Mathematics 483, Mathematical Models in Finance and Investments, Fall 2006

Illinois State University Mathematics Department

Mr. R. Dale Hall, FSA, CFA, MAAA
Chief Actuary, Life/Health Operations
COUNTRY Insurance and Financial Services
1701 North Towanda Avenue
Bloomington, IL 61702-2000
Telephone: 309-821-6407, Fax: 309-820-5709.
Dr. Krzysztof Ostaszewski, FSA, CFA, MAAA
Actuarial Program Director
Office: Stevenson Hall, room 313G.
Telephone: 309-438-7226, Fax: 309-438-5866.
Classes Meet
Tuesdays and Thursdays 7:00-8:50 p.m. (with a ten minute break), in Stevenson Hall, room 308.
Office Hours
Office hours will be held Tuesdays and Thursdays 3:00-3:50 p.m. by Dr. Krzysztof Ostaszewski. Please ask for an appointment at other times.
Main textbook: Financial Risk Management for Pension Plans by Leslaw Gajek and Krzysztof Ostaszewski, Elsevier Science, 2004. This book is on reserve at the Milner Library at Illinois State University and on reserve at the library of the Department of Mathematics. There will also be study notes provided online by Dr. Krzysztof Ostaszewski (you must use the ISU ULID with your password to access them, and you are only granted access if you are registered in this class).
Supplementary textbook: Financial Economics, edited by Harry Panjer, published in 1998 by the Actuarial Foundation. This book is on reserve at the Milner Library at Illinois State University.

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 MFE examination and the Casualty Actuarial Society Course 8 examination, but not all of it.
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. Any make-up test must be scheduled at least two weeks in advance. 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 readings for the Society of Actuaries Course MFE examination and the Casualty Actuarial Society Course 8 examination.

Important dates
September 1, 2006: Last day to withdraw with no withdrawal grade assigned. Also last day to put a course on Credit/No Credit (Pass/Fail) or Audit.
October 13, 2006: Last day to withdraw with a writhdrawal (WX) grade assigned. Also last day to drop the Credit/No Credit (Pass/Fail) option.

Illinois State University withdrawal information for the Fall 2006 semester is given at this web site:

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 University. 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.

Schedule of classes