Bachelor of Science Honours in Financial Mathematics

Purpose

The purpose of the Bachelor of Science Honours in Financial Mathematics is to prepare learners for research-based postgraduate study. It serves to deepen learners' expertise in the field of Financial Mathematics, and to develop research capacity in the methodology and techniques of the field of Financial Mathematics. The qualification demands a high level of theoretical engagement and intellectual independence.

Rationale

The qualification is intended to provide the country with learners who have specialised knowledge in Financial Mathematics and can, therefore, serve the country in a variety of important ways, in both the public and private sectors.

Qualifying learners will be prepared for specific occupational possibilities as qualified Financial Engineers or Financial Mathematicians by obtaining knowledge and skills, as well as research abilities to examine and solve problems related to the discipline. This qualification prepares learners for research-based postgraduate studies at Level 9.

This qualification consists of the following compulsory modules at NQF Level 8 totalling 148 Credits.

Compulsory Modules, Level 8, 120 Credits

• Stochastic Processes I, 12 Credits.
• Measure Theory I, 12 Credits.
• Financial Engineering I, 16 Credits.
• Differential Equations, 16 Credits.
• Statistical Data-analysis I: Models, 12 Credits.
• Stochastic Processes II, 12 Credits.
• Statistical Data-analysis II: Time Series, 12 Credits.
• Topology, 12 Credits.
• Measure Theory II, 12 Credits.
• Research Module: Financial Engineering and Pricing of Derivatives, 32 Credits.

1. Demonstrate depth of knowledge and skills to solve practical financial engineering/mathematics problems.
2. Formulate and solve problems using financial engineering, stochastic process, statistical time series, and statistical data analysis methodologies, models and techniques.
3. Formulate and solve problems using measure-theoretic principles, structured derivative products and price derivative products using Financial Mathematics.
4. Conduct and report research under supervision in the form of a discrete research component that is appropriate to the discipline or field of study.

The following Associated Assessment Criteria will be applied in an integrated manner across the Exit Level Outcomes

• Demonstrate integrated knowledge and understanding of the use of stochastic calculus theory to model and price financial securities.
• Analyse different types of risks and apply the appropriate hedging instrument in each case.
• Formulate valuation problems in mathematical forms using appropriate notation.
• Evaluate modern financial theories and select the appropriate instruments for different risk management applications.
• Use price simple derivative securities utilising appropriate software, if applicable.
• Develop and communicate their ideas and opinions in well-formed arguments, using appropriate academic, professional, or occupational discourse.
• Select, apply, and critically judge the effectiveness of the implementation of relevant statistical models.
• Implement and apply linear statistical models to solve real-world problems and answer questions related to the associated experimental design.
• Solve real-world problems through the use of stochastic processes.
• Select, apply, and critically judge the effectiveness of the implementation of relevant time series models.
• Implement and apply time series models to solve real-world problems.
• Apply the principles and applicable methods to solve problems concerning:

> Basic topological concepts, continuity, compactness, nets and the inadequacy of sequences,

> Product spaces and Tychonoff's theorem, normal sets and Urysohn' lemma, separation axioms and regularity, compactness (revisited),

> Local en Para compactness, compactifications, metrisability, connectedness, topological manifolds and the embedding theorem.

Integrated Assessment

Formative assessment will be undertaken through projects, assignments, case studies and tests during the year in the modules. In some modules, formative assessment will include portfolios, practical evaluations and a research proposal.

Learners will also write a summative and integrated exam (written and practical) and will submit a research report on discrete research that was conducted under supervision at the end of the year for summative assessment.