University of California, Santa Barbara

Department of Statistics and Applied Probability

PSTAT 171 - Mathematics of Fixed Income Markets

Syllabus for Spring 2019
Instructor: Tao Chen
Class Hours: MW, 12:30 - 1:45
Classroom: PHELP 1160
Office Hours: TBA
TA Sections:
T 1:00 - 2:00 387 1015
M 4:00 - 5:00 GIRV 2120
T 5:00 - 6:00 HSSB 1237

Textbook: Mathematics of Investment & Credit, 6th ed., by Samuel A. Broverman.

Course Webpage: Gauchospace includes course announcements, lecture material,

course calendar, and up-to-date information about your grades.

About the Course: This course covers the basics of all topics in the Financial Mathe-
matics (FM) actuarial examination of the Society of Actuaries (SOA). Topics include
interest theory, annuities, loan repayment, amortization, bond valuation, yield rate of
an investment, term structure of interest rates, asset liability management, and equity
and fixed income investments. The syllabus follows the Society of Actuaries Exam FM
posted separately on GauchoSpace (cf. Exam FM Syllabus of SOA).

Prerequisites: MATH 3AB or equivalent (calculus, functions, exponentials and loga-

rithms, derivatives, Riemann Sums, integrals, and arithmetic/geometric series).

Homework: Homework will be posted every Wednesday on GauchoSpace and will be

collected in class the following Wednesday. Two problems at random will be graded
by the TA or grader. Graded homework are handed back in the sections.

Exams: There will be one midterm exam (tentatively on Feb 5 during class) and the
final exam. No make-up exams will be given for any reasons. The final exam will be
comprehensive. The exams are to be your own work, without help or consultation from
anyone else or any other sources. Any kind of communication between students will

Tao Chen, Dept of Statistics and Applied Probability, UCSB Syllabus PSTAT 171, Winter 2020, page 1
be considered as cheating.
Attending the lecture is a fundamental part of the course. You are responsible for
material presented in the lecture whether or not it is discussed in the textbook. You
should expect questions on the exams to test your understanding of concepts discussed
in the lecture and in the text/notes.

Grading: Homework - 20%, Midterm - 25%, Final - 55%.

Grade Percentage in Course

A 100 − 93.00

A− 92.99 − 90.00

B+ 89.99 − 87.00

B 86.99 − 83.00

B− 82.99 − 80.00

C+ 79.99 − 77.00

C 76.99 − 73.00

C− 72.99 − 70.00

D+ 69.99 − 67.00

D 66.99 − 63.00

D− 62.99 − 60.00

F 59.99 − 0

Academic Dishonesty:
Academic dishonesty is considered a serious offense at UCSB. Students caught cheating
shall be subject to the sanctions and other remedies described in UCSB’s Academic
Misconduct Policy and Procedures. It is in your best interest to maintain your academic
integrity!
Other SOA resources:

Tao Chen, Dept of Statistics and Applied Probability, UCSB Syllabus PSTAT 171, Winter 2020, page 2
 • Exam FM website https://www.soa.org/education/exam-req/edu-exam-fm-detail.aspx

• Notation and terminology used for Exam FM: https://www.soa.org/files/edu/edu-

exam-fm-notation-term.pdf

• SOA prior exams: https://www.soa.org/education/exam-req/syllabus-study-materials/edu-

multiple-choice-exam.aspx

• Exam FM Sample Questions https://www.soa.org/Files/Edu/edu-2009-fall-exam-

fm-ques.pdf and solutions https://www.soa.org/Files/Edu/edu-2009-fall-exam-
fm-sol.pdf

• Online Sample Exam FM: http://q40542.questionwritertracker.com/N8BXPANM/

Tao Chen, Dept of Statistics and Applied Probability, UCSB Syllabus PSTAT 171, Winter 2020, page 3