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Specific Course ContentRequired TextSupplemental/Advanced Material (not required)GradingOutline & Intended PaceMaterialTerm PapersUniversity of ConnecticutFinancial Mathematics II – Applied Mathematics of Corporate FinanceMath 5621(369)Fall 2011 Classes: M 2 – 3:50 Instructor: James G. Bridgeman, FSA CERA WF 2 – 2:50 MSB408 MSB307 860-486-8382 [email protected] websites: instructor’s: www.math.uconn.edu/~bridgeman/index.htmlOffice Hours: M/Th/F 10:00 – 11:30 course: W 3:00 – 4:30 www.math.uconn.edu/~bridgeman/math5621f11/index.htmF 1:00 – 2:00 or by appointmentContext for the CourseRequired for the Professional Master’s degree in Applied Financial MathematicsCertified for SOA/CAS Validation by Educational Experience (VEE) in Corporate FinanceContains some financial economics material relevant for SOA exams FM, MFE and CSpecific Course ContentIntroduction to the Applied Mathematics of Corporate Finance and Introduction to Derivative Securities and Risk Neutral Pricing ModelsRequired TextCopeland et al, Financial Theory and Corporate Policy (4th ed.) Student Solutions Manual (4th ed.)Responsible for substantial additional non-text material presented in class Supplemental/Advanced Material (not required)Various resources as referenced in the Copeland text, plusHo & Lee, The Oxford Guide to Financial ModelingChew, The New Corporate Finance/where theory meets practice (3rd ed.)McDonald, Derivative Markets (2nd ed.)Megginson, Corporate Finance TheoryShreve, Stochastic Calculus for Finance I: Binomial Asset Pricing ModelBrealey Myers Allen, Principles of Corporate Finance (8th ed.)Panjer (ed.), Financial EconomicsGollier, The Economics of Risk and TimeGradingTerm Paper 40%Tests & Projects 20%Final Exam 40%Both the syllabus and the grading plan are subject to change with appropriate advance notice to the class.Outline & Intended PaceWeek of Topic(s) MaterialAug. 29 introduction: decisions about value, cash is king Ch. 1Sept. 5 financial statement analysis: where and when is the cash? Handout; Ch.2A-C Sept. 12 expected cash flow; DCF valuation Ch. 2D-HSept. 19 closed form financial analysis Ch. 14ASept. 26 free form financial analysis (spreadsheet) Ch. 14BOct. 3 risk: variance of cash flow, effect on price and return Ch. 5A-DOct. 10 capital asset pricing model (CAPM): portfolio pricing Ch. 5E-FOct. 17 CAPM: securities pricing 6A-HOct. 24 CAPM: market risk premium; arbitrage pricing theory (APT) Ch. 6I-MOct. 31 market efficiency: the ideology, cost of information, evidence Ch.10, Ch. 11Nov. 7 financing decisions (capital structure) MM theory, taxes, WACC Ch.14C1,Ch.15A-B Nov. 14 financing decisions (capital structure) with CAPM and debt risk Ch. 15 C-FNov. 28 financing decisions (capital structure) practical considerations specific tax effects on valueCh. 15F-L Ch.14C2-4Dec. 5 dividend policy: cash plus information, effect on value real options - where value comes fromCh. 16Ch. 9G-J allsemesterevery week 50 minutes will be devoted to derivative securities and riskneutral pricing, proceeding at a separate pace, usually on MondaysCh. 7, Ch. 9A-F andextensive class notes Final Exam week of Dec. 12 to 18; you must be present on the dayscheduled for the final exam by the registrar AllTerm PapersA paper will be due on Dec. 12. You may choose any of the main topics in thesyllabus (i.e. sections in the text or from class notes) and prepare a paper covering the topic in more depth than covered in text or class notes, or presenting extensions of the material in the text or class notes, after consulting outside references. Alternatively, you may choose a topic from sections of the text not covered in the syllabus and explain how it works, including its connections with the material covered in the syllabus. You will submit a topic selection on Nov. 4 and a written outline on Nov. 11.AssignmentsEvery week text exercises will be assigned, not for collection and grading but to aid with your mastery of the material. You can check your own work against the solutions manual and raise any questions in class. For tests and for the final exam it will be assumed that you have mastered this material whether or not it has been mentioned in class. Background readings may be assigned in text sections not referenced in the syllabus. These will not be covered on tests or the exam, but should be read to enhance your overall understanding of the subject.Tests and ProjectsOne or more take-home tests or projects may be assigned at my discretion for grading during the course of the semester.Both the syllabus and the grading plan are subject to change with appropriate advance notice to the


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UConn MATH 5621 - Syllabus

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