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E-raamat: Financial Mathematics For Actuaries (Second Edition)

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(The Chinese Univ Of Hong Kong, Hong Kong), (S'pore Management Univ, S'pore)
  • Formaat: 372 pages
  • Ilmumisaeg: 28-Jul-2017
  • Kirjastus: World Scientific Publishing Co Pte Ltd
  • Keel: eng
  • ISBN-13: 9789813224698
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Financial Mathematics For Actuaries (Second Edition)Suurem pilt
  • Formaat: 372 pages
  • Ilmumisaeg: 28-Jul-2017
  • Kirjastus: World Scientific Publishing Co Pte Ltd
  • Keel: eng
  • ISBN-13: 9789813224698
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Financial Mathematics for Actuaries is a textbook for students in actuarial science, quantitative finance, financial engineering and quantitative risk management and is designed for a one-semester undergraduate course.Covering the theories of interest rates, with applications to the evaluation of cash flows, the pricing of fixed income securities and the management of bonds, this textbook also contains numerous examples and exercises and extensive coverage of various Excel functions for financial calculation. Discussions are linked to real financial market data, such as historical term structure, and traded financial securities.The topics discussed in this book are essential for actuarial science students. They are also useful for students in financial markets, investments and quantitative finance. Students preparing for examinations in financial mathematics with various professional actuarial bodies will also find this book useful for self-study.In this second edition, the recent additions in the learning objectives of the Society of Actuaries Exam FM have been covered.
About the Authors vii
Preface to the Second Edition ix
Lists of Mathematical Symbols
xv
Chapter 1 Interest Accumulation and Time Value of Money
1(38)
1.1 Accumulation Function and Amount Function
2(1)
1.2 Simple and Compound Interest
2(3)
1.3 Frequency of Compounding
5(4)
1.4 Effective Rate of Interest
9(3)
1.5 Rates of Discount
12(4)
1.6 Force of Interest
16(3)
1.7 Present and Future Values
19(5)
1.8 Equation of Value
24(3)
1.9 Summary
27(12)
Exercises
28(11)
Chapter 2 Annuities
39(34)
2.1 Annuity-Immediate
40(3)
2.2 Annuity-Due
43(2)
2.3 Perpetuity, Deferred Annuity and Annuity Values at Other Times
45(4)
2.4 Annuities under Other Accumulation Methods
49(2)
2.5 Payment Periods, Compounding Periods and Continuous Annuities
51(5)
2.6 Varying Annuities
56(4)
2.7 Term of Annuity
60(4)
2.8 Summary
64(9)
Exercises
64(9)
Chapter 3 Spot Rates, Forward Rates and the Term Structure
73(32)
3.1 Spot and Forward Rates of Interest
74(5)
3.2 The Term Structure of Interest Rates
79(1)
3.3 Present and Future Values Given the Term Structure
80(5)
3.4 Accumulation Function and the Term Structure
85(5)
3.5 Interest Rate Swaps
90(7)
3.6 Summary
97(8)
Exercises
98(7)
Chapter 4 Rates of Return
105(42)
4.1 Internal Rate of Return
106(6)
4.2 One-Period Rate of Return
112(4)
4.3 Rate of Return over Multiple Periods
116(5)
4.4 Portfolio Return
121(3)
4.5 Short Sales
124(1)
4.6 Crediting Interest: Investment-Year Method and Portfolio Method
125(2)
4.7 Capital Budgeting and Project Appraisal
127(5)
4.8 Summary
132(15)
Exercises
134(13)
Chapter 5 Loans and Costs of Borrowing
147(40)
5.1 Loan Balance: Prospective and Retrospective Methods
148(4)
5.2 Amortization
152(2)
5.3 Sinking Fund
154(5)
5.4 Varying Installments and Varying Interest Rates
159(4)
5.5 Comparison of Borrowing Costs
163(2)
5.6 Flat Rate Loan and Flat Rate Discount Loan
165(3)
5.7 Borrowing Costs and Reference Rates
168(2)
5.8 Summary
170(17)
Exercises
172(15)
Chapter 6 Bonds and Bond Pricing
187(26)
6.1 Basic Concepts
188(2)
6.2 Bond Evaluation
190(3)
6.3 Bond Amortization Schedule
193(5)
6.4 Valuation between Coupon-Payment Dates
198(4)
6.5 Callable Bonds
202(2)
6.6 Bond Pricing under a General Term Structure
204(2)
6.7 Summary
206(7)
Exercises
207(6)
Chapter 7 Bond Yields and the Term Structure
213(32)
7.1 Some Simple Measures of Bond Yield
214(1)
7.2 Yield to Maturity
215(4)
7.3 Par Yield
219(2)
7.4 Holding-Period Yield
221(4)
7.5 Discretely Compounded Yield Curve
225(3)
7.6 Continuously Compounded Yield Curve
228(4)
7.7 Term Structure Models
232(4)
7.8 Summary
236(9)
Exercises
237(8)
Chapter 8 Bond Management
245(46)
8.1 Macaulay Duration and Modified Duration
246(6)
8.2 Duration for Price Correction
252(2)
8.3 Convexity
254(2)
8.4 Some Rules for Duration
256(3)
8.5 Immunization Strategies
259(13)
8.6 Some Shortcomings of Duration Matching
272(2)
8.7 Duration under a Nonflat Term Structure
274(3)
8.8 Passive versus Active Bond Management
277(1)
8.9 Summary
278(13)
Exercises
279(12)
Chapter 9 Interest Rates and Financial Securities
291(14)
9.1 Interest Rate Determination
292(4)
9.2 Financial Securities
296(4)
9.3 Inflation and Central Bank Policy
300(1)
9.4 Macroeconomic Management
301(1)
9.5 Rate of Interest in an Open Economy
302(1)
9.6 Summary
302(3)
Exercises
303(2)
Chapter 10 Stochastic Interest Rates
305(22)
10.1 Deterministic Scenarios of Interest Rates
306(1)
10.2 Random-Scenario Model
307(3)
10.3 Independent Lognormal Model
310(4)
10.4 Autoregressive Model
314(2)
10.5 Dynamic Term Structure Model
316(1)
10.6 An Application: Guaranteed Investment Income
317(3)
10.7 Summary
320(7)
Exercises
320(7)
Appendix A Review of Mathematics and Statistics
327(6)
A.1 Exponential Function
327(1)
A.2 Logarithmic Function
327(1)
A.3 Roots of a Quadratic Equation
328(1)
A.4 Arithmetic Progression
328(1)
A.5 Geometric Progression
328(1)
A.6 Some Derivatives
328(1)
A.7 Integration by Part
329(1)
A.8 Taylor Series Expansion
329(1)
A.9 Binomial Expansion
329(1)
A.10 Expected Value and Variance of a Random Variable
330(1)
A.11 Mean and Variance of Sum of Random Variables
330(1)
A.12 Uniform Distribution
330(1)
A.13 Normal Distribution
331(1)
A.14 Lognormal Distribution
331(2)
Appendix B Answers to Selected Exercises
333(16)
Index 349
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