Mathematics 483, Mathematical Models in Finance and Investments, Fall 2003

Illinois State University Mathematics Department


Instructors
Mr. Brian Foley
State Farm Insurance
Corporate HQ B1
1 State Farm Plaza
Bloomington, IL 61701
Telephone: 309-735-8562
E-mail:brian.foley.lwd5@statefarm.com
and
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 7:00-8:50 p.m. (with a ten minute break), in Stevenson Hall, room 310.
Office Hours
Tuesdays and Thursdays 3:00-3:50 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.
Schedule of classes
  • Tuesday, August 19, 2003. Chapter 1 (Financial Markets).
  • Thursday, August 21, 2003. Chapter 2 (Derivative Securities). Class taught by Mr. Brian Foley.
  • Tuesday, August 26, 2003. Chapter 2 (Derivative Securities). Class taught by Mr. Brian Foley.
  • Thursday, August 28, 2003. Chapter 2 (Derivative Securities). Class taught by Mr. Brian Foley.
  • Tuesday, September 2, 2003. Chapter 3 (Interest Rate Risk and Immunization). Class taught by Mr. Brian Foley.
  • Thursday, September 4, 2003. Chapter 3 (Interest Rate Risk and Immunization). Class taught by Mr. Brian Foley.
  • Tuesday, September 9, 2003. Chapter 3 (Interest Rate Risk and Immunization). Class taught by Mr. Brian Foley.
  • Thursday, September 11, 2003. Test No. 1, covering Chapters 1-3.
  • Tuesday, September 16, 2003. Chapter 4 (Equilibrium Pricing). Class taught by Mr. Brian Foley.
  • Thursday, September 18, 2003. Chapter 4 (Equilibrium Pricing).
  • Tuesday, September 23, 2003. Chapter 4 (Equilibrium Pricing).
  • Thursday, September 25, 2003. Chapter 5 (No-Arbitrage Pricing Theory).
  • Tuesday, September 30, 2003. Chapter 5 (No-Arbitrage Pricing Theory).
  • Thursday, October 2, 2003. Chapter 5 (No-Arbitrage Pricing Theory).
  • Tuesday, October 7, 2003. Chapter 6 (Options and Other Derivatives).
  • Thursday, October 9, 2003. Test No. 2, covering Chapters 1-5.
  • Tuesday, October 14, 2003. Chapter 6 (Options and Other Derivatives).
  • Thursday, October 16, 2003. Chapter 6 (Options and Other Derivatives).
  • Tuesday, October 21, 2003. Chapter 7 (Term Structure Models).
  • Thursday, October 23, 2003. Chapter 7 (Term Structure Models).
  • Tuesday, October 28, 2003. Chapter 7 (Term Structure Models).
  • Thursday, October 30, 2003. Risk-Based Capital. Class taught by Mr. Brian Foley.
  • Tuesday, November 4, 2003. Shortfall Constraints. Class taught by Mr. Brian Foley.
  • Thursday, November 6, 2003. Review. Class taught by Mr. Brian Foley.
  • Tuesday, November 11, 2003. Review. Class taught by Mr. Brian Foley.
  • Thursday, November 13, 2003. Value at Risk.
  • Tuesday, November 18, 2003. Value at Risk.
  • Thursday, November 20, 2003. Review.
  • Tuesday, December 2, 2003. Test No. 3, comprehensive.
  • Thursday, December 4, 2003. Test No. 4, comprehensive.
  • Thursday, December 11, 5:30 p.m.m, Test No. 5, comprehensive.