Mathematics 383, Actuarial Models III, Fall 2017

Illinois State University – Mathematics Department
All class materials are available on Reggienet

Instructors

Classes Meet

Tuesdays and Thursdays 6:00 p.m. – 7:50 p.m. (with a ten minute break), in Stevenson Hall, room 346.

Office Hours

Dr. Wei Hao will hold office hours for one hour before classes he teaches in room 303J in Stevenson Hall (tel. 309-438-7830). Dr. Ostaszewski will hold office hours Tuesdays 2:30 p.m.– 3:50 p.m., in Stevenson Hall room 313G. Please ask for an appointment at other times. Appointments with Dr. Krzysztof Ostaszewski should be scheduled at: http://smartURL.it/appointment.

Textbooks

Study notes for this class will be provided on Reggienet.

The following textbooks are suggested, but not required:

• Derivatives Markets, 3rd Edition, by Robert L. McDonald, Pearson, 2013.

Objective

The objective of this class is to help you learn about actuarial models, as studied in the Society of Actuaries Course MFE Examination, and the Casualty Actuarial Society Course 3F Examination.

Grading

There will be a total of five tests. Any of the comprehensive tests (as indicated in the schedule) can count as a final. 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 will be as follows: 90% or better — A, 80% to 90% — B, 70% to 80% — C, 60% to 70% — D, below 60% — F. Tests will be about 70% multiple choice, and the rest will be written answer. Students are strongly encouraged to explain their work thoroughly even in the multiple choice part of the test, as points for the work shown may be awarded. Also, this is an undergraduate class available for graduate credit, and this means that graduate students will be required to do additional work to earn the same grade as undergraduate students — this will be represented in the stucture of the tests.

Class attendance

While this class does not have a strict formal attendance requirement, students who actively participate in class, and make a significant contribution may be granted extra credit. You are expected to attend classes and be involved in the learning process. If you must miss class due to an extended illness (3 or more consecutive class days) or bereavement, the Student Health Services and the Dean of Students Office can help. Please note this university policy: Excused Student Absences Due to Communicable Disease.

Important dates

Illinois State University withdrawal information for the Fall 2017 semester is given at this web site: http://www.registrar.ilstu.edu/registration/withdrawal/fall.shtml.

Student Access and Accommodation Services

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. Student Access and Accommodation Services is the designated office to provide approved accommodation services for students, faculty, staff, and guests with disabilities. Student Access and Accommodation Service 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 Student Access and Accommodation Service in Fell Hall room 350, tel.  309-438-5853 (Voice), 309-438-8620 (TTY), web site: www.studentaccess.ilstu.edu if you have needs that can be accommodate by that office.

Schedule of classes

• Tuesday, August 22, 2017. Introduction to derivative securities. Forwards, futures, options. Taught by Wei Hao.
• Thursday, August 24, 2017. Introduction to derivative securities. Forwards, futures, options. Taught by Wei Hao.
• Tuesday, August 29, 2017. Managing risk with derivatives. Taught by Wei Hao.
• Thursday, August 31, 2017. Put-call parity. Generalizations of put-call parity. Taught by Wei Hao.
• Tuesday, September 5, 2017. Put-call parity. Generalizations of put-call parity. Taught by Wei Hao.
• Thursday, September 7, 2017. Binomial option pricing. Taught by Wei Hao.
• Tuesday, September 12, 2017. Binomial option pricing. Taught by Wei Hao.
• Thursday, September 14, 2017. Black-Scholes Formula. Taught by Wei Hao.
• Tuesday, September 19, 2017. This class will be replaced by the Meet the Firms event.
• Thursday, September 21, 2017. Black-Scholes Formula. Taught by Wei Hao.
• Tuesday, September 26, 2017. Black-Scholes Formula. Taught by Wei Hao.
• Thursday, September 28, 2017. Test No. 1, covering material through September 26, 2017.
• Tuesday, October 3, 2017. Market-making and delta hedging. Taught by Michael Suess.
• Thursday, October 5, 2017. Market-making and delta hedging. Taught by Michael Suess.
• Tuesday, October 10, 2017. Exotic options. Taught By David Prevo.
• Thursday, October 12, 2017. Exotic options. Taught By David Prevo.
• Tuesday, October 17, 2017. Test No. 2, covering material through October 12, 2017.
• Thursday, October 19, 2017. Role of lognormal distribution. Taught by Michael Suess.
• Tuesday, October 24, 2017. Role of lognormal distribution. Monte Carlo valuation. Taught by Michael Suess.
• Thursday, October 26, 2017. Monte Carlo valuation. Taught by Michael Suess.
• Tuesday, October 31, 2017. The Black-Scholes Equation. Taught by Michael Suess.
• Thursday, November 2, 2017. The Black-Scholes Equation. Taught by Michael Suess.
• Tuesday, November 7, 2017. Test No. 3, covering material through November 2, 2017.
• Thursday, November 9, 2017. More on exotic options. Taught By David Prevo.
• Tuesday, November 14, 2017. More on exotic options. Taught By David Prevo.
• Thursday, November 16, 2017. Measurements of volatility. Taught by Wei Hao.
• Tuesday, November 28, 2017. Interest rates derivatives. Taught by Wei Hao.
• Thursday, November 30, 2017. Interest rates derivatives. Taught by Wei Hao.
• Tuesday, December 5, 2017. Interest rates derivatives. Taught by Wei Hao.
• Thursday, December 7, 2017. Test No. 4, comprehensive. Any of the last two tests can count as your final examination.
• Tuesday, December 12, 2017, 6-8 p.m. Final examination, comprehensive.

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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 Home Page are welcome and should be sent to Dr. Krzysztof Ostaszewski  at his e-mail address: krzysio@ilstu.edu.