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Financial Mathematics For Actuaries (Third Edition) [Kõva köide]

(S'pore Management Univ, S'pore), (The Chinese Univ Of Hong Kong, Hong Kong)
  • Formaat: Hardback, 368 pages
  • Ilmumisaeg: 01-Oct-2021
  • Kirjastus: World Scientific Publishing Co Pte Ltd
  • ISBN-10: 9811243271
  • ISBN-13: 9789811243271
Teised raamatud teemal:
Financial Mathematics For Actuaries (Third Edition)Suurem pilt
  • Formaat: Hardback, 368 pages
  • Ilmumisaeg: 01-Oct-2021
  • Kirjastus: World Scientific Publishing Co Pte Ltd
  • ISBN-10: 9811243271
  • ISBN-13: 9789811243271
Teised raamatud teemal:
Püsilink: https://www.kriso.ee/db/9789811243271.html
Märksõnad:
This book provides a thorough understanding of the fundamental concepts of financial mathematics essential for the evaluation of any financial product and instrument. Mastering concepts of present and future values of streams of cash flows under different interest rate environments is core for actuaries and financial economists. This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Financial Mathematics (FM) Exam.The third edition includes major changes such as an addition of an 'R Laboratory' section in each chapter, except for Chapter 9. These sections provide R codes to do various computations, which will facilitate students to apply conceptual knowledge. Additionally, key definitions have been revised and the theme structure has been altered. Students studying undergraduate courses on financial mathematics for actuaries will find this book useful. This book offers numerous examples and exercises, some of which are adapted from previous SOA FM Exams. It is also useful for students preparing for the actuarial professional exams through self-study.
Preface to the Third Edition vii
Preface to the Second Edition ix
About the Authors xi
List of Mathematical Symbols
xvii
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(2)
1.3 Frequency of Compounding
4(4)
1.4 Effective Rate of Interest
8(4)
1.5 Rates of Discount
12(4)
1.6 Force of Interest
16(2)
1.7 Present and Future Values
18(5)
1.8 Equation of Value
23(3)
1.9 R Laboratory
26(3)
1.10 Summary
29(10)
Exercises
29(10)
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(3)
2.4 Annuities Under Other Accumulation Methods
48(2)
2.5 Payment Periods, Compounding Periods and Continuous Annuities
50(6)
2.6 Varying Annuities
56(4)
2.7 Term of Annuity
60(3)
2.8 R Laboratory
63(2)
2.9 Summary
65(8)
Exercises
66(7)
Chapter 3 Spot Rates, Forward Rates and the Term Structure
73(32)
3.1 Spot and Forward Rates of Interest
74(4)
3.2 The Term Structure of Interest Rates
78(1)
3.3 Present and Future Values Given the Term Structure
79(5)
3.4 Accumulation Function and the Term Structure
84(5)
3.5 Interest Rate Swaps
89(6)
3.6 R Laboratory
95(2)
3.7 Summary
97(8)
Exercises
98(7)
Chapter 4 Rates of Return
105(32)
4.1 Internal Rate of Return
106(5)
4.2 1-Period Rate of Return
111(4)
4.3 Rate of Return over Multiple Periods
115(5)
4.4 Portfolio Return
120(3)
4.5 Capital Budgeting and Project Appraisal
123(3)
4.6 R Laboratory
126(3)
4.7 Summary
129(8)
Exercises
129(8)
Chapter 5 Loans and Costs of Borrowing
137(38)
5.1 Loan Balance: Prospective and Retrospective Methods
138(4)
5.2 Amortization
142(2)
5.3 Sinking Fund
144(5)
5.4 Varying Installments and Varying Interest Rates
149(4)
5.5 Comparison of Borrowing Costs
153(2)
5.6 Flat Rate Loan and Flat Rate Discount Loan
155(4)
5.7 R Laboratory
159(3)
5.8 Summary
162(13)
Exercises
163(12)
Chapter 6 Bonds and Bond Pricing
175(30)
6.1 Basic Concepts
176(2)
6.2 Bond Evaluation
178(3)
6.3 Bond Amortization Schedule
181(4)
6.4 Valuation between Coupon-Payment Dates
185(4)
6.5 Callable Bonds
189(3)
6.6 Bond Pricing under a General Term Structure
192(2)
6.7 R Laboratory
194(3)
6.8 Summary
197(8)
Exercises
197(8)
Chapter 7 Bond Yields and Term Structure
205(34)
7.1 Some Simple Measures of Bond Yield
206(1)
7.2 Yield to Maturity
206(5)
7.3 Par Yield
211(2)
7.4 Holding-Period Yield
213(3)
7.5 Discretely Compounded Yield Curve
216(3)
7.6 Continuously Compounded Yield Curve
219(4)
7.7 Term Structure Models
223(4)
7.8 R Laboratory
227(2)
7.9 Summary
229(10)
Exercises
230(9)
Chapter 8 Bond Management
239(44)
8.1 Macaulay Duration and Modified Duration
240(5)
8.2 Duration for Price Correction
245(3)
8.3 Convexity
248(1)
8.4 Some Rules for Duration
249(3)
8.5 Immunization Strategies
252(13)
8.6 Some Shortcomings of Duration Matching
265(1)
8.7 Duration under a Non-flat Term Structure
266(4)
8.8 R Laboratory
270(2)
8.9 Summary
272(11)
Exercises
273(10)
Chapter 9 Interest Rates and Financial Securities
283(14)
9.1 Interest Rate Determination
284(4)
9.2 Financial Securities
288(3)
9.3 Inflation and Central Bank Policy
291(1)
9.4 Macroeconomic Management
292(1)
9.5 Rate of Interest in an Open Economy
293(1)
9.6 Summary
294(3)
Exercises
295(2)
Chapter 10 Stochastic Interest Rates
297(24)
10.1 Deterministic Scenarios of Interest Rates
298(1)
10.2 Random-Scenario Model
299(3)
10.3 Independent Lognormal Model
302(4)
10.4 Autoregressive Lognormal Model
306(2)
10.5 Dynamic Term Structure Model
308(1)
10.6 An Application: Guaranteed Investment Income
309(2)
10.7 R Laboratory
311(2)
10.8 Summary
313(8)
Exercises
314(7)
Appendix A Review of Mathematics and Statistics
321(6)
A.1 Exponential Function
321(1)
A.2 Logarithmic Function
321(1)
A.3 Roots of a Quadratic Equation
322(1)
A.4 Arithmetic Progression
322(1)
A.5 Geometric Progression
322(1)
A.6 Some Derivatives
322(1)
A.7 Integration by Part
323(1)
A.8 Taylor Series Expansion
323(1)
A.9 Binomial Expansion
323(1)
A.10 Expected Value and Variance of a Random Variable
324(1)
A.11 Mean and Variance of Sum of Random Variables
324(1)
A.12 Uniform Distribution
324(1)
A.13 Normal Distribution
325(1)
A.14 Lognormal Distribution
325(2)
Appendix B Answers to Selected Exercises 327(14)
Index 341