic cooperative games, multilevel mathematical programming, Applications in Finance.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5032: Financial Accounting (30L, 2C)

Nature and scope, Limitations of Financial Accounting. Basic Concepts and Conventions. Accounting Standards, Preparation of income statement and the Balance Sheet, Accounting for Depreciation, Accounting for inventory.

Assessment: Assignments/In class/ Practical exams 40% and end of semester written examination 60%.

MFM 5036: Case Study on Financial Market (90P, 3C)

Individual candidate will be assigned Case Study on Financial Market. After the given period of time, candidates are expected to conduct the seminar based on their case studies.

Learning Methods:

Each student will be required to gain a thorough knowledge on a given topic related to financial market through a set of field visits/workshops under the guidance of an industrial expertise panel.

Assessment:

The assessment will be based as follows:

- Continuous Assessments – 50%
- Final presentation – 25%
- Viva – 25%

Case Study on Financial Modeling & Simulation (150P, 5C)

Individual candidate will be assigned Case Study on financial field/current financial topics. After the given period of time, candidates are expected to conduct the seminar based on their case studies.

Learning Methods:

Each student will be required to study model/s and simulation technique/s on a given topic related finance/insurance field under the guidance of a supervisor appointed by the department.

Assessment:

The assessment will be based as follows:

- Continuous Assessments – 30%
- Final presentation – 20%
- Viva – 20%
- Report- 30%