• Offered by Rsch Sch of Finance, Actuarial Studies & App Stats
  • ANU College ANU College of Business and Economics
  • Course subject Statistics
  • Areas of interest Actuarial Studies, Finance, Statistics
  • Academic career UGRD
  • Course convener
    • Abhinav Mehta
    • Dr Bronwyn Loong
  • Mode of delivery In Person
  • Co-taught Course
  • Offered in First Semester 2015
    Second Semester 2015
    See Future Offerings

Compound interest functions; valuation of annuities certain; loans repayable by instalments; comparison of value and yield of cash flow transactions; valuation of fixed interest securities, with and without tax on interest and capital gains; duration and volatility of securities; introduction to concept of immunisation and matching; consumer credit contracts; introduction to stochastic interest rate models.

Learning Outcomes

Upon successful completion, students will have the knowledge and skills to:

To achieve an understanding of and facility in:

  • Cashflow models. Simple and compound interest. Accumulated and present values.
  • Nominal and effective rates of interest and discount, and the force of interest.
  • Introduction to annuities and their valuation. Perpetuities. Continuous, increasing, decreasing and indexed annuities.
  • Equations of value. Introduction to linear interpolation and annuity tables. Dealing with inflation.
  • Loan valuation and payments.
  • Capital budgeting including NPV, IRR and DPP. Measuring investment performance. TWRR and MWRR.
  • Valuation of fixed interest securities, with and without tax on interest and capital gains. Calculating yields. Allowing for callable features and inflation. Extending to property and share valuation.
  • Arbitrage and valuation of forward contracts. Yield curve and term structure of interest rates. Calculating forward and spot rates.
  • Interest rate risk: duration, effective duration and convexity. Conditions for and determination of immunisation.
  • Introduction to stochastic interest rate models.

Other Information

See the course outline on the College courses page. Outlines are uploaded as they become available. 

Indicative Assessment

  • In-class Quizzes : 30%

  • Final examination: 70%

The ANU uses Turnitin to enhance student citation and referencing techniques, and to assess assignment submissions as a component of the University's approach to managing Academic Integrity. While the use of Turnitin is not mandatory, the ANU highly recommends Turnitin is used by both teaching staff and students. For additional information regarding Turnitin please visit the ANU Online website.

Workload

Three contact hours per week plus at least 7 hours private study time.

Requisite and Incompatibility

To enrol in this course you must have completed STAT1003 or STAT1008

Majors

Fees

Tuition fees are for the academic year indicated at the top of the page.  

If you are a domestic graduate coursework or international student you will be required to pay tuition fees. Tuition fees are indexed annually. Further information for domestic and international students about tuition and other fees can be found at Fees.

Student Contribution Band:
2
Unit value:
6 units

If you are an undergraduate student and have been offered a Commonwealth supported place, your fees are set by the Australian Government for each course. At ANU 1 EFTSL is 48 units (normally 8 x 6-unit courses). You can find your student contribution amount for each course at Fees.  Where there is a unit range displayed for this course, not all unit options below may be available.

Units EFTSL
6.00 0.12500
Domestic fee paying students
Year Fee
2015 $3414
International fee paying students
Year Fee
2015 $4146
Note: Please note that fee information is for current year only.

Offerings, Dates and Class Summary Links

The list of offerings for future years is indicative only.
Class summaries, if available, can be accessed by clicking on the View link for the relevant class number.

First Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
1910 16 Feb 2015 06 Mar 2015 31 Mar 2015 29 May 2015 In Person N/A

Second Semester

Class number Class start date Last day to enrol Census date Class end date Mode Of Delivery Class Summary
2814 20 Jul 2015 07 Aug 2015 31 Aug 2015 30 Oct 2015 In Person N/A

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