• Class Number 7233
• Term Code 3260
• Class Info
• Unit Value 6 units
• Mode of Delivery In Person
• COURSE CONVENER
• Lucy Hu
• LECTURER
• Lucy Hu
• Class Dates
• Class Start Date 25/07/2022
• Class End Date 28/10/2022
• Census Date 31/08/2022
• Last Date to Enrol 01/08/2022
SELT Survey Results

Financial Mathematics (STAT6046)

This course provides an introduction to the valuation of cash flows. Topics include: 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.

## Learning Outcomes

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

1. Define and describe in detail the use of cash flow models, simple and compound rates of interest and discount as well as compare and distinguish between nominal and effective rates of interest and discount;
2. Describe in detail the various types of annuities and perpetuities and use them to solve financial transaction problems;
3. Derive equations of value and various tools like linear interpolation & annuity tables;
4. Communicate the difference in capital budgeting decision tools like Net Present Values, Internal Rates of Return and Discounted Payback Periods;
5. Analyse in depth basic fixed interest financial transactions like Loan Valuation, Fixed Interest securities (eg. Bonds) and employ the skills developed in this course to evaluate such transactions. Incorporate the effects of taxation on such financial transactions;
6. Demonstrate advanced knowledge of the term structure of interest rates and its applications in forward and spot rates; and
7. Define in detail the interest rate risk in terms of duration and convexity of fixed interest products, using this to define immunisation and assess its use in mitigating interest rate risk.

## Research-Led Teaching

This course covers the relevant parts of the professional Actuaries Institute syllabus, for the subject of CM1: Actuarial Mathematics Core Principles. Wherever possible the examples used in this course will reflect real-world situations to emphasize the use of the techniques covered.

N/A

N/A

## Examination Material or equipment

Formula Sheet, Standard Normal Cumulative Probability Table and Interest Rate Table will be provided in the final exam. You will need reliable access to Wattle and a calculator for the duration of the online quizzes and the online exam.

## Required Resources

All course notes and materials will be provided via Wattle. You will need access to a calculator to complete exercises required for this course. You will need access to a computer to get the materials necessary for the course. We will use MS Excel in this course. Some classwork and tutorial questions and solutions will be illustrated using MS Excel. Learning guides and short video lectures will be made available on wattle for students to learn the application of the concepts taught in this course. Some assignment questions will require the use of MS Excel or a spreadsheet program.

There are no prescribed textbooks for this course.

## Staff Feedback

Students will be given feedback in the following forms in this course:

• Following the Quiz 1 and 2, feedback may be given to the whole class about the general performance on the quiz.
• Students will also have the opportunity to speak with the tutors and the lecturer about their individual performance in the assignments.
• Zoom consultations. Times and instructions will be advised on wattle.

## Student Feedback

ANU is committed to the demonstration of educational excellence and regularly seeks feedback from students. Students are encouraged to offer feedback directly to their Course Convener or through their College and Course representatives (if applicable). Feedback can also be provided to Course Conveners and teachers via the Student Experience of Learning & Teaching (SELT) feedback program. SELT surveys are confidential and also provide the Colleges and ANU Executive with opportunities to recognise excellent teaching, and opportunities for improvement.

## Other Information

Assessment Requirements

As a further academic integrity control, students may be selected for a 15 minute individual oral examination of their written assessment submissions.

Any student identified, either during the current semester or in retrospect, as having used ghost writing services will be investigated under the University’s Academic Misconduct Rule.

Scaling

Your final mark for the course will be based on the raw marks allocated for each of your assessment items. However, your final mark may not be the same number as produced by that formula, as marks may be scaled. Any scaling applied will preserve the rank order of raw marks (i.e. if your raw mark exceeds that of another student, then your scaled mark will exceed the scaled mark of that student) and may be either up or down.

Referencing Requirements

Please see the links on the Wattle site, under the file named “ANU and College Policies, Program Information, Student Support Services and Assessment”. For a more interactive guide on what this is all about, please see http://library.acadiau.ca/tutorials/plagiarism/.

Support for Students

The University offers a number of support services for students. Information on these is available online from http://students.anu.edu.au/studentlife/

Exemption from Actuarial Professional examination

This course along with Life Contingencies (STAT3037) makes up for the CM1 examination of the Actuaries Institute. More details regarding the grades required for exemption and the procedure to follow is detailed on this webpage: Actuaries Institute requirements.

