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.