An Introduction to the Mathematics of Finance

Stephen Garrett
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Stephen Garrett: Professor of Mathematical Sciences, University of Leicester, UK

in Elsevier Monographs from Elsevier, currently edited by Candice Janco

Abstract: 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 in its ability to address the needs of its primary target audience, the actuarial student. Closely follows the syllabus for the CT1 exam of The Institute and Faculty of Actuaries Features new content and more examples Online supplements available: http://booksite.elsevier.com/9780080982403/ Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute

Keywords: Accumulation; Annual Percentage Rate of Charge (APR); Annuity; Appraisal; Arbitrage; Black-Scholes; Borrower; Box spreads; Brownian motion; Butterfly spreads; Capital; Capital gains tax; Capital outstanding; Cash flows; Clearinghouse; Collars; Compound interest; Derivatives; Discount; Discounted payback period; Duration; Equation of value; Expectations theory; Fixed-interest securities; Flat rate; Force of interest; Forward rate; Forwards; Full immunization; Futures; Gross redemption yield; Income tax; Index-linked stocks; Inflation; Lender; Linked internal rate of return; Liquidity preference theory; Loans; Log-normal model; Long position; Makeham's formula; Margin; Market segmentation theory; Matching; Money-weighted rate of return; Moneyness; Net present value; Net yield; Nominal rate of discount; Nominal rate of interest; Offsetting; Optional redemption date; Options; Payback period; Position diagram; Present value; Principle of consistency; Prospective approach; Random numbers; Rate of interest; Ratio spreads; Redington immunization; Retrospective approach; Risk premium; Shares; Short position; Simple interest; Simulations; Spot rate; Spreads; Stochastic models; Straddles; Strangles; Swaps; Synