Financial Mathematics
MATH4009, Spring Semester, 2017
Instructor:
Yizao Wang
Email:
yizao.wang@uc.edu
Office: 4302 French Hall
Office Hours: walk-in 2:30-4pm, W, other time by appointment.
Class meeting: MWF 12:20-1:15pm, 60WChalton Room 119.
Course Description
The course provides an introduction to the theory of interest, and may serve as a preparation for the Actuarial Exam FM/2. (Financial Economics is not covered in this class. Financial Economics will no longer be included in FM/2 from June 2017, see announcement from SOA
here.)
Textbooks
- Mathematical Interest Theory, 2nd Edition, Vaaler and Daniel. (Amazon)
- Theory of Interest, 3rd Edition, Kellison. (Amazon)
- A Basic Course in the Theory of Interest and
Derivatives Markets:
A Preparation for the Actuarial Exam FM/2. Marcel Finan. (ebook from author's website)
The lectures will follow reference 1 (all 9 Chapters) above. Some examples/exercises are taken from Reference 3 above. Lecture slides will be available at Blackboard.
Planning for FM/2 Exam
Students planning to take the FM/2 exam in summer are recommended to take MATH4010 (FM/2) in the same semester. MATH4009 and MATH4010 (FM/2) will be coordinated in SS2017 by the same instructor.
A calculator is needed for taking the FM/2 exam (see allowed models
here). The usage of calculator will not be covered in lectures. Detailed instructions can be found in reference 1 above.
Grading
Homework/Quizzes 20%, Midterm 1 20%, Midterm 2 20%, Final 40%.
Schedule
- Week 1 (Jan 9): Chapter 1 The growth of money.
- Week 2 (Jan 16): Chapter 1. MLK no class on Monday, Q1 on Fri.
- Week 3 (Jan 23): Chapter 2 Equations of value and yield rates.
- Week 4 (Jan 30): Chapter 3 Annuities (certain). Q2 on Fri.
- Week 5 (Feb 6): Chapter 3.
- Week 6 (Feb 13): Midterm 1 (Chap 1-3) on Wed Feb 15 in class.
- Week 7 (Feb 20): Chapter 4 Annuities with different payment and conversion period.
- Week 8 (Feb 27): Chapter 5 Loan repayment. Q3 on Fri.
- Week 9 (Mar 6): Chapter 6 Bond. Q4 on Fri.
- Week 10 (Mar 13): Spring break
- Week 11 (Mar 20): Chapter 6 Bond.
- Week 12 (Mar 27): Chapter 7 Stocks and financial markets.
- Week 13 (Apr 3): Chapter 8 Arbitrage, term structure of interest rates, and derivatives. Midterm 2 (Chap 4-6) on Fri Apr 7 in class.
- Week 14 (Apr 10): Chapter 9 Interest rate sensitivity.
- Week 15 (Apr 17): Review.
- Week 16 (Apr 24): Final Exam Apr 25 (Tues) 12-2pm, usual classroom.
Other preparation materials for SOA/CAS Exam FM/2
- A/S/M Manual for Exam FM/Exam 2 Financial Mathematics
Strongly recommended. A very popular and helpful preparation manual. The department has several copies for students to borrow. Contact Anita Swillinger for details.
- SOA Online Exam Sample Questions and Solutions
- Sample online actuarial exams.
- Offical websites of SOA and CAS.
- Website of Be an actuary.
- Some general tips.