Financial Mathematics
MATH4009, Fall Semester, 2021
Instructor: Yizao Wang
Email: yizao.wang@uc.edu
Office: 4302 French Hall
Office Hours: by appointment.
Class meeting: MWF, 11:15AM - 12:10PM.
Course Description
The course provides an introduction to the theory of interest, and may serve as a preparation for the Actuarial Exam FM/2.
Textbooks
- Mathematical Interest Theory, 2nd/3rd Edition, Vaaler and Daniel. (Amazon)
- (Recommended but not required) 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 Canvas.
Grading
Homework (70%), Midterm (15%), Final (20%). (The highest score one may get is 105/100, or equivalently with 5 bonus credit.)
Letter grades: A(90%), A-(85%), B+(80%), B(75%), B-(70%), C+(65%), C(60%), C-(55%).
Tentative Schedule
(Chapter numbers are from the 2nd edition. Chapter number in bracket is the one in the 3rd edition when different.)
There will be 6-7 HW sets, to be posted on Canvas.
- Week 1 (Aug 23): Chapter 1 The growth of money, 1.3-1.10.
- Week 2 (Aug 30): Chapter 1. 1.11, 1.12, 1.14, 1.15. HW1
- Week 3 (Sep 6): Labor Day Holiday, Sep 6, no class on Monday. Chapter 2 Equations of value and yield rates. 2.2-2.7. HW2
- Week 4 (Sep 13): Chapter 3 Annuities (certain). 3.2-3.6
- Week 5 (Sep 20): Chapter 3. 3.7, 3.8, 3.12, 3.13. HW3
- Week 6 (Sep 27):
- Week 7 (Oct 4): Chapter 4 Annuities with different payment and conversion period. HW4
- Week 8 (Oct 11): Fall Reading Days, no class on Oct 11. Midterm (Chap 1-4), Fri.
- Week 9 (Oct 18): Chapter 5 Loan repayment.
- Week 10 (Oct 25): HW5
- Week 11 (Nov 1): Chapter 6 Bond.
- Week 12 (Nov 8): Chapter 7 Stocks and financial markets. HW6
- Week 13 (Nov 15): Chapter 8 Arbitrage, term structure of interest rates, and derivatives.
- Week 14 (Nov 22): Thanksgiving Weekend Holiday, Nov 26-29. Chapter 9 Interest rate sensitivity. HW7
- Week 15 (Nov 29):
- Week 16 (Dec 6): Final Exam. TBA.