**Instructors**

Mr. Aaron Hillebrandt, FCAS, MAAA

Property Casualty Actuary

COUNTRY Financial

1701 Towanda Avenue, P.O. Box 2100

Bloomington, IL 61702-2100

Telephone: 309-821-4618, Fax: 309-820-3030.

E-mail: aaron.hillebrandt@countryfinancial.com

and

Dr.
Krzysztof Ostaszewski,
FSA, FSAS, CERA, CFA,
MAAA

Actuarial Program Director

Office: Stevenson Hall room 313G

Telephone: 309-438-7226, Fax: 309-438-5866.

E-mail: krzysio@ilstu.edu

Tuesdays and Thursdays 4:00-5:50 p.m. (with a ten minute break), in Stevenson Hall, room 120.

Office hours will be held Tuesdays and Thursdays 3:00-3:50 p.m., in Stevenson Hall room 313G, by Dr. Krzysztof Ostaszewski. Please ask for an appointment at other times.

**Textbooks**

Notes for all topics with practice exercises will be posted as links next to dates of classes, see below, in the schedule of classes.

*• Derivatives Markets, *Second Edition, by McDonald, R.L., Addison-Wesley, Pearson Education, 2006.

The following (downloadable as PDFs) study notes from the Society of Actuaries are also useful:

• *Multi-State Transition Models with Actuarial Applications *by J. Daniel. This is a reference on Markov Processes.

• *Poisson Processes (and mixture distributions),* by J. Daniel. This is a reference on Poisson Processes.

• *Exam MFE/3F syllabus for November 2011. *

•

•

•

•

**Objective**

The objective of this class is to help you learn about Poisson and Markov stochastic processes and mathematical models utilized in financial economics.These actuarial models form a key part of modern actuarial science. We will cover the entire contents of the Course MFE/3F professional actuarial examination, and the portion on Poisson and Markov processes from the Course MLC professional actuarial examination. For students interested in taking those examinations:

• Registration form for the Fall 2011 Course MLC and Course MFE professional actuarial examinations.

There will be a total of five tests. Any of the comprehensive tests (as indicated in the schedule) can count as a final. Because there will be so many opportunities for testing and only the best four test scores will affect the class grade, no make-up tests will be offered. The final will count as 40% of your grade, and the best two of the remaining tests will count as 30% of your grade each. You will also receive up to 10% extra credit for the best of the remaining tests. The grading scale for undergraduate students will be as follows: 90% or better -- A, 80% to 90% -- B, 70% to 80% -- C, 60% to 70% -- D, below 60% -- F. The grading scale for graduate students will be the same, but their score in the class will be multiplied by the factor of 0.9, to account for increased expectations of them, as they receive graduate credit for the class.

**Important dates**

Illinois State University withdrawal information for the Fall 2011 semester is given at this web site: http://www.registrar.ilstu.edu/registration/withdrawal/fall.shtml.

Disability concerns

Illinois State University provides a welcoming atmosphere for individuals with disabilities by assisting each in functioning independently within the University community and providing equal access and opportunity in accomplishing educational, professional and personal goals. Disability Concerns, a unit of the Student Affairs Division, is the designated office to provide approved accommodation services for students, faculty, staff, and guests with disabilities. Disability Concerns obtains and maintains documentation of disability, certifies eligibility for services, determines reasonable accommodations, and develops plans for providing such accommodations. This is accomplished in a confidential manner to ensure equal opportunity for participation in all courses, programs, activities and employment offered by Illinois State. Please contact the Disability Concerns in Fell Hall room 350, tel. 309-438-5853 (Voice), 309-438-8620 (TTY) if you have needs that can be accommodate by that office.

- Additional study material: Put-call parity charts.

- Additional study material: Lecture on the Black-Scholes Formula (mp4 video).
- Additional study material: Practice exercises for Test 1.