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UCC/UGC/ECCC Proposal for Course Change FAST TRACK (Select if this will be a fast track item. Refer to Fast Track Policy for eligibility) If the changes included in this proposal are significant, attach copies of original and proposed syllabi in approved university format. 1. Course subject and number: MAT 480 2. Units: See upper and lower division undergraduate course definitions. 3. College: CEFNS 5. Current Student Learning Outcomes of the course. Upon successful completion of the course, students will be able to: 1. Demonstrate an understanding of the financial modeling process for creating mathematical models for well-posed financial problems. 2. Model financial-world problems using techniques from stochastic calculus, partial differential equations, actuarial science, and probability theory. 3. Investigate and interpret the validity and properties of a financial model. 4. Present the results and conclusions drawn from model analysis. 5. Contribute to a major collaborative modeling effort. 4. Academic Unit: 3 Mathematics & Statistics Show the proposed changes in this column (if applicable). Bold the proposed changes in this column to differentiate from what is not changing, and Bold with strikethrough what is being deleted. (Resources & Examples for Developing Course Learning Outcomes) Upon successful completion of the course, students will be able to: 1. Demonstrate an understanding of the financial modeling process for creating mathematical models for well-posed financial problems. 2. Model financial-world problems using techniques from stochastic calculus, partial differential equations, actuarial science, and probability theory. 3. Investigate and interpret the validity and properties of a financial model. 4. Present the results and conclusions drawn from model analysis. 5. Contribute to a major collaborative modeling effort. 5. Solve problems dealing with the mathematics of financial economics similar to those encountered on professional actuarial examinations. 6. Current title, description and units. Cut and paste, in its entirety, from the current on-line Effective Fall 2012 Show the proposed changes in this column Bold the proposed changes in this column to academic catalog* http://catalog.nau.edu/Catalog/. differentiate from what is not changing, and Bold with strikethrough what is being deleted. MAT 480 - Mathematics Of Finance Modeling Return to search MAT 480 - Mathematics Of Finance Modeling Return to search Description: Principles of modeling actuarial and financial market events. Weiner and stochastic processes, binomial tree pricing, and BlackScholes analysis. Letter grade only. Course fee required. Description: Principles of modeling actuarial and financial market events. Weiner and stochastic processes, binomial tree pricing, and Black-Scholes analysis. Mathematical concepts of financial models used to describe the monetary-world phenomena of random markets. Provides experience in creating and analyzing such models. Co-convened with MAT 580. Credit not allowed for both MAT 480 and MAT 580. Letter grade only. Course fee required. Units: 3 Prerequisite: MAT 239 with a grade of C or better Units: 3 Prerequisite: MAT 239 with a grade of C or better *if there has been a previously approved UCC/UGC/ECCC change since the last catalog year, please copy the approved text from the proposal form into this field. 7. Justification for course change. MAT 480 will co-convene with the proposed new course MAT 580. MAT 580 is being created to make it available for our MS Statistics graduate students who are interested in entering the actuarial profession. Many now take MAT 480, but this course will not apply toward their MS program, even though it is one of the most mathematically sophisticated courses among our four actuarial courses. The changes in MAT 480 are slight, only intended to clarify the content and to reflect the creation of MAT 580. 8. Effective BEGINNING of what term and year? See effective dates calendar. Fall 2015 IN THE FOLLOWING SECTION, COMPLETE ONLY WHAT IS CHANGING CURRENT Current course subject and number: PROPOSED Proposed course subject and number: Current number of units: Proposed number of units: Current short course title: Proposed short course title (max 30 characters): Proposed long course title (max 100 characters): Proposed grading option: letter grade pass/fail or both Proposed repeat for additional units: Current long course title: Current grading option: letter grade pass/fail or both Current repeat for additional units: Effective Fall 2012 Current max number of units: Proposed max number of units: Current prerequisite: Proposed prerequisite (include rationale in the justification): Current co-requisite: Proposed co-requisite (include rationale in the justification): Current co-convene with: NONE Current cross list with: Proposed co-convene with: MAT 580 Proposed cross list with: 9. Is this course in any plan (major, minor, or certificate) or sub plan (emphasis)? Yes No If yes, describe the impact. If applicable, include evidence of notification to and/or response from each impacted academic unit. The course is applicable toward the BS Mathematics Major and the newly proposed Actuarial Science Minor. The change will not impact the BS Mathematics Major. 10. Is there a related plan or sub plan change proposal being submitted? Yes No If no, explain. The Actuarial Science Minor proposal is being submitted at the same time as this course change proposal. 11. Does this course include combined lecture and lab components? Yes If yes, include the units specific to each component in the course description above. No Answer 12-15 for UCC/ECCC only: 12. Is this course an approved Liberal Studies or Diversity course? Yes yes, select all that apply. Liberal Studies Diversity Both 13. Do you want to remove the Liberal Studies or Diversity designation? If yes, select all that apply. Liberal Studies Diversity No If Yes No 14. Is this course listed in the Course Equivalency Guide? Yes No 15. Is this course a Shared Unique Numbering (SUN) course? Yes No Both FLAGSTAFF MOUNTAIN CAMPUS Scott Galland Reviewed by Curriculum Process Associate Effective Fall 2012 01/07/2015 Date Approvals: Department Chair/Unit Head (if appropriate) Date Chair of college curriculum committee Date Dean of college Date For Committee use only: UCC/UGC Approval Approved as submitted: Approved as modified: Date Yes Yes No No EXTENDED CAMPUSES Reviewed by Curriculum Process Associate Date Approvals: Academic Unit Head Date Division Curriculum Committee (Yuma, Yavapai, or Personalized Learning) Date Division Administrator in Extended Campuses (Yuma, Yavapai, or Personalized Learning) Date Faculty Chair of Extended Campuses Curriculum Committee (Yuma, Yavapai, or Personalized Learning) Date Chief Academic Officer; Extended Campuses (or Designee) Date Approved as submitted: Approved as modified: Effective Fall 2012 Yes Yes No No PROPOSED SYLLABUS College of Engineering, Forestry and Natural Sciences Department of Mathematics & Statistics MAT 480 MATHEMATICS OF FINANCIAL MODELING Semesters Offered: Spring of odd-numbered years Credit Hours: 3 Course Description/ Course Prerequisite: MAT 480 Mathematics of Financial Modeling is a three semester-hour course meeting 150 minutes each week that develops the mathematical concepts of financial models used to describe the monetary-world phenomena of random markets. The course will provide experience in creating and analyzing such models. Co-convened with MAT 580. Prerequisite: MAT 239 or instructor consent. Student Learning Expectations: Upon completion of the course, students should be able to: 1. Demonstrate an understanding of the financial modeling process for creating mathematical models for well-posed financial problems. 2. Model financial-world problems using techniques from stochastic calculus, partial differential equations, actuarial science, and probability theory. 3. Investigate and interpret the validity and properties of a financial model. 4. Present the results and conclusions drawn from model analysis. 5. Solve problems dealing with the mathematics of financial economics similar to those encountered on professional actuarial examinations. Course Structure and Approach: Course material will be presented in an interactive lecture format. Assignments will give students experience in developing mathematical models of financial-world phenomena and minute-by-minute pricing of financial derivatives. These will use mathematics learned in previous courses as well as material presented as needed in this course. The course involves a significant amount of computer programming used for data and model analysis. Required Text: Derivative Markets, 3rd ed., McDonald, Pearson Addison-Wesley. Supplemental Resources: Option Pricing: Mathematical Methods and Computation, P. Wilmott, S. Howison, J. DeWynne, Cambridge University Press An Introduction to the Mathematics of Financial Derivatives, S. Neftci, Academic Press Course Outline: 6. Introduction and Basic Strategies: insurance, forwards, call and put options, long and short positions, spreads and collars, simple hedging (e.g., with a forward contract), futures and swaps. (3-5 weeks) 7. Options: parity, American and European options, binomial option pricing, Black-Sholes formula, market-making and delta-hedging, exotic options (6-7 weeks) 8. Advanced pricing theory: Topics chosen from the lognormal distribution, monte carlo valuation, Brownian motion and Ito’s lemma, additional application of the Black-Sholes equation, volatility, and interest rate models (3-5 weeks) Effective Fall 2012 Assessment of Student Learning Outcomes and Timeline: There will be at least two midterm exams and a comprehensive final exam. Many problems on the exams will be similar to problems encountered on professional actuarial exams. Some tests may include a take-home portion. Regular homework assignments (typically weekly) and/or quizzes will also be required. The homework may require computer programming. These will be weighted as follows. Homework and quizzes: 30% Midterm Exams: 40% (20% each) Final Exam: 30% Grading System Grades will be based on percentages as follows. A: 90 – 100%; B: 80 – 89%; C: 70 – 79%; D: 60 – 69%; F: 0 – 59% Course Policies: Attendance policy, Make-up policy and other policies –Varies by instructor. University policies – Students are responsible for university policies found athttp://nau.edu/OCLDAA/_Forms/UCC/SyllabusPolicyStmts2-2014/. Effective Fall 2012