Mathematics 483, Mathematical Models in Finance and Investments, Fall 2001

Illinois State University Mathematics Department



Instructor
Dr. Krzysztof Ostaszewski , FSA , CFA , MAAA
Actuarial Program Director
Office: Stevenson Hall , room 313G.
Telephone: 309-438-7226, Fax: 309-438-5866.
E-mail: krzysio@ilstu.edu


Classes Meet
Tuesdays and Thursdays 5:20-7:10 p.m. (with a ten minute break), in Stevenson Hall , room 310.


Office Hours
Tuesdays and Thursdays 2:20-3:20 p.m. Please ask for an appointment at other times.


Textbook
Financial Economics, edited by Harry Panjer , published in 1998 by the Actuarial Foundation . This book is on reserve at the Milner Library and is available at the bookstore. You are also encouraged to obtain Actex Manual for SoA Course 6 and/or Actex Manual for CAS Course 8 as supplementary textbooks.


Objective
The objective of this class is to help you learn about mathematical models in finance and investments. The class will cover a major portion (the mathematical part) of the material tested on the Society of Actuaries Course 6 examination and the Casualty Actuarial Society Course 8 examination , but not all of it.


Grading
There will be four tests and a final examination. You can have a make-up test, but a make-up will be made intentionally at least 20% more difficult. The final will count as 40% of your grade, and the best two of the four tests will count as 30% of your grade each. The grading scale will be as follows: 90% or better -- A, 80% to 90% -- B, 70% to 80% -- C, 60% to 70% -- D, below 60% -- F. You will also receive up to 20% extra credit for the better of the your two worst tests, and 20% for class participation. Class participation will be expressed by making presentations of study notes readings for the Society of Actuaries Course 6 examination and the Casualty Actuarial Society Course 8 examination .

Other issues
You are expected to be in class, be prepared and able to contribute to the discussion.  The classroom is a place of learning and showing respect for others at all times.


Schedule of classes
  • Tuesday, August 21, 2001. Chapter 1 (Financial Markets).
  • Thursday, August 23, 2001. Chapter 1 (Financial Markets).
  • Tuesday, August 28, 2001. Chapter 2 (Derivative Securities).
  • Thursday, August 30, 2001. Chapter 2 (Derivative Securities).
  • Tuesday, September 4, 2001. Chapter 2 (Derivative Securities).
  • Thursday, September 6, 2001. Chapter 3 (Interest Rate Risk and Immunization).
  • Tuesday, September 11, 2001. Chapter 3 (Interest Rate Risk and Immunization).
  • Thursday, September 13, 2001. Chapter 3 (Interest Rate Risk and Immunization).
  • Tuesday, September 18, 2001. Individual presentations.
  • Thursday, September 20, 2001. Chapter 4 (Equilibrium Pricing).
  • Tuesday, September 25, 2001. Chapter 4 (Equilibrium Pricing).
  • Thursday, September 27, 2001. Chapter 4 (Equilibrium Pricing).
  • Tuesday, October 2, 2001. Individual presentations.
  • Thursday, October 4, 2001. Test No. 1, covering Chapters 1-4.
  • Tuesday, October 9, 2001. Chapter 5 (No-Arbitrage Pricing Theory).
  • Thursday, October 11, 2001. Chapter 5 (No-Arbitrage Pricing Theory).
  • Tuesday, October 16, 2001. Chapter 5 (No-Arbitrage Pricing Theory).
  • Thursday, October 18, 2001. Chapter 5 (No-Arbitrage Pricing Theory).
  • Tuesday, October 23, 2001. Chapter 6 (Options and Other Derivatives).
  • Thursday, October 25, 2001. Chapter 6 (Options and Other Derivatives).
  • Tuesday, October 30, 2001. Chapter 6 (Options and Other Derivatives).
  • Thursday, November 1, 2001. Chapter 6 (Options and Other Derivatives).
  • Tuesday, November 6, 2001. Individual presentations.
  • Thursday, November 8, 2001. Test No. 2, covering Chapters 1-6.
  • Tuesday, November 13, 2001. Chapter 7 (Term Structure Models).
  • Thursday, November 15, 2001. Chapter 7 (Term Structure Models).
  • Tuesday, November 20, 2001. Test No. 3, covering Chapters 1-7.
  • Thursday, November 22, 2001. Thanksgiving Holiday. No class.
  • Tuesday, November 27, 2001. Chapter 7 (Term Structure Models).
  • Thursday, November 29, 2001. Chapter 7 (Term Structure Models).
  • Tuesday, December 4, 2001. Section 8.5 (Shortfall Constraints).
  • Thursday, December 6, 2001. Test No. 4, covering Chapters 1-8.
  • Tuesday, December 11, 5:30 p.m. -- 7:30 p.m. Final examination, covering Chapters 1-8


  • All information contained here is, to our best knowledge, correct, but it is merely a representation, and should not be considered to be any form of professional advice. This electronic publication should not be misconstrued as the official position of Illinois State University, or its Department of Mathematics. We are glad to provide as much information as possible here, but we kindly ask that in any decision related to matters listed here you seek additional counsel and information. Comments on this page are welcome and should be sent to Dr. Krzysztof Ostaszewski  at his e-mail address: krzysio@ilstu.edu.