An Introduction to the Mathematics of Finance A Deterministic Approach 2nd edition by Stephen Garrett ISBN 0080982409 978-0080982403

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ISBN 10: 0080982409
ISBN 13: 978-0080982403
Author: Stephen Garrett

An Introduction to the Mathematics of Finance: A Deterministic Approach, 2e, 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 inits ability to address the needs of its primary target audience, the actuarial student.

An Introduction to the Mathematics of Finance A Deterministic Approach 2nd Table of contents:

Chapter 1 – Introduction

1.1 THE CONCEPT OF INTEREST

1.2 SIMPLE INTEREST

1.3 COMPOUND INTEREST

1.4 SOME PRACTICAL ILLUSTRATIONS

SUMMARY

Chapter 2 – Theory of Interest Rates

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

Chapter 3 – The Basic Compound Interest Functions

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

Chapter 4 – Further Compound Interest Functions

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

Chapter 5 – Loan Repayment Schedules

5.1 THE GENERAL LOAN SCHEDULE

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

Chapter 6 – Project Appraisal and Investment Performance

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

Chapter 7 – The Valuation of Securities

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

Chapter 8 – Capital Gains Tax

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

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

Chapter 9 – Term Structures and Immunization

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

Chapter 10 – An Introduction to Derivative Pricing: Forwards and Futures

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

Chapter 11 – Further Derivatives: Swaps and Options

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

11.6 TRADING STRATEGIES INVOLVING EUROPEAN OPTIONS

SUMMARY

EXERCISES

Chapter 12 – An Introduction to Stochastic Interest Rate Models

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

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