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AMS 318 Mathematical Interest Theory

Summer Session I
5/31/2016 - 7/9/2016

Instructor Tyler Mayer


Email: tyler.mayer@stonybrook.edu
Office: Math Tower 2104
Office hours: Mondays and Wednesdays 12:30PM - 1:30PM or by appointment.
TA Henrick Goldwurm
Email: henricksteele@gmail.com
Office: Harriman 010
Office Hours: Mondays and Wednesdays 5:00PM - 6:00PM

Catalog Description: Accumulation functions, yield rates, annuities, loan repayment, term
structure of interest rates/spot rates/forward rates, options, duration/convexity. This
course follows the syllabus for the Financial Mathematics (FM) Exam of the Society of
Actuaries and prepares students to pass the FM exam.
Prerequisite AMS 310
Co-requisite AMS 261 or MAT 203/205
Course is offered in Summer, Fall, and Winter only, 3 credits
Textbook: Mathematical Interest Theory 2nd edition by Daniel and Vaaler ISBN # 987-08-8385754-0
Course website will be Blackboard. All announcements, grades, assignments, due dates,
and relevant course information will be distributed via the blackboard system.

Actuarial Exam: The material in this course is the basis of the second actuarial exam,
exam FM of the Society of Actuaries. For more details about actuarial preparation at
Stony Brook see Actuarial Program website.
Notice: Changes to FM exam effective summer 2017:
Effective with the June 2017 administration of Exam FM (Financial Mathematics) and the
July 2017 administration of Exam MFE (Models for Financial Economics) there will be
significant changes in the syllabus (learning objectives and recommended readings). These
changes were motivated by two factors.
1. Return Exam FM to its former coverage of theory of interest topics. With the
exception of interest rate swaps, all derivatives material will be moved to Exam
MFE. One feature of this change is that most university programs will be able to
cover this material in a single three-credit course.
2. Remove some of the more mathematically sophisticated topics from Exam MFE, in
particularly those related to stochastic calculus. It is more appropriate for those
topics to be covered in fellowship exams as needed for each track.
See the following website for more details:
https://www.soa.org/Education/Exam-Req/2016-exam-fm-mfe-summer-change.aspx

List of Topics to be Covered


Accumulation functions (simple, compounded and general)
Yield rates, Approximate yield rates
Annuities (simple, geometric, arithmetic)
Loan repayment
Bonds
Term structure of interest rates/ spot rates/ forward rates
Options (call/put/put-call parity)
Duration/convexity
Problems from the Financial Mathematics portion of actuary exams

Grading
Grading
As per your vote the grade will be broken down as follows:
Homework 40 %
Midterm 30 %
Final 30 %
Grade Distribution
As per AMS department guidelines the grade distribution will be as follows:
Lower Division Upper Division
As 25%
30%
Bs 30%
35%
Cs 25%
25%
Ds 10%
5%
Fs 10%
5%
Important dates:
No classes: Monday May 30, (??Wednesday June 15 ?? ), or Monday July 4
Correction Days: Friday June 3 and Friday July 8 follow a Monday
Midterm: TBD
Final Exam: Friday 7/8/2016 (last day of class)
(Approximately) Weekly homework will be assigned; collection dates are posted on all
homeworks and announced in class. No homework assignment will be dropped from final
grade calculations.
There are approximately 20 collected homework questions each week (they are relatively
short) the TA will choose 10 problems to grade randomly. Assume that there is a 1/20
chance that any problem will be graded. Your score is based out of 100 on the 10 randomly
chosen problems, no exceptions.
Collaborating is accepted and encouraged, but, each solution turned in must be your own
and not identifiable with any other students work. Please note on your paper any class
mates you may have collaborated with. Also with every homework a copy of the homework cover sheet found on blackboard should be attached in order to be graded by the
TA no exceptions.
For both the midterm and the final exam students are allowed a single 8.5 x 11 page
of hand written notes (to be turned in with the exam.)
3

This class also satisfies the AMS technical writing requirement, the written assignment
will take place of one of the regular homework assignments. More details to come as the
date approaches (see Blackboard.)
** A calculator is STRONGLY recommended for this class. You may prefer a graphing,
or scientific, or SOA approved model. **

DISABILITY SUPPORT SERVICES (DSS)


If you have a physical, psychological, medical or learning disability that may impact your
course work, please contact Disability Support Services, ECC (Educational Communications Center) Building, room128, (631) 632-6748. They will determine with you what
accommodations, if any, are necessary and appropriate. All information and documentation is confidential.
Students who require assistance during emergency evacuation are encouraged to discuss
their needs with their professors and Disability Support Services. For procedures and
information go to the following website: http://www.stonybrook.edu/ehs/fire/disabilities

ACADEMIC INTEGRITY
Each student must pursue his or her academic goals honestly and be personally accountable for all submitted work. Representing another persons work as your own is always
wrong. Faculty are required to report any suspected instances of academic dishonesty to
the Academic Judiciary. Faculty in the Health Sciences Center (School of Health Technology & Management, Nursing, Social Welfare, Dental Medicine) and School of Medicine
are required to follow their school-specific procedures. For more comprehensive information on academic integrity, including categories of academic dishonesty, please refer to the
academic judiciary website at http://www.stonybrook.edu/uaa/academicjudiciary/

CRITICAL INCIDENT MANAGEMENT


Stony Brook University expects students to respect the rights, privileges, and property of
other people. Faculty are required to report to the Office of Judicial Affairs any disruptive
behavior that interrupts their ability to teach, compromises the safety of the learning
environment, or inhibits students ability to learn. Faculty in the HSC Schools and the
School of Medicine are required to follow their school-specific procedures.