An introduction to the mathematics of finance : a deterministic approach /

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 conte...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Garrett, S. J. (Stephen J.) (Autor)
Otros Autores: McCutcheon, J. J. (John J.)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Kidlington, Oxford : Butterworth-Heinemann is an imprint of Elsevier, 2013.
Edición:Second edition.
Temas:
Finance > Mathematical models > Textbooks.
Finance > Mathematical models
Wirtschaftsmathematik
Finanzmathematik
Textbooks
Textbooks.
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Machine generated 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
  • 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.
  • 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
  • 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

Ejemplares similares