## Class Schedule

Week/Session Summary of Activities Assessment
1 Cash-flow models. Simple and compound interest. Accumulated and present values.
2 Nominal and effective rates of interest and discount. Force of interest.
3 Introduction to annuities and their valuation.
4 Perpetuities. Continuous, increasing, decreasing and indexed annuities. Quiz 1 Due (Friday)
5 Equations of value. Introduction to linear interpolation and annuity tables. Dealing with inflation.
6 Loan valuation and payments. Capital budgeting including NPV, IRR and DPP. Quiz 2 Due (Friday)
7 Measuring investment performance. TWRR and MWRR.
8 Valuation of fixed interest securities, with and without tax on interest and capital gains.
9 Calculating yields. Allowing for callable features and inflation. Extending to property and share valuation.
10 Yield curve and term structure of interest rates. Calculating forward and spot rates. Assignment Due (Friday)
11 Interest rate risk: duration, effective duration and convexity. Conditions for and determination of immunisation.
12 Immunisation exercises and revision

## Tutorial Registration

Tutorials will be available on campus, live through scheduled Zoom sessions and as pre-recorded videos. ANU utilises MyTimetable to enable students to view the timetable for their enrolled courses, browse, then self-allocate to small teaching activities / tutorials so they can better plan their time. Find out more on the Timetable webpage (https://www.anu.edu.au/students/program-administration/timetabling). Information regarding enrolments for these options will be provided on Wattle during the O-Week of the semester.

## Assessment Summary

Assessment task Value Due Date Return of assessment Learning Outcomes
Quiz 1 5 % 19/08/2022 26/08/2022 1
Quiz 2 5 % 02/09/2022 09/09/2022 2
Assignment 20 % 14/10/2022 28/10/2022 1-5
Final Exam 70 % 03/11/2022 01/12/2022 1-7

* If the Due Date and Return of Assessment date are blank, see the Assessment Tab for specific Assessment Task details

## Policies

ANU has educational policies, procedures and guidelines , which are designed to ensure that staff and students are aware of the University’s academic standards, and implement them. Students are expected to have read the Academic Integrity Rule before the commencement of their course. Other key policies and guidelines include:

## Assessment Requirements

The ANU is using 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. For additional information regarding Turnitin please visit the Academic Skills website. In rare cases where online submission using Turnitin software is not technically possible; or where not using Turnitin software has been justified by the Course Convener and approved by the Associate Dean (Education) on the basis of the teaching model being employed; students shall submit assessment online via ‘Wattle’ outside of Turnitin, or failing that in hard copy, or through a combination of submission methods as approved by the Associate Dean (Education). The submission method is detailed below.

## Moderation of Assessment

Marks that are allocated during Semester are to be considered provisional until formalised by the College examiners meeting at the end of each Semester. If appropriate, some moderation of marks might be applied prior to final results being released.

## Participation

Course content delivery will take the form of weekly on-campus lectures (recorded and available via echo360 on Wattle), weekly workshops (pre-recorded), and weekly tutorials. The tutorials will be delivered in a hybrid format (on-campus, live through scheduled Zoom sessions, and as pre-recorded videos). Weekly consultations with the lecturer and the tutor(s) will be conducted over Zoom.

## Examination(s)

Centrally scheduled examinations through Examinations, Graduations & Prizes will be timetabled prior to the examination period. Please check ANU Timetabling for further information.

## Assessment Task 1

Value: 5 %
Due Date: 19/08/2022
Return of Assessment: 26/08/2022
Learning Outcomes: 1

Quiz 1

Quiz 1 will be available on Wattle from 3:00 pm (AEST) on Friday 12th August in Week 3 and close on Friday 19th August at 3:00 pm (AEST) in Week 4. Once a student opens the quiz, the student will have 45 minutes to complete this quiz. Students need to make sure they start their quiz attempt at least 45 minutes before the due time (Friday 19th August at 3:00 pm AEST). This quiz covers the material from the first two weeks of the course. Students are required to complete this quiz individually. This quiz is worth 5% of the overall grade and is not redeemable. The quiz solution and marks will be provided on the Wattle page within a week after the due date.

Value: 5%

Due date: Friday 19th August 3:00 pm AEST (Week 4)

## Assessment Task 2

Value: 5 %
Due Date: 02/09/2022
Return of Assessment: 09/09/2022
Learning Outcomes: 2

Quiz 2

Quiz 2 will be available on Wattle from 3:00 pm (AEST) on Friday 26th August in Week 5 and close on Friday 2nd September at 3:00 pm (AEST) in Week 6. Once a student opens the quiz, the student will have 60 minutes to complete this quiz. Students need to make sure they start their quiz attempt at least 60 minutes before the due time (Friday 2nd September at 3:00 pm AEST). This quiz covers the material from week three to week five of the course. Students are required to complete this quiz individually. This quiz is worth 5% of the overall grade and is not redeemable. The quiz solution and marks will be provided on the Wattle page within a week after the due date.

Value: 5%

Due date: Friday 2nd September 3:00 pm AEST (Week 6)

## Assessment Task 3

Value: 20 %
Due Date: 14/10/2022
Return of Assessment: 28/10/2022
Learning Outcomes: 1-5

Assignment

Students are expected to complete this assignment individually. Assignment questions will be provided to all students no less than two weeks before the due date on the course Wattle page. The assignment is designed to assess the student's application of the various topics covered in this course, up to and including the material in week 9. Completing this assignment will require the use of MS Excel. This assignment is worth 20% of the overall grade and is not redeemable. More details will be provided during the lectures and on Wattle no later than the week 8's lecture.

Value: 20%

Due date: Friday 14th October 3:00 pm AEST (Week 10)

## Assessment Task 4

Value: 70 %
Due Date: 03/11/2022
Return of Assessment: 01/12/2022
Learning Outcomes: 1-7

Final Exam

The final examination will be a Wattle-based online exam during the university examination period at the end of the semester. The final examination will be 3-hour long and cover the entire syllabus. Examination materials and conditions will be notified to all students via Wattle no later than Week 10 of the semester. The exam will be centrally timetabled and details of the final examination timetable will be made available on the ANU Timetabling website.

Value: 70%

Date: Specific date to be advised.

## Academic Integrity

Academic integrity is a core part of the ANU culture as a community of scholars. The University’s students are an integral part of that community. The academic integrity principle commits all students to engage in academic work in ways that are consistent with, and actively support, academic integrity, and to uphold this commitment by behaving honestly, responsibly and ethically, and with respect and fairness, in scholarly practice.

The University expects all staff and students to be familiar with the academic integrity principle, the Academic Integrity Rule 2021, the Policy: Student Academic Integrity and Procedure: Student Academic Integrity, and to uphold high standards of academic integrity to ensure the quality and value of our qualifications.

The Academic Integrity Rule 2021 is a legal document that the University uses to promote academic integrity, and manage breaches of the academic integrity principle. The Policy and Procedure support the Rule by outlining overarching principles, responsibilities and processes. The Academic Integrity Rule 2021 commences on 1 December 2021 and applies to courses commencing on or after that date, as well as to research conduct occurring on or after that date. Prior to this, the Academic Misconduct Rule 2015 applies.

The University commits to assisting all students to understand how to engage in academic work in ways that are consistent with, and actively support academic integrity. All coursework students must complete the online Academic Integrity Module (Epigeum), and Higher Degree Research (HDR) students are required to complete research integrity training. The Academic Integrity website provides information about services available to assist students with their assignments, examinations and other learning activities, as well as understanding and upholding academic integrity.

## Online Submission

The assignment is to be submitted online on Wattle at the pre-specified location via Turnitin. You must attach an assignment cover sheet. Please keep a copy of tasks completed for your records.

## Hardcopy Submission

There are no hardcopy submission for this course.

## Late Submission

No submission of assessment tasks without an extension after the due date will be permitted. If an assessment task is not submitted by the due date, a mark of 0 will be awarded.

## Referencing Requirements

The Academic Skills website has information to assist you with your writing and assessments. The website includes information about Academic Integrity including referencing requirements for different disciplines. There is also information on Plagiarism and different ways to use source material.

## Returning Assignments

Assignments will be returned via Wattle.

## Extensions and Penalties

Extensions and late submission of assessment pieces are covered by the Student Assessment (Coursework) Policy and Procedure. Extensions may be granted for assessment pieces that are not examinations or take-home examinations. If you need an extension, you must request an extension in writing on or before the due date. If you have documented and appropriate medical evidence that demonstrates you were not able to request an extension on or before the due date, you may be able to request it after the due date.

## Resubmission of Assignments

More details will be provided during the lectures and on Wattle no later than the week 8's lecture.

## Privacy Notice

The ANU has made a number of third party, online, databases available for students to use. Use of each online database is conditional on student end users first agreeing to the database licensor’s terms of service and/or privacy policy. Students should read these carefully. In some cases student end users will be required to register an account with the database licensor and submit personal information, including their: first name; last name; ANU email address; and other information.
In cases where student end users are asked to submit ‘content’ to a database, such as an assignment or short answers, the database licensor may only use the student’s ‘content’ in accordance with the terms of service – including any (copyright) licence the student grants to the database licensor. Any personal information or content a student submits may be stored by the licensor, potentially offshore, and will be used to process the database service in accordance with the licensors terms of service and/or privacy policy.
If any student chooses not to agree to the database licensor’s terms of service or privacy policy, the student will not be able to access and use the database. In these circumstances students should contact their lecturer to enquire about alternative arrangements that are available.

## Distribution of grades policy

Academic Quality Assurance Committee monitors the performance of students, including attrition, further study and employment rates and grade distribution, and College reports on quality assurance processes for assessment activities, including alignment with national and international disciplinary and interdisciplinary standards, as well as qualification type learning outcomes.

Since first semester 1994, ANU uses a grading scale for all courses. This grading scale is used by all academic areas of the University.

## Support for students

The University offers students support through several different services. You may contact the services listed below directly or seek advice from your Course Convener, Student Administrators, or your College and Course representatives (if applicable).

## Convener

 Lucy Hu 6125 0836 u4957066@anu.edu.au

### Research Interests

Income modeling, GLM, and panel data analysis.

### Lucy Hu

 Tuesday 15:00 17:00 Tuesday 15:00 17:00

## Instructor

 Lucy Hu 6125 0836 yunxi.hu@anu.edu.au

### Lucy Hu

 Tuesday 15:00 17:00 Tuesday 15:00 17:00

Responsible Officer: Registrar, Student Administration / Page Contact: Website Administrator / Frequently Asked Questions