Introduction to Fixed
Income Mathematics, Fall
2020.
Classes
are Tu-Th 1-2.30pm online
in a manner still to
be finalized.
The prerequisite for
the class is Calculus
II (Math 1432) - and I
highly recommend that
you have a calculus
text, or notes,
available. This course
will use a number of
different topics that
are taught in Calculus
1 and II. You
will need to
use a spreadsheet
program such as
Excel or
Open-Office to do
much of the
homework in this
course. If you have
not already had
experience with
spreadsheets
I suggest that
you spend
a few days
working with
them; if you
can do mathematics,
you
should be able
to master
spreadsheets
very easily
and
well.
This course is
different to most
other undergraduate
mathematics courses in
that it emphasizes
calculations and the
solution of word
problems. The aim is
to teach you how to perform
standard financial
calculations such as
those involving
savings accounts,
annuities, loans,
the pricing of bonds, leverage,
yield
curves and bond
portfolios. It will cover
much of the material
that is in the
syllabus for
the first
Financial
Mathematics
exam of the
society of
actuaries -
though the
course will
not emphasize
insurance
applications.
A general
description of
the course
material may
be found
at
http://mathematics.uh.edu/undergraduate/courses/math3340/index.php
There is no required
text for the course.
If you are interested
in taking actuarial
exams, you may want to
look at the material
the Society of
Actuaries recommends.
There is considerable,
often
non-mathematical,
treatment of all the
topics available on
the internet. Older texts
include
The
Theory of Interest (3rd
edition) by Stephen G.
Kellison published by
McGraw-Hill. The
course will cover much
of the material in
chapters 1 to 10 but
with more examples of
specific applications
and the use of
spread-sheets for
working problems. The
course lectures will
not follow the text.
Another
reference text is Mathematical
Interest Theory
by Daniel and Vaaler,
Prentice Hall /
Pearson 2007 and also
Fixed Income
Mathematics by
Frank J. Fabrozzi.
There will be a
mid-term exam in
October and a
(comprehensive)
final exam is
scheduled on Tuessday
December 15th
from 2.4.30pm.
Homework sets will be
given on a regular
basis and will require
use of
spreadsheet programs.
Grades will be based 30%
on homeworks, 30%
for the mid-term exam
and 40%
for the final exam.
If you
have any questions,
send email to
Auchmuty at uh.edu.or
by telephone at
713-743-3475 (email is
preferred).
My office is PGH 696
and office hours are
Tu - Th 4.15-5.15pm or
by appointment.
A
pdf file with the
slides on the material
to be covered in the
mid-term exam
is here.
Slides on the analysis
of bonds and the use
of the yield curve are
here.
|
