Introduction to Actuarial Financial Mathematics (M339D=M389D)
Important external links
Link to the
Sample SoA problems - Introductory material
Link to the
Sample SoA solutions - Introductory material
Sample MFE problems and solutions - Advanced
MFE Exam, Spring 2007: Problems
MFE Exam, Spring 2007: Solutions
MFE Exam, Spring 2009: Problems
MFE Exam, Spring 2009: Solutions
A MOOC:
Intro to Actuarial Science
Class 1: August 30th
Orientation. Role of financial markets.
A role model
First-Day Handout (12noon)
Lecture One: Background.
Catastrophe Bonds
Funny
Quiz #1
--
due on Friday, September 1st
Class 2: September 1st
Standing assumptions. Conventions.
Lecture Two: Transaction Costs
Lecture Three: Standing Assumptions and Conventions
Quiz #1
--
Solutions
Homework I -
due on Friday, September 8th
Prerequisite in-term topics
Class 3: September 6th
Outright Purchase. Discrete-dividend-paying stocks. Realized returns.
Class notes
Class 4: September 8th
Continuous dividends. Market indices.
Class notes
Homework I - Solutions
Class 5: September 11th
The Prerequisite In-Term Exam
Class 6: September 13th
Short sales.
Class notes
Class 7: September 15th
Financial portfolio. Initial cost. Payoff.
Lecture Four: Initial cost, payoff and profit (the simplest case).
Class notes
From NPR: On effects of changing coffee prices
Class 8: September 18th
Forward contracts.
Lecture Five: Basic risk management. Forwards.
Internet content:
Hedging
Suggested problems: Sample SoA problems (FM exam - Derivatives markets): #25, #28 (rationale for hedging)
Class 9: September 20th
Hedging using forwards.
Problem set #1: Forward contracts. Hedging.
Problem set #1: Forward contracts. Hedging.
-- Solutions
Suggested problems: Sample SoA problems (FM exam - Derivatives markets): #18 (forwards + expected profit); #36(tax considerations)
Class 10: September 22nd
European call options.
Lecture Six: European call options
Class 11: September 25th
Covered option writing. European put options.
Lecture Seven: European put options. Moneyness.
Suggested problems: Sample SoA problems (FM exam - Derivatives markets): #19, #35 (European put options)
Class 12: September 27th
Hedging with puts and calls.
Problem Set #2
-- Solutions
Class 13: September 29th
Collars.
Lecture Eight: Collars.
Class notes
: Hedging with calls, puts, collars.
Class 14: October 2nd
Derivative securities.
Lecture Nine: Derivative securities.
A nice read on derivatives:
From The New York Times
Recommended reading:
Employee stock options
Internet activity:
Option-price quotes (example)
Suggested problems: Sample SoA problems (FM exam - Derivatives markets): #24 (rationale for existence of derivatives)
Class notes
Internet content:
Life Assurance Act (1774)
Internet content:
Fantasy Football Insurance
Class 15: October 4th
All-or-nothing options. Dynamic portfolios.
Class notes
: Digital options.
Warm-up worksheet #1
--
due on Friday, October 6th
Homework II -
due on Wednesday, October 11th
Class 16: October 6th
Arbitrage portfolios. Law of the unique price.
Pricing forwards on stocks.
Class notes
: Law of the unique price
Warm-up worksheet #1
--
Solutions
Lecture Ten: Pricing prepaid forwards and forwards on stocks.
Suggested problems: Sample SoA problems (MFE exam - Intro): #20, #21, #29, #31
Warm-up Worksheet #2 --
due on Monday, October 9th (as a quiz)
Class 17: October 9th
Put-call parity.
Lecture Eleven: Put-call Parity
Suggested problems: Sample SoA MFE (Advanced) problems: #1-#3; Sample MFE (Intro): Problems #2, #5, #14, #40 (put-call parity)
Class notes: Put-call parity (old)
Class notes: Put-call parity (old)
Exam-prep checklist.
Warm-up Worksheet #2 -- Solutions
Sample In-Term Exam I
Class 18: March 1st
Chooser options.
Sample In-Term Exam I
- more problems
Class notes