MATH 3228 Course Outline

Math 3228 – Actuarial Science IB Required Text book: ASM Study Manual for Exam FM/2, Financial Mathematics, 13th Edition, By Cherry/Shaban
Course Content: Math 3228 is the second of two preparatory courses for the SOA Actuarial Exam FM – Financial Mathematics. The first course, Math 2228, covers interest and discount rates, equations of value, annuities, NPV and yield rates, and loans. This course covers the remaining topics required for Exam FM and includes a review of the topics covered in Math 2228:

I. Bonds and Stocks 1. Finding the Price of a Bond
2. Premium and Discount
3. Price between Coupon Dates
4. Determination of Yield Rates
5. Callable Bonds
6. Price of a Share of Stock II. Determinants of Interest Rates 1. Quotation bases for Interest Rates
2. Components of Interest Rates: Default Risks and Inflation
3. Government and Corporate Bonds III. Duration and Convexity 1. Duration of a Single cash Flow
2. Macaulay and Modified Duration
3. Duration as a Measure of Price Sensitivity
4. Estimating the Price using Duration
5. Macaulay and Modified Convexity IV. Immunization 1. Redington Immunization
2. Full Immunization
3. Immunization by Exact Matching V. Interest Rate Swaps 1. Spot and Forward rates
2. Swap Rate Formulas
3. Deferred Swaps
4. Net Swap Payments
5. Net Interest Payments
6. Market Value of Swap