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 562
2. Units:
See upper and lower division undergraduate course definitions.
3. College:
CEFNS
5. Current Student Learning Outcomes of the
course.
Not on record.
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 completion of the course, students will be able
to :
1. Define and recognize basic concepts regarding
financial mathematics, especially as related to
interest, time value of money, annuities, loans,
bonds, cash flows, portfolios, immunization,
general financial derivatives, options, forwards
and futures, swaps, and hedging.
2. Calculate quantities related to the time value
of money given sufficient information:
interest rate, time, present value, future value,
effective interest rate, nominal interest rate
convertible m-times per year, effective
discount rate, discount rate convertible m
times per year, or force of interest. Write and
apply equations of value.
3. Calculate quantities related to annuities,
whether immediate or due, fixed term or
perpetuities, given sufficient information:
interest rate, payment amount, term, present
value, future value, including cases with
nonlevel payments (e.g., in arithmetic or
geometric progression.
4. Calculate quantities related to loans given
sufficient information: principal, term of loan,
Effective Fall 2012
interest rate, payment amount, payment
period outstanding loan balance, amount of
principal and interest repayment in a given
period, quantities related to sinking funds,
quantities related to refinancing.
5. Calculate quantities related to bonds,
whether callable or non-callable, given
sufficient information: price, book value,
amortization of premium/discount,
redemption value, par/face value, yield rate,
coupon, coupon rate, term.
6. Calculate quantities related to cash flows and
portfolios given sufficient information:
portfolio yield rates, rates of return, duration
and convexity, approximation of the change
in present value due to change interest rate,
stock price using dividend discount model.
7. Apply immunization methods to construct
portfolios, e.g., immunizing a set of liability
cash flows, matching a set of liability cash
flows.
Specific Graduate Level Course Requirements
8. Graduates will independently investigate the
mathematics of financial instruments including
derivatives, options, forwards and futures,
swaps, hedging, and other investment strategies.
This will be accomplished by independent
reading of materials from the recommended
textbook list.
9. Graduates will be responsible for an in class
presentation of their independent investigation
as well as a formal written summary.
10. Graduates will be responsible for additional
assigned reading from selected topics not
covered during lecture and will be assessed on
this material on midterm and final exams.
6. Current title, description and units. Cut and
paste, in its entirety, from the current on-line
academic catalog*
http://catalog.nau.edu/Catalog/.
Show the proposed changes in this column
Bold the proposed changes in this column to
differentiate from what is not changing, and
Bold with strikethrough what is being deleted.
MAT 562 - Interest Theory For Actuarial
Science
MAT 562 - Interest Theory For Actuarial
Science
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Description: Theory and applications of interest, or
the time value of money. Topics include
measurement of interest, annuities certain,
Description: Theory and applications of interest, or
the time value of money. Topics include
measurement of interest, annuities certain,
Effective Fall 2012
yield rates, amortization schedules and
sinking funds, bonds, and related securities.
Letter grade only.
yield rates, amortization schedules and
sinking funds, bonds, and related securities.
Co-convened with MAT 462.
Letter grade only.
Units: 3
Units: 3
Sections offered: Fall 2014
Sections offered: Fall 2014
Prerequisite: MAT 137 with a grade of C or better
Prerequisite: MAT 137 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 562 will co-convene with the proposed new course MAT 462. MAT 462 is being created to meet
the needs of our significant contingent of undergraduate majors interested in entering the actuarial
profession. Many now take MAT 562, but creating an undergraduate version of the course will better
serve our students and better communicate the availability of the course, while keeping the graduate
version for prospective actuaries among our graduate students.
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:
Current grading option:
letter grade
pass/fail
or both
Current repeat for additional units:
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 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:
Proposed co-convene with: MAT 462
Current cross list with:
Proposed cross list with:
Current long course title:
Effective Fall 2012
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.
MAT 562 is applicable toward the MS Statistics program. The change will have no impact on the MS
Statistics program or the use of MAT 562.
10. Is there a related plan or sub plan change proposal being submitted?
If no, explain.
See above.
Yes
No
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?
If yes, select all that apply.
Liberal Studies
Diversity
13. Do you want to remove the Liberal Studies or Diversity designation?
If yes, select all that apply.
Liberal Studies
Diversity
Yes
No
Both
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
02/6/2015
Date
Approvals:
Department Chair/Unit Head (if appropriate)
Date
Chair of college curriculum committee
Date
Dean of college
Date
For Committee use only:
Effective Fall 2012
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
Department of Mathematics & Statistics
Adel Mathematics Building
PO Box 5717
Flagstaff, AZ 86011-5717
928-523-3481
928-523-5847 fax
www.math.nau.edu
MAT 562 Interest Theory For Actuarial Science (3 credit hours)
Fall 2016
Instructor: Dr. Art DeGraw
Office: Adel Mathematics 118
Office Hours:
Course Description and Prerequisites. Theory and applications of interest, or the time value of
money. Topics include measurement of interest, annuities certain, yield rates, amortization schedules
and sinking funds, bonds, and related securities. Letter grade only. Prerequisite: MAT 137 with a
grade of C or better.
Student Learning Outcomes Upon completion of the course, students will be able to :
8. Define and recognize basic concepts regarding financial mathematics, especially as related to
interest, time value of money, annuities, loans, bonds, cash flows, portfolios, immunization,
general financial derivatives, options, forwards and futures, swaps, and hedging.
9. Calculate quantities related to the time value of money given sufficient information: interest
rate, time, present value, future value, effective interest rate, nominal interest rate convertible
m-times per year, effective discount rate, discount rate convertible m times per year, or force of
interest. Write and apply equations of value.
10. Calculate quantities related to annuities, whether immediate or due, fixed term or perpetuities,
given sufficient information: interest rate, payment amount, term, present value, future value,
including cases with nonlevel payments (e.g., in arithmetic or geometric progression.
11. Calculate quantities related to loans given sufficient information: principal, term of loan,
interest rate, payment amount, payment period outstanding loan balance, amount of principal
and interest repayment in a given period, quantities related to sinking funds, quantities related
to refinancing.
12. Calculate quantities related to bonds, whether callable or non-callable, given sufficient
information: price, book value, amortization of premium/discount, redemption value, par/face
value, yield rate, coupon, coupon rate, term.
13. Calculate quantities related to cash flows and portfolios given sufficient information: portfolio
yield rates, rates of return, duration and convexity, approximation of the change in present
value due to change interest rate, stock price using dividend discount model.
14. Apply immunization methods to construct portfolios, e.g., immunizing a set of liability cash
flows, matching a set of liability cash flows.
Specific Graduate Level Course Requirements
Effective Fall 2012
11. Graduates will independently investigate the mathematics of financial instruments including
derivatives, options, forwards and futures, swaps, hedging, and other investment strategies. This
will be accomplished by independent reading of materials from the recommended textbook list.
12. Graduates will be responsible for an in class presentation of their independent investigation as
well as a formal written summary.
13. Graduates will be responsible for additional assigned reading from selected topics not covered
during lecture and will be assessed on this material on midterm and final exams.
Course structure/approach. The course will be taught in a lecture-discussion format. In addition,
students will complete a project that requires investigation of the mathematics pertaining to financial
instruments. The course provides part of the education required in the actuarial profession and
specifically partial preparation for an actuarial examination on financial mathematics. To accomplish
this, students will solve a large number of problems in financial mathematics of an actuarial nature.
Textbooks and required materials,
ACTEX FM/2 Study Manual, Matthew Hassett, et.al., ACTEX Publications, 2013.
Derivative Markets, 2nd ed., McDonald, Pearson Education, 2006.
Recommended optional Additoinal materials and resources /references
Mathematical Interest Theory, 2nd ed., Vaaler and Daniel, MAA Publications, 2009.
An Introduction to the Mathematics of Financial Derivatives, 2 nd ed., Neftci
On Quantitative Finance, Wilmott
Course Outline
Week 1
Time Value of Money; Interest Rates and
Computations
Week 2
Time Value of Money; Interest Rates and
Computations
Weeks 3
Annuities: Due, Immediate; Fixed term; Perpetuities
Week 4
Annuities computations and variations
Week 5
Annuities with nonlevel payments
Week 6
Loans
Week 7
Week 8
Week 9
Week 10
Week 11
Week 12
Loans and Sinking Funds
Bonds
Bonds
Yield Rates of Investments
Term Structure and Interest Rates
Asset Liability Management, Duration, Immunization
Week 13
Week 14
Week 15
Asset Liability Management, Duration, Immunization
Introduction to Derivative Securities; Project Draft
Introduction to Forwards, Futures, Calls, Puts;
Project Due
Week 16
Exam
One
Exam
Two
Final
Exam
Assessment of Student Learning Outcomes
The course requirements consist of two midterm exams, a comprehensive final exam, a term project,
weekly homework assignments and frequent short quizzes. In addition, students will be assigned
Effective Fall 2012
additional reading in the text or supplementary resources to investigate deeper aspects of topics
covered in class or techniques not covered in class. This is to result in a written report of 8-12 pages
describing the topics investigated along with pertinent applications and examples. Assignments and
exam equations may include problems of a deeper nature than required of students in MAT 462.
These will be weighted as follows, subject to adjustment by instructor.
 Homework and quizzes: 20%
 Written Report: 20%
 Midterm Exams: 40% (20% each)
 Final Exam: 20%
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
Make-up exams will only be given with sufficient reasons for missing in the judgment of the instructor.
University policies: Attach the Safe Working and Learning Environment, Students with Disabilities,
Institutional Review Board, and Academic Integrity policies or reference them on the syllabus. See
the following document for policy statements: http://www4.nau.edu/avpaa/UCCPolicy/plcystmt.html.
Effective Fall 2012