Instructor: Professor Gábor Francsics

Theory of Mathematical Interest

MTH 360--001 Fall 2012

Introduction: The goal of the course is to help the students to prepare to take the FM-2 exam of the Society of Actuaries (SOA). This course covers topics in interest theory. The course is part of the actuarial science specialization program and BS in actuarial science program at the mathematics department. For more details on the actuarial exams and in particular on the FM exam, please read the webpages: http://www.soa.org/education/exam-req/edu-exam-fm-detail.aspx http://www.beanactuary.org/exams/preliminary/exams/syllabi/2012-10-exam-fm.pdf My aim as an instructor of the course is to create the best possible environment to prepare for the high exam standards of the Society of Actuaries. The exams and grading will have similar format to that of the SOA exams. This is a course in which the students will interact with each other as well as the instructor.

Class Meetings: MWF 11:30AM-12:20PM, Room A108, Wells Hall.

Office Hours: Monday, Wednesday 10:15AM-11:15AM, or by appointments, D310 Wells Hall.

Textbook: S.A. Broverman, Mathematics of Investment and Credit, 5th edition, 2010, Actex Publications. The ACTEX website www.actexmadriver.com contains EXCEL spreadsheet routines using the methods covered in the course.
Recommended Textbook:
R. McDonald, Derivatives Markets, 2nd edition, 2006, Addison Wesley.

Exams: There will be four 50 minutes long midterm exams and a comprehensive final exam. The lowest semester exam score, from exams 1 through 4, will be dropped. Exam 4 will be during the last week of classes, and Exam 5 will be during the final exam period.The tentative dates for the exams are
Exam 1: Friday, September 28,
Exam 2: Friday, October 26,
Exam 3: Friday, November 16,
Exam 4: Friday, December 7.
Final Exam: Wednesday, December 12, 10:00-12:00 noon. No make-up exams will be given.

Grading policy: Your final grade for the course will be calculated as follows: Each semester test will consist of 7 multiple choice - all or nothing - written questions, to be answered during a 50 minute class. The final exam will be worth a maximum of 10 points. The minimum requirements for semester grades are listed below, taken from the top 3 semester exam scores combined with the final exam score,

Material:
Chapter 1: 1.1-1.7.
Chapter 2: 2.1 -2.4 excluding 2.4.2 and 2.4.3.
Chapter 3: 3.1-3.3, excluding 3.2.1 and 3.2.2.
Chapter 4: 4.1-4.3.1.
Chapter 5: 5.1-5.3 excluding 5.1.4 and 5.3.2.
Chapter 6: 6.1-6.3 excluding 6.2.
Chapter 7: 7.1-7.2.
Chapter 8: 8.1, 8.3.1 and 8.4.1–8.4.2 (If time permits.)

Recommended Homework Problems from the Textbook:
Section 1.1: 2, 3, 4, 6, 8, 10, 12.
Section 1.2-1.3: 1, 3, 5, 6, 7, 8, 9, 10, 12, 17.
Section 1.4: 3, 5, 7, 10.
Section 1.5: 1, 4, 5, 7, 9, 11, 12.
Section 1.6: 1, 2, 3, 4, 5, 6, 7, 8, 9.
Section 1.7: 1, 3, 6, 7.
Section 2.1: 1, 2, 4, 6, 8, 10, 11, 12, 13, 17, 19, 26.
Section 2.2: 3, 4, 5, 6, 11, 14, 17, 24.
Section 2.3: 4, 5, 10, 11, 12, 13, 14, 15, 17, 18, 40.
Section 2.4: 1, 3, 4, 7, 8 (a),(b).
Section 3.1: 1, 2, 4, 5, 8, 9.
Section 3.2: 3, 4, 7, 8, 9, 11, 13, 14, 17, 26, 29, 34.
Section 3.3: 4, 5, 6, 11.
Section 4.1: 1, 2, 3, 4, 6, 7, 10, 13, 19, 20, 21, 24, 25.
Section 4.2: 1, 2, 3, 4, 5, 7, 9.
Section 4.3: 1, 3, 4, 5, 6.
Section 5.1: 1, 3, 4, 5 (a), (c), 7, 10, 12.
Section 5.2: 1, 2, 3, 4, 5, 6.
Section 5.3: 1, 2.
Section 6.1: 1, 3, 5.
Section 6.3: 2, 5, 6.
Section 7.1: 1, 6.
Section 7.2: 5.