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Math 5632 (14469), Summer 2024
Prerequisites: The prerequisites for this course are [{a C- or better in 3618}, AND {a C- or better in 4530, 5530H,or Stat 4201} AND {enrollment in Math major, Actuarial Science major, Actuarial Science pre-major, or Grad standing}] OR permission of the department.
Course Description: Introduction to the evaluation of options and other derivatives, and some risk management techniques.
Topics list and schedule: We will cover most of the first five chapters of Math 5632
Book, with possible additional topics. The course reading list gives a list of sections by topic, and the course calendar gives the approximate schedule on which new topics will be covered. The order of topics within units will differ from that presented in the course slides (see below).
Skills Developed: You will gain understanding of many kinds of standard derivative securities, their pricing, and some applications. These securities will include both “vanilla” and “exotic” securities. You will learn the basics of a few pricing models and ways to value and manage risk.
Presentation: This class is intended to be asynchronous and online. The total amount of in-class time per week is approximately 6 hours per week, with an expected 12 hours of work outside of class. These times are doubled from atypical 3-hour course due to the fact that this course runs over a 6-week period.
• Activities considered “in-class” include: pre-recorded lecture videos, Canvas quizzes and exams, and problem sessions/office hours.
• Activities considered “out-of-class” include: homework, reading, review of notes, exam prep, and additional review of in-class material.
Technological Requirements: You will need to have astable enough internet connection to view any course recordings. You must have a web browser capable of interacting with the various online aspects of the course. You must have some means of creating pdf files to submit homework problems and to complete exams. You will need access to a fully featured spreadsheet program (such as MS Excel) for some topics. The Gradescope app may be used for submission of relevant assignments and examinations.
Grading: You will be assigned course points from the following categories. All examinations will be based on assigned homework problems and material covered in lecture. I will determine grade cut-offs based on exam difficulty and not on score distributions, starting from a scale where 90% is an A and grade intervals are 3-4 percentage points. Cutoffs may be lowered from this initial scale, but they will not be raised.
Exams (60%): There will be three exams held for this course. Exams will include both Canvas quiz and Gradescope components. The following table provides details:
|
Exam |
Date |
Start time |
Allotted time |
Weight |
|
Exam 1 |
June 28 |
10AM |
60 minutes |
15% |
|
Exam 2 |
July 12 |
10AM |
80 minutes |
20% |
|
Exam 3 (final) |
July 26 |
10AM |
105 minutes |
25% |
Exams are considered open note and open book. You may use any of the allowed calculators on exams, and you may use MS Excel. If you use a BA or graphing calculator’s special features to solve a problem that requires you to show work, then you must state how you used the calculator. If you use Excel to solve a problem requiring you to show work, then you must email me the workbook to review .Exams are to be the sole work of the individual submitting the exam. Collaboration with others during an exam is considered academic misconduct.
Exams are considered open note and open book. You may use any of the allowed calculators on exams, and you may use MS Excel. If you use a BA or graphing calculator’s special features to solve a problem that requires you to show work, then you must state how you used the calculator. If you use Excel to solve a problem requiring you to show work, then you must email me the workbook to review .Exams are to be the sole work of the individual submitting the exam. Collaboration with others during an exam is considered academic misconduct.
There will be a make-up time later in the evening for students who are unable to attend the full exam due to a time conflict. This includes currently residing in a place where this exam would be in the middle of the night for you. You must email me earlier than 5PM Columbus time on the Wednesday of the week of an exam to be permitted to take that exam at the alternative time. I will refer to this alternative time as the Conflict Exam time.
Quizzes (20%): Short quizzes will be given on a roughly weekly basis, with the dates given on the course calendar. There will be a total of 5 quizzes, each with varying weights. Quizzes follow a similar format to exams, with the following differences:
• Quizzes will be significantly shorter than exams, with correspondingly shorter time periods in which to take them.
• You will be permitted to start your quiz at anytime of day on the day when the quiz occurs.
• Quiz 1 (only) will be open for an entire week, and you will be permitted to submit Quiz 1 multiple times.
Written Homework (20%): I will periodically ask you to do written homework assignments (see the course calendar for times). These assignments areturned in through Gradescope. The lowest score will be dropped. Written homework cannot be turned in late. Written homework problems will be given as problems in the McDonald book.
Textbooks. Both Waller’s book and McDonald’s book should be acquired in order to have readings the material in the course. Dr. Waller was kind enough to offer his book to everyone free of charge as a pdf download, while McDonald book has material beyond what is covered in the course as well as additional examples, problems, and context. I may make references to both books in class. McDonald’s book is the official book for the course, and it will be the main source of practice problems and homework for the course.
Course Policies.
Homework: Homework problems will come from the McDonald and Waller books, as well as worksheets posted to Canvas. These problems, as well as examples from lecture, will form the basis for exam questions.
To submit problems to Gradescope, you must convert your written or typeset work to pdf format. You may do this directly from tablet or desktop apps, or by scanning written documents. I use a combination of Office 365 Lens, OneNote, and Notability for this, but there are many options. As a warning, if you neglect to place problems on separate pages or do not label the pages that your problems are on during the upload process on Gradescope, it may result in only part of your responses being graded or in an outright score reduction.
E-mail Policy: I will only respond to class-related emails from your “osu.edu” address. In the subject line of your email, you should include the name or number of the course.
Please identify yourself in your email, and do not send attachments without first discussing it with me. I will not open emails with attachments without assurances that said attachments are safe, such as by receiving a prior email explaining what the attachment is. Due to the COVID-19 pandemic, I encourage you to send course-related emails though Carmen instead of directly to my email address. In the event that I require a substitute, course-related Carmen messages will be available to her, while direct emails may not be available. Failure to comply with this policy may result in significant delays or non-response.
Exam Regrade: I will regrade returned exams to correct errors in grading only. Regrades for an exam must be requested within 5 US business days of the time I first publish exam results, whether or not you accessed your exam at that time. You must request regrades via the interface on Gradescope. Regrading may involve consideration of problems other than those requested, and it may result in a lower overall score for the exam. Homework regrades will follow the same policy. If there is a grader for the course, please do not contact him or her regarding this matter and refer all questions to me. Regrades for assignments returned via Gradescope should be done using the Regrade feature in Gradescope.
Exam Make-up: Other than the standard make-up time for conflicts and time zon differences, make-ups for course exams will only be given for appropriately documented emergencies and school events for which I have issued an excuse. This includes, but is not limited to, medical and legal emergencies. No make-ups will be given for an exam that has been graded and returned to the class. Documented emergencies that prevent make-up exams will be considered on a case-by-case basis and may result in alternative assignments or excused exams. Please see the Exam section above regarding conflict exams.
Computer Use: I may upload (or post links to) scripts for use with certain homework assignments, as well as documentation on how to use them, to the course Carmen page. These will be optional, and you will not be required to use or write any computer programs in this class. Scripts that I write will be written in the Python, MATLAB, or R languages. You may download the MATLAB interpreter and IDE from the OCIO website, and Python and R interpreters and IDES are available together (along with many useful packages) as part of the Anaconda distribution. I recommend using the VSCode IDE for its versatility and the Spyder IDE (Python only) for its resemblance to the MATLAB IDE. Computer use will not be allowed during exams beyond what is needed to write and submit exam responses. There will be some assignments that require the use of a fully- featured spreadsheet program, such as MS Excel.
Calculator Use. Exams will require the use of a calculator. You may use any scientific, graphing, or business analyst calculator that does not have computer algebra capabilities. Such calculators are often marked as CAS. I recommend the following calculators as they are the ones typically allowed on SOA/CAS preliminary exams: TI BA- 35, TI BA II Plus, TI BA II Plus Professional, TI-30Xa, TI-30X II (Sor B), and TI-30X MultiView (Sor B). You may use multiple calculators. Lending of calculators before an exam has started is allowed, but sharing or trading of calculators during an exam will be considered academic misconduct. Exams will be designed under the assumption that you are using the TI-30X II. Note: If you use a BA-style calculator’s special capabilities on a problem requiring shown work, then you must include the calculator inputs you use along with any other work.
Course Notes: I will post course notes to Carmen for the majority of course topics. These notes are not a full replacement for the course text. If I publish new notes or course documents, they will always be published in pdf format in addition to any other format used.
Disclaimer: This syllabus should betaken as a guide to the content and scheduling of the course. I reserve the rights to modify the course schedule by moving, adding, or removing topics, or by postponing the due dates of homework assignments. Changes to exam times will only be made in case of emergency or with unanimous approval of all course participants. Other policies will only be changed in case of emergency or with the unanimous approval of all course participants. For the purposes of this disclaimer, a change in class format due to university mandate constitutes an emergency.