| Edition |
Second edition. |
| Note |
Previous edition: 1989. |
|
"Published for the Institute and Faculty of Actuaries (RC000243)"--Title page. |
| Bibliog. |
Includes bibliographical references and index. |
| Contents |
Contents note: 1.1.The Concept of Interest -- 1.2.Simple Interest -- 1.3.Compound Interest -- 1.4.Some Practical Illustrations -- Summary -- 2.1.The Rate of Interest -- 2.2.Nominal Rates of Interest -- 2.3.Accumulation Factors -- 2.4.The Force of Interest -- 2.5.Present Values -- 2.6.Present Values of Cash Flows -- 2.7.Valuing Cash Flows -- 2.8.Interest Income -- 2.9.Capital Gains and Losses, and Taxation -- Summary -- Exercises -- 3.1.Interest Rate Quantities -- 3.2.The Equation of Value -- 3.3.Annuities-certain: Present Values and Accumulations -- 3.4.Deferred Annuities -- 3.5.Continuously Payable Annuities -- 3.6.Varying Annuities -- 3.7.Uncertain Payments -- Summary -- Exercises -- 4.1.Interest Payable pthly -- 4.2.Annuities Payable pthly: Present Values and Accumulations -- 4.3.Annuities Payable at Intervals of Time r, Where r > 1 -- 4.4.Definition of an(p) for Non-integer Values of n -- Summary -- Exercises -- 5.1.The General Loan Schedule -- |
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Contents note continued: 5.2.The Loan Schedule for a Level Annuity -- 5.3.The Loan Schedule for a pthly Annuity -- 5.4.Consumer Credit Legislation -- Summary -- Exercises -- 6.1.Net Cash Flows -- 6.2.Net Present Values and Yields -- 6.3.The Comparison of Two Investment Projects -- 6.4.Different Interest Rates for Lending and Borrowing -- 6.5.Payback Periods -- 6.6.The Effects of Inflation -- 6.7.Measurement of Investment Fund Performance -- Summary -- Exercises -- 7.1.Fixed-Interest Securities -- 7.2.Related Assets -- 7.3.Prices and Yields -- 7.4.Perpetuities -- 7.5.Makeham's Formula -- 7.6.The Effect of the Term to Redemption on the Yield -- 7.7.Optional Redemption Dates -- 7.8.Valuation between Two Interest Dates: More Complicated Examples -- 7.9.Real Returns and Index-linked Stocks -- Summary -- Exercises -- 8.1.Valuing a Loan with Allowance for Capital Gains Tax -- 8.2.Capital Gains Tax When the Redemption Price or the Rate of Tax is Not Constant -- |
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Contents note continued: 8.3.Finding the Yield When There is Capital Gains Tax -- 8.4.Optional Redemption Dates -- 8.5.Offsetting Capital Losses Against Capital Gains -- Summary -- Exercises -- 9.1.Spot and Forward Rates -- 9.2.Theories of the Term Structure of Interest Rates -- 9.3.The Discounted Mean Term of a Project -- 9.4.Volatility -- 9.5.The Volatility of Particular Fixed-interest Securities -- 9.6.The Matching of Assets and Liabilities -- 9.7.Redington's Theory of Immunization -- 9.8.Full Immunization -- Summary -- Exercises -- 10.1.Futures Contracts -- 10.2.Margins and Clearinghouses -- 10.3.Uses of Futures -- 10.4.Forwards -- 10.5.Arbitrage -- 10.6.Calculating the Forward Price -- 10.7.Calculating the Value of a Forward Contract Prior to Maturity -- 10.8.Eliminating the Risk to the Short Position -- Summary -- Exercises -- 11.1.Swaps -- 11.2.Options -- 11.3.Option Payoff and Profit -- 11.4.An Introduction to European Option Pricing -- 11.5.The Black-Scholes Model -- |
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Contents note continued: 11.6.Trading Strategies Involving European Options -- Summary -- Exercises -- 12.1.Introductory Examples -- 12.2.Independent Annual Rates of Return -- 12.3.The Log-Normal Distribution -- 12.4.Simulation Techniques -- 12.5.Random Number Generation -- 12.6.Dependent Annual Rates of Return -- 12.7.An Introduction to the Application of Brownian Motion -- Summary -- Exercises. |
| Summary |
This text 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. It closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries. |
| Subject |
Insurance -- Mathematics.
|
|
Insurance -- Mathematics -- Problems, exercises, etc.
|
| Alt Author |
Institute and Faculty of Actuaries (Great Britain), issuing body.
|
| Add Title |
Mathematics of finance. |
| ISBN |
9780080982403 (hardback) |
|
0080982409 (hardback) |
| Description |
xii, 450 pages : illustrations ; 24 cm. |
| Content type |
text |
|
still image |
| Media type |
unmediated |
| Carrier type |
volume |
|
