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Mar 14, 2026
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ACS 1541 - Financial Mathematics II1 lecture hours 0 lab hours 1 credits
Course Description
This course is the second course in the two-course Financial Mathematics sequence. Topics covered include cash flow matching and immunization. Substantial focus will also be placed on developing efficient problem-solving skills for all topics covered in the Financial Mathematics course sequence.
Prereq: ACS 1531 or ACS 1530
Note: None
This course meets the following Raider Core CLO Requirement: None
Course Learning Outcomes
Upon successful completion of this course, the student will be able to:
- Calculate the price of a callable bond to achieve a specified minimum yield.
- Define and recognize the definitions of the following terms: yield rate/rate of return, current value, duration and convexity (Macaulay and modified), portfolio, spot rate, forward rate, yield curve, cash flow and duration matching, and immunization (including full immunization and Redington immunization).
- Construct an investment portfolio to protect the value of an asset-liability portfolio using either Redington or full immunization.
- Construct an investment portfolio to exactly match a set of liability cash flows.
Prerequisites by Topic
Course Topics
- General cash flows
- Portfolios
- Immunization
- Exact matching
Coordinator
Dr. Jinkai Xu
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