**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 available at the ISU bookstore. You are also encouraged to obtain
Actex
Manuals 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.
You will be also given an opportunity for earning
10% extra credit for homework problems, and 10% extra credit for
in class random quizes.

**Schedule of classes**
Tuesday, August 20, 2002. Chapter 1 (Financial Markets).
Thursday, August 22, 2002. Chapter 2 (Derivative Securities).
Tuesday, August 27, 2002. Chapter 2 (Derivative Securities).
Thursday, August 29, 2002. Chapter 2 (Derivative Securities).
Tuesday, September 3, 2002. Chapter 3 (Interest Rate Risk and Immunization).
Thursday, September 5, 2002. Chapter 3 (Interest Rate Risk and Immunization).
Tuesday, September 10, 2002. Chapter 3 (Interest Rate Risk and Immunization).
Thursday, September 12, 2002. Chapter 3 (Interest Rate Risk and Immunization).
Tuesday, September 17, 2002. Chapter 4 (Equilibrium Pricing).
Thursday, September 19, 2002. Chapter 4 (Equilibrium Pricing).
Tuesday, September 24, 2002. Chapter 4 (Equilibrium Pricing).
Thursday, September 26, 2002. Chapter 4 (Equilibrium Pricing).
Tuesday, October 1, 2002. Chapter 5 (No-Arbitrage Pricing Theory).
Thursday, October 3, 2002. Test No. 1, covering Chapters 1-4.
Tuesday, October 8, 2002. Chapter 5 (No-Arbitrage Pricing Theory).
Thursday, October 10, 2002. Chapter 5 (No-Arbitrage Pricing Theory).
Tuesday, October 15, 2002. Chapter 5 (No-Arbitrage Pricing Theory).
Thursday, October 17, 2002. Chapter 6 (Options and Other Derivatives).
Tuesday, October 22, 2002. Chapter 6 (Options and Other Derivatives).
Thursday, October 24, 2002. Test No. 2, covering Chapters 1-5.
Tuesday, October 29, 2002. Chapter 6 (Options and Other Derivatives).
Thursday, October 31, 2002. Chapter 6 (Options and Other Derivatives).
Tuesday, November 5, 2002. Chapter 7 (Term Structure Models).
Thursday, November 7, 2002. Chapter 7 (Term Structure Models).
Tuesday, November 12, 2002. Test No. 3, covering Chapters 1-5.
Thursday, November 14, 2002. Chapter 7 (Term Structure Models).
Tuesday, November 19, 2002. Chapter 7 (Term Structure Models).
Thursday, November 21, 2002. Chapter 7 (Term Structure Models).
Tuesday, November 26, 2002. Section 8.5 (Shortfall Constraints).
Tuesday, December 3, 2002. Section 8.5 (Shortfall Constraints).
Thursday, December 5, 2002. Test No. 4, covering Chapters 1-8.
Tuesday, December 10, 5:30 p.m. -- 7:30 p.m. Final examination, comprehensive.