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Wall Street Needs Rocket Scientists

Wall Street Needs Rocket Scientists:  Mathematics To The Rescue

Schedule       Accomodations       Directions       Biography

This three and a half day PREP session will run over four days will be held June 6-10 at Saint Mary's College in South Bend, IN. The Principal Presenter will be Tom Struppeck from New York.
Early in their careers many undergraduates avoid majoring in mathematics because of a misperception that a mathematics degree leads only to a teaching career.  In fact, mathematicians are some of the highest paid employees in the financial services industry.  Available jobs include actuarial jobs at insurance companies or in government, statistician positions, and "quant" jobs at investment banks and hedge funds.  Additionally, consulting opportunities abound.
What can a mathematics department do to increase its attractiveness to undergraduates looking for a major?  At one extreme, the department could offer a special degree possibly in actuarial science.  At the other extreme the department could offer a few reading courses.  Most schools will probably aim somewhere in the middle.  Regardless of where on this spectrum a school's program will fall there are some common issues --- those issues will be the focus of this PREP session.

Prior to arrival at the session, participants will be expected to have read some material that is available online.  Among the preparatory readings will be these two notes:

The first (which is very short) gives an example of arbitrage pricing:

The second (which is longer) illustrates that actuarial tools can be used to solve problems outside of the insurance world:

In neither case is any prior knowledge of baseball assumed.

Additional readings and other material will be circulated after registration.











Thursday, June 8:  Personal Finance, Financial Mathematics, and Actuarial Models
            This day will a survey of those three topics and how they interrelate.  This session will be conducted by
Chris Ruckman and Joe Francis, authors for BPP Professional Education.

        Morning session (8:30 – 11:30)

  • Annuities
  • Project valuation / Discounted cash flow analysis
  • Inflation / Nominal vs. real interest rates
  • Loans / Mortgages
  • Bond valuation
  • Stock valuation
  • Derivative valuation
  • Duration and convexity
  • Immunization
  • Term structure of interest rates
  • Spot rates and forward rates
  • Arbitrage

    Lunch break (11:30 – 1:30)

    Afternoon session (1:30 - 3:30)

            Why do people buy insurance?
            Different types of insurance
            Pricing insurance

    Insurance and stochastic processes    


    What pension plans, auto insurance, and appliance warrantees all have in common

    What are insurance “reserves?”


    Exercises to be discussed on Friday distributed.

Friday, June 9:  Applied Credibility
          This day will discuss some of the various credibility concepts from exam 4

Morning session (8:30 – 11:30)

     Discuss assignment from previous evening.


     What is credibility and why is it important?
     Different kinds of credibility
     Relationship to F-Test


               Mixtures of populations
               Leslie Matrices (linear algebra application)

Lunch break (11:30 – 1:30)

Afternoon session (1:30 - 3:30)

    The Exam 4/C Readings:
              Why they are good for teaching a course.
    Why they are bad for teaching a course.


    How this material might be fit into an existing statistics course.


              Exercises to be discussed on Saturday distributed


Saturday, June 10:  Implementing a program

Morning session (8:30 – 11:30)

    Discussion of previous day’s assignment    

    Okay, so you’ve decided to do this, now what?

    What does a faculty member need to do to get up to speed?    

    How to collaborate with the business school?

    What courses should be offered as a minimum?

    How can these courses be taught within the constraints of an existing catalog?

    Should your students pursue an MBA?  If so, how can you best prepare them.

    Suggestions for recruiting students.

    Suggestions for helping students get internships and jobs.  


Noon:  Check-out and depart.



Saint Mary's College, Opus Hall

On-campus housing arrangements

Participants will be placed in Opus Hall, the two-year old Saint Mary's College student apartments.
      *Bed linens and towels are provided
      *private bedrooms

Rooms are available from 3:00 p.m. Tuesday June 6, through Noon. Saturday June 10, 2006
Meals begin with breakfast on June 7 and end with breakfast on June 10, 2006. Breakfast and lunch will take place in the Noble Family Dining Hall on Saint Mary's College campus. Dinners will take place in the surrounding community. Refreshments during the workshop will be provided.



From the East or West -
Take I 80 - 90 (Indiana Toll Road) to exit 77. Turn right on exit. The Douglas Road entrance to the College is right at the first light.

From the North or South -
Take US 31 to Brick Road exit. Turn East, which will be Cleveland Road. Take Cleveland Road to US 33 (933) then turn right. The Douglas Road entrance to the College is right at the fourth light.

South Bend Regional Airport -
A ten minute drive to Saint Mary's College campus. Greyhound bus lines and
Northern Indiana Commuter Transportation District (South Shore Rail Service from
downtown Chicago) also has stations at the South Bend Regional Airport.