CAS Online Course Interest Rate Models
March 18 - April 4, 2005  Kevin Ahlgrim, ASA, Ph.D. Illinois State University Rick Gorvett, FCAS, FRM, Ph.D. University of Illinois at Urbana-Champaign

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Printable Registration Form
Online Registration via the CAS Online Store

Reading List

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This online course is delivered via the Internet and taught asynchronously to allow participants to fit the work into their individual schedules. The problem sets and exam will be questions based on the lecture material and readings that will test the student's grasp of the subject matter. All participants who successfully finish this course by participating in the class discussion forum and completing the exam (with an acceptable grade) within the time-frame of the course will be provided with a certificate of completion. Based on the expected workload of this course, 15 hours of continuing education credit are granted for completing the course.

The following topics will be covered:

1. The use of interest rate models in insurance
   1. Ratemaking
   2. DFA
   3. Minimum guarantees in contracts
   4. Investment valuation
   1. Bond options
   2. Interest rate caps/floors
   3. Swap options
   4. Mortgage backed securities
2. Interest rate basics
   1. Spot rates
   2. Forward rates
   3. Futures rates
   4. Yield to maturity
   5. Historical interest rate movements
3. Classification of interest rate models
   1. Discrete vs. continuous
   2. Equilibrium vs. arbitrage free
   3. Single factor vs. multiple factor
4. Tree models
   1. Binomial
   2. Trinomial
   3. Black, Derman, Toy
   4. Ho-Lee
5. Introduction to stochastic processes
   1. Discrete time
   2. Continuous Time
6. Popular Models
   1. Vasicek
   2. Cox, Ingersoll, Ross
   3. Heath, Jarrow, Morton
   4. Other models
7. Implementation issues
   1. Parameter estimation
   2. Simulation
   3. Correlation with inflation
   4. Path-dependent options
   1. Mortgages
   2. Life insurance contracts

Prior participation in other online courses is not essential for this course. This course will assume that participants have a general knowledge of the basics of finance, as covered in Part 8 of the CAS exams or at the Limited Attendance Finance Seminars.
Enrollment is limited to a maximum of 40 participants.

The fee for enrollment is $375.