Financial Mathematics
MATH4009, Spring Semester, 2021
Instructor: Yizao Wang
Email: yizao.wang@uc.edu
Office: 4302 French Hall
Office Hours: by appointment.
Class meeting: synchronous lectures Fri 2:30-3:25pm, two more pre-recorded ones per week. All lectures available at Canvas.
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 (50%), Midterm 1 (15%), Midterm 2 (15%), Final (20%).
Letter grades: A(90%), A-(85%), B+(80%), B(75%), B-(70%), C+(65%), C(60%), C-(55%).
Schedule
(Chapter numbers are from the 2nd edition. Chapter number in bracket is the one in the 3rd edition when different.)
There will be 7 or 8 HW sets, to be posted on Canvas. All exams are take-home.
- Week 1 (Jan 11): Chapter 1 The growth of money, 1.3-1.10.
- Week 2 (Jan 18): Chapter 1. 1.11, 1.12, 1.14, 1.15. MLK no class on Monday. HW1
- Week 3 (Jan 25): Chapter 2 Equations of value and yield rates. 2.2-2.7. HW2
- Week 4 (Feb 1): Chapter 3 Annuities (certain). 3.2-3.6
- Week 5 (Feb 8): Chapter 3. 3.7, 3.8, 3.12, 3.13. HW3
- Week 6 (Feb 15): Midterm 1 (Chap 1-3).
- Week 7 (Feb 22): Chapter 4 Annuities with different payment and conversion period. HW4
- Week 8 (Mar 1): Chapter 5 Loan repayment.
- Week 9 (Mar 8): Chapter 6 Bond. HW5
- Week 10 (Mar 15): Chapter 6 Bond.
- Week 11 (Mar 22): No class on Wed (Mar 24, reading day). HW6
- Week 12 (Mar 29): Midterm 2 (Chap 4-6). Chapter 7 Stocks and financial markets.
- Week 13 (Apr 5): Chapter 8 Arbitrage, term structure of interest rates, and derivatives.
- Week 14 (Apr 12): Chapter 9 Interest rate sensitivity. HW7
- Week 15 (Apr 19): Class ends on Wed (Apr 21).