UNIVERSITY OF TORONTO
Department of Statistical Sciences

ACT245 – Financial Principles for Actuarial Science I
(Winter 2022)

Instructor: Yu Wang

Course Schedule (Toronto Date and Time)


Note:
• Changes (if any) to the above dates / times will be announced in Quercus
• Lecture links / materials and test instructions will be announced in Quercus
• Should you be forced to miss a test due to legitimate reasons such as illness or emergency, you are
required to inform the instructor within 2 days of the test date. A cumulative make-up test will be
arranged during the final assessment period, covering materials from the entire course.


Course Evaluation: Course Grade = 0.4×Max(Tests) + 0.3×Median(Tests) + 0.3×Min(Tests)


Required Textbook
Actuarial Science Coursebook for ACT240H + ACT245H (S. Broverman)
ACT245 will cover Sections 13 – 20

Date Starting Time Activity Coverage
January 11 3pm Lec 1 Spot & Forward Rates, Yield Curve, Term Structure, Duration
January 18 3pm Lec 2 Convexity, Immunization
January 20 2pm Tut
January 25 3pm Lec 3 Introduction to Derivatives, Arbitrage, Prepaid Forward Contracts
January 27 2pm Tut
February 1 3pm Lec 4 Forward Contracts
February 3 2pm Tut
February 8 3pm Lec 5 Futures Contracts
February 10 2pm Test 1 Lectures 1-4
February 15 3pm Lec 6 Introduction to Options
February 17 2pm Tut
March 1 3pm Lec 7 Put-Call Parity
March 3 2pm Tut
March 8 3pm Lec 8 Option Spreads
March 10 2pm Tut
March 15 3pm Lec 9 Option Strategies
March 17 2pm Test 2 Lectures 1-8, with emphasis on Lectures 5-8
March 22 3pm Lec 10 Non-directional Option Strategies
March 24 2pm Tut
March 29 3pm Lec 11 General Swaps and Prepaid Swaps
March 31 2pm Tut
April 5 3pm Lec 12 Interest Rate Swaps
April 7 2pm Tut
Test 3 Lectures 1-12, with emphasis on Lectures 9-12TBD (During the Final Assessment Period)
Academic Integrity
Please visit: www.academicintegrity.utoronto.ca

Academic integrity is a fundamental value of learning and scholarship at the University of Toronto.
Participating honestly, respectfully, responsibly, and fairly in this academic community ensures that your
university degree is valued and respected as a true signifier of your individual academic achievement.

The University of Toronto’s Code of Behaviour on Academic Matters outlines the behaviours that
constitute academic misconduct, the processes for addressing academic offences, and the penalties that
may be imposed. Potential offences include, but are not limited to:
• Obtaining or providing unauthorized assistance on an online test/exam – this includes working in
groups on a test/exam that is supposed to be individual work.
• Using or possessing any unauthorized aid, including a cell phone, or searching for answers online.
• Looking at someone else’s answers, or working together to answer questions.
• Letting someone else look at your answers.
• Misrepresenting your identity or having someone else complete your test/exam.

All suspected cases of academic dishonesty will be reported and investigated following the procedures
outlined in the Code of Behaviour on Academic Matters.


Minimum Grade C Requirement for Actuarial Science Courses
In order to enroll in any 300 or 400-level ACT course, the minimum grade of 63% must be obtained in
each of ACT240, ACT245 and ACT247.


Canadian Institute of Actuaries (CIA)’s University Accreditation Program (UAP)
ACT245 is accredited under the Canadian Institute of Actuaries (CIA) University Accreditation Program:
https://www.cia-ica.ca/membership/university-accreditation-program-home

Achievement of the minimum required grades in accredited courses may provide credit for preliminary
exams. Please note that a combination of courses may be required to achieve exam credit. Details on the
required courses and grades for the University of Toronto can be found in this link:
https://www.cia-ica.ca/membership/university-accreditation-program-home/accredited-
universities/accredited-university-detail?pav_universityid=06f6b138-61e5-e511-80b9-
00155d111030