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

  1. Mathematical Interest Theory, 2nd/3rd Edition, Vaaler and Daniel. (Amazon)
  2. (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.