Fall 2018 - ACMA 210 D100
Mathematics of Compound Interest (3)
Class Number: 6488
Delivery Method: In Person
Course Times + Location:
Tu 10:30 AM – 11:20 AM
SECB 1014, Burnaby
Th 9:30 AM – 11:20 AM
SECB 1012, Burnaby
Exam Times + Location:
Oct 3, 2018
5:30 PM – 7:20 PM
AQ 3149, Burnaby
Oct 31, 2018
5:30 PM – 7:20 PM
AQ 3149, Burnaby
Dec 7, 2018
12:00 PM – 3:00 PM
BLU 10021, Burnaby
Prerequisites:MATH 152; or MATH 155 or MATH 158 with a grade of at least B.
Measurement of interest, present value. Equations of value. Basic annuities: immediate, due, perpetuity. General annuities. Yield rates: cash flow analysis, reinvestment rate, portfolio and investment year methods. Amortization schedules and sinking funds. Bonds and other securities. Inflation, yield curves, immunization. Applications: real estate mortgages, depreciation methods. Interest rate disclosure and regulation in Canada. Covers the interest theory portion of Exam FM of the Society of Actuaries. Quantitative.
This course is an introduction to the mathematics of compound interest. The topics covered correspond to the course of reading of Exam FM of the Society of Actuaries and they include:
- Measurement of Interest: Simple interest, compound interest, accumulation functions, present value, effective and nominal rates, forces of interest.
- Equations of value: Basic problem, numerical results, unknown time, unknown rate of interest.
- Basic Annuities: Immediate, due, perpetuities.
- General Annuities: Payments at a different frequency than interest is convertible, continuous annuities, varying annuities.
- Yield Rates: Cash flow analysis, reinvestment rate.
- Amortization Schedules and Sinking Funds: Outstanding loan balance, varying series of payments, continuous payments.
- Bonds and Other Securities: Types of securities, price of a bond, premium and discount, yield rates, callable bonds, serial bonds.
- Applications: Real estate mortgages, interest rate disclosure and regulation.
- Other: Inflation, yield curves, forward rates, spot rates, duration, convexity, immunization, interest rate swaps.
This course is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program (UAP) for the 2018-2019 academic year. Achievement of the established exemption grade in this course may qualify a student for exemptions from writing certain preliminary exams. Please note, a combination of courses may be required to achieve a single exemption. Please see http://www.cia-ica.ca/membership/uap for full details.
- Quizzes 10%
- Midterm 1 25%
- Midterm 2 25%
- Final Exam 40%
Above grading is subject to change.
Mathematics of Investment and Credit (6th ed.) by Samuel A. Broverman. Publisher: ACTEX
Mathematics of Investment and Credit (5th ed.) by Samuel A. Broverman. Publisher: ACTEX
*Note: Problem sets will be assigned based on end-of-chapter exercises in the 6th edition, which may differ from the 5th edtition.
Mathematics of Compound Interest by M.V. Butcher & C.J. Nesbitt, pub: Ulrich's
Theory of Interest and Life Contingencies with Pension Applications by M.M. Parmenter, pub: Actex
The Theory of Interest (2nd ed.) by S.G. Kellison, Publisher: Richard D. Irwin Inc.
An Introduction to the Mathematics of Finance by J.J. McCutcheon & W.F. Scott, pub: Institute and Faculty of Actuaries
Financial Mathematics – A Practical Guide for Actuaries and other Business Professionals (2nd ed.) by Ruckman and Francis, pub: BPP Professional Education
Derivatives Markets (2nd ed) by Robert L. McDonald, pub: Addison Wesley
Department Undergraduate Notes:
Students with Disabilites:
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