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Format: 1 online resource (xii, 450 pages) : , illustrations

Edition: Second edition.

Note: "Published for the Institute and Faculty of Actuaries (RC000243) http://www.actuaries.org.uk"--Title page. , "A revision of the original 'An introduction to the mathematics of finance' by J.J. McCutcheon and W.F. Scott."--Preface. , Front Cover -- An Introduction to the Mathematics of Finance A Deterministic Approach -- Copyright -- Dedication -- Contents -- Preface -- 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 -- SUMMARY -- EXERCISES -- Appendix 1: Theorem Proofs -- PROOF OF THEOREM 2.4.1 -- PROOF OF THEOREM 3.2.1 -- Appendix 2: The Solution of Non-linear Equations -- BISECTION METHOD -- SECANT METHOD (ALSO KNOWN AS THE MODIFIED REGULA FALSI METHOD) -- NEWTON-RAPHSON METHOD -- EXERCISES -- SOLUTIONS -- Appendix 3: Solutions to Exercises -- CHAPTER 2 EXERCISES -- CHAPTER 3 EXERCISES -- CHAPTER 4 EXERCISES -- CHAPTER 5 EXERCISES -- CHAPTER 6 EXERCISES -- CHAPTER 7 EXERCISES -- CHAPTER 8 EXERCISES -- CHAPTER 9 EXERCISES -- CHAPTER 10 EXERCISES -- CHAPTER 11 EXERCISES -- CHAPTER 12 EXERCISES -- Appendix 4: Compound Interest Tables -- Additional Reading -- Index. , English

Additional Edition: ISBN 0-08-098240-9

Language: English