Instructor: Jinguo Lian
Office: LGRT(1028)
Phone: (413)-545-6016
E-mail: lian@math.umass.edu
Website: http://www.math.umass.edu/~lian
Section 1 (MWF 10:10 - 11:00am) and Section 2(MWF 11:15-12:05pm) Location: LGRT219
Office hours: MWF: 2:30-3:30, Location: LGRT1028.
Description
This 3 credits course is an introduction to the mathematical models used in finance and economics with particular emphasis on models for pricing financial instruments, or "derivatives." The central topic will be options, culminating in the Black-Scholes formula. The goal is to understand how the models derive from basic principles of economics, and to provide the necessary mathematical tools for their analysis. If you are going to be an actuary in future and have completed math437 and math536, then this is the third course for you to prepare the SOA exam IFM even though this is not service course of exam IFM, but I will cover most of materials required by exam IFM.
Textbook
ASM Exam IFM Study Manual, 1st Edition by Abraham Weishaus. ISBN: 978-1-63588-792-1, You may buy the textbook for 6 months license $135 from the following link https://www.actuarialbookstore.com/order_selection.aspx?id=453142417
Any calculator accepted by the Society of Actuaries (SOA) See here for a list. I will be working with the TI BA II Plus calculator. (TI = Texas Instruments and BA = Business Analyst.) Here is a short note on some of the calculator functions for TI BA II Plus.
The grading of the course will be as follows. There will be a final exam worth 30%, Mid-term during the semester worth 30%, Homework worth 30%, an extra work (part of exam IFM sample questions) worth 40%. All scores will be scaled to a 0-100 scale before averaging. A normal distribution calculator will be available during the test by clicking buttons on the item screen.
The final will cover topics after the midterm. The date and time of the final exam will be scheduled by the university. The final will only be given at that time, and not at any other time for any reason. In particular, adjust your travel plans accordingly; planning to leave for vacation before the final exam is a bad idea.
Exam policies:
The best way to get help is to drop by my office hours.
Drops, Withdrawals, and Incompletes
The last day to drop with no record, or to submit a Pass/Fail option, is Monday, Feb 3th. If you intend to drop, please do so as soon as possible; others may be waiting to enroll in your section. The last day to drop with a W is the mid-semester date, Tuesday, Mar 24th.
An Incomplete is possible only if: (1) you had a compelling personal reason, e.g., serious illness; (2) your work has clearly been passing; and (3) there's a good chance you'll complete the course with a passing grade within the allotted time. Thus, failing work is no reason in itself for an Incomplete.