Download MAT 480

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
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MAT 480 - Mathematics Of Finance Modeling
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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