Fall 2010 Courses

It’s actually several weeks into the Fall semester already, but I guess it’s better to be late than never. Otherwise, I might not update over here at all. Right now, I am taking five courses for this semester. It’s pretty reasonable for now, judging by rumors that some of my classes are challenging.

FIN 300 – Financial Management. 3 cr.

An introduction to the issues, theory, and methodology that comprise a framework for rational decision-making by financial managers. The objective of this course is to use examples, problems, and cases to develop analytical ability and to illustrate the practical application of financial theory and analysis. Topics include present value analysis, capital budgeting, pricing financial assets, firm financial structure and the cost of capital, mergers and acquisitions, and security underwriting.

By far, the easiest of all my courses. I guess my mathematics background really helps out over here.

ECON 406 –  Introduction to Econometrics. 4 cr.

This course, a continuation of ECON 405, is intended to prepare students to conduct empirical research in economics. The classical linear regression model is developed with special emphasis on the basic assumptions of the model, economic situations in which the assumptions are violated, and alternative estimation procedures that are appropriate in these cases. Computer exercises are used to introduce students to special problems encountered in the analysis of economic data.

Introductory econometrics. It is almost similar (currently) to the previous statistics class I took. I guess Prof. Smith is still building up our foundation for further delving into econometrics. The computer exercises using Stata is fun. Stata has higher capability to other statistical software I used before (ie PASW – formerly SPSS).

ECON 490 –  Topics in Microeconomics (Korean Economy). 3 cr.

Sections cover specialized topics and topics that span subfields in economics. The topics are presented at an advanced undergraduate level. Topics vary with the interests of the faculty member teaching the section.

The prof teaching this class is Prof. Baak, a visiting prof from Waseda University, Japan. It is supposed to be my fun class since the topic caters to my interest. The only downside is the copious amount of readings and the frequent data entry and analysis from databases. I am getting better at accessing databases and editing the data in Excel to be more presentable. (My professor laments the fact that the University pays so much for these databases’ access and the students hardly ever used them, thus his intent for us to access the databases as much as possible.)

MATH 520 –  Life Contingencies I. 3 cr.

The goal of this course is to teach the basic actuarial theory of mathematical models for financial uncertainties, mainly the time of death. In addition to actuarial students, this course is appropriate for anyone interested in mathematical modeling outside of the physical sciences. Concepts and calculation are emphasized over proof. The main topics are the development of:

  1. probability distributions for the future lifetime random variable,
  2. probabilistic methods for financial payments depending on death or survival, and
  3. mathematical models of actuarial reserving.

MATH 523 is a complementary course covering the application of stochastic process models. MATH 520 is prerequisite to all succeeding actuarial courses. MATH 521 extends the single decrement and single life ideas of MATH 520 to multi-decrement and multiple-life applications directly related to life insurance and pensions. The sequence MATH 520-521 covers the Part 4A examination of the Casualty Actuarial Society and covers the syllabus of the Course 150 examination of the Society of Actuaries. MATH 522 applies the models of 520 to funding concepts of retirement benefits such as social insurance, private pensions, retiree medical costs, etc.

It is an irony that the upper-level/graduate classes usually have lower credit hours but much higher workload. Still, this course is still fairly enjoyable for now if I can keep up with the weekly quizzes.

MATH 523 –  Risk Theory. 3 cr.

Risk management is of major concern to all financial institutions and is an active area of modern finance. This course is relevant for students with interests in finance, risk management, or insurance and provides background for the professional examinations in Risk Theory offered by the Society of Actuaries and the Casualty Actuary Society. Students should have a basic knowledge of common probability distributions (Poisson, exponential, gamma, binomial, etc.) and have at least junior standing. Two major problems will be considered: (1) modeling of payouts of a financial intermediary when the amount and timing vary stochastically over time; and (2) modeling of the ongoing solvency of a financial intermediary subject to stochastically varying capital flow. These topics will be treated historically beginning with classical approaches and proceeding to more dynamic models. Connections with ordinary and partial differential equations will be emphasized. Classical approaches to risk including the insurance principle and the risk-reward tradeoff. Review of probability. Bachelier and Lundberg models of investment and loss aggregation. Fallacy of time diversification and its generalizations. Geometric Brownian motion and the compound Poisson process. Modeling of individual losses which arise in a loss aggregation process. Distributions for modeling size loss, statistical techniques for fitting data, and credibility. Economic rationale for insurance, problems of adverse selection and moral hazard, and utility theory. The three most significant results of modern finance: the Markowitz portfolio selection model, the capital asset pricing model of Sharpe, Lintner and Moissin, and (time permitting) the Black-Scholes option pricing model.

Definitely the hardest of all the courses I am taking. Prof. Panjer is a quite famous in his field – a past President of the SOA, co-author of the standard textbook, and introduced a very famous algorithm etc. I like attending his class, he makes the materials feel bearable, if only I could keep my understanding of the lecture outside of class. However, his Excel exercises do makes me contemplate whether to drop this course. I am pretty sure I tried out a new function or two of Excel trying to finish his assignments.