An Introduction to the Mathematics of Finance: A Deterministic Approach

Przednia okładka
Butterworth-Heinemann, 28 maj 2013 - 464

An Introduction to the Mathematics of Finance: A Deterministic Approach, Second edition, offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates. This revision of the McCutcheon-Scott classic follows the core subjects covered by the first professional exam required of UK actuaries, the CT1 exam. It realigns the table of contents with the CT1 exam and includes sample questions from past exams of both The Actuarial Profession and the CFA Institute. With a wealth of solved problems and interesting applications, An Introduction to the Mathematics of Finance stands alone in its ability to address the needs of its primary target audience, the actuarial student.

  • Closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries
  • Features new content and more examples
  • Online supplements available: http://booksite.elsevier.com/9780080982403/
  • Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute
 

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Spis treści

Chapter 1 Introduction
1
Chapter 2 Theory of Interest Rates
11
Chapter 3 The Basic Compound Interest Functions
35
Chapter 4 Further Compound Interest Functions
61
Chapter 5 Loan Repayment Schedules
79
Chapter 6 Project Appraisal and Investment Performance
95
Chapter 7 The Valuation of Securities
121
Chapter 8 Capital Gains Tax
161
Swaps and Options
235
Chapter 12 An Introduction to Stochastic Interest Rate Models
277
Theorem Proofs
309
The Solution of Nonlinear Equations
313
Solutions to Exercises
319
Compound Interest Tables
413
Additional Reading
441
Index
443

Chapter 9 Term Structures and Immunization
177
Forwards and Futures
211

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Informacje o autorze (2013)

Prof. Stephen Garrett is Professor of Mathematical Sciences at the University of Leicester in the UK. He is currently Head of Actuarial Science in the Department of Mathematics, and also Head of the Thermofluids Research Group in the Department of Engineering. These two distinct responsibilities reflect his background and achievements in both actuarial science education and fluid mechanics research. Stephen is a Fellow of the Royal Aeronautical Society, the highest grade attainable in the world's foremost aerospace institution.

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