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Syllabus mat 206 Fall 2023

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12 views

Syllabus mat 206 Fall 2023

Uploaded by

milo
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© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Notre Dame University – Louaize

Faculty of Natural and Applied Sciences

Department of Mathematics and Statistics

MAT 206 (3 cr.) – Financial Mathematics


Semester: Fall 2023 Lecture time: TTH 11;00-12:30 Section: A Room:
1.04
Credits/Contact hours: 3 credits / Three 50-minute or two 75-minute lectures
Instructor: Miss Maria Christine Zoghbi mzoghbi@ndu.edu.lb
Office hours/contact: TTH 10:30-11:00 and 12:30-1:30, office FNAS 0.04, or by appointment
Textbook: Daniel, J.W., and Vaaler, L.J.F., Mathematical Interest Theory 3 rd edition, The
Mathematical Association of America
Supplement book: Samual A. Broverman, Mathematics of Investment and Credits, 6Th edition, Actex
Academic Series;
Stephen Kellison The Theory of Interest 3rd edition, Mc Graw Hill.

Catalog description: This course describes the fundamental concepts of financial mathematics and how
these values are applied in calculating the present and accumulated values of various streams of cash flows
as a basis for future use in: reserving, valuation, pricing, asset/liability management, investment income,
capital budgeting and valuing contingent cash flows.
Type of course: Core course for undergraduate Actuarial Sciences students

Course Learning outcomes and their Correlation to Program Learning Outcomes:

Course Learning outcomes Program Learning


Outcomes*
a) To understand the differences between simple and compound interest (1) (2) (3)
and between the force of interest and the nominal rate of interest.
b) Write and Solve the equation of value given any type of interest rate (1) (2) (3)
and any set of cash flows.
c) To develop the mathematics equation of annuities and to analyze and (1) (2) (3)
valuate all type annuities
d) To determine the Net present value and yield rate/rate of return (1) (2) (3)

*Program Learning Outcomes (BS-Actuarial Sciences):


http://www.ndu.edu.lb/academics/faculty-of-natural-applied-sciences/mathematics-and-statistics/actuarial-
sciences

Course topics
Date Material Required Exercises
Week 1-4 1 The growth of money Handout assignments
1.1 Introduction H.W. 1,2,3,4
1.2 What is interest
1.3 Accumulation and amount Inflation Exercises HW
1.4 Simple interest / Linear accumulation
1.5 Compound interest (The usual case)
1.6 Interest in advance / The effective discount
rate
1.7 Discount functions / The time value of
money
1.8 Simple discount
1.9 Compound discount
1.10 Nominal rates of interest and discount
1.11 A friendly competition (Constant force of Note: 1.15 Inflation can be done
interest) either at the end of chapter 1 or right
1.12 Force of interest before chapter 3
1.14 Quoted rates for Treasury
1.15 Inflation
Week 5-6 2 Equations of value and yield rates H.W. 5,6
2.1 Introduction
2.2 Equations of value for investments involving
a
single deposit made under compound interest
2.3 Equations of value for investments with
multiple
contributions
2.4 Investment
2.5 Reinvestment
2.7 Fund performance
Week 7-10 3 Annuities (annuities certain)
3.1 Introduction
3.2 Annuities immediate H.W. 7,8,9,10,11
3.3 Annuities due
3.4 Perpetuities
3.5 Deferred annuities and values on any date
3.6 Outstanding loan balances
Week11-14 3.7 Nonlevel annuities
3.8 Annuities with payments in geometric H.W. 12,13,14
progression
3.9 Annuities with payments in arithmetic
progression
3.11 Annuity symbols for nonintegral terms
3.13 The investment year method 4 Annuities
with different payment and conversion H.W. 15(for section 4.6)
periods
4.1 Introduction H.W. 16 on Fission and Fusion
4.2 Level annuities with payments less frequent methods:
than each interest period Optional depending on FM exam
4.3 Level annuities with payments more requirements.
frequent than each interest period
4.4 Annuities with payments less frequent than
each interest period and payments in arithmetic
progression
4.5 Annuities with payments more frequent than
each interest period and payments in arithmetic
progression
4.6 Continuously paying annuities
4.7 A yield rate example

Assessment measures:
Exam #1 (Chapters: 1-2) 25%
Exam # 2 (Chapters: 3-4) 25%
Final Exam (Comprehensive) 40%
Attendance 10%
100%
Additional course policies and requirements:
 Homework assignments will be announced in class.
 Make-up exams are given only in the case of an emergency with a valid excuse
accepted by the SAO.
 Each student should acquaint her/himself with NDU’s codes, policies and procedures
involving academic misconduct, including, but not limited to plagiarism and cheating.
A source of guidance can be found at
http://electra.ndu.edu.lb/administration/VP/NDU_Student%20Handbook_
23-24.pdf

Prepared on: September 2019


Revised on: August 2023

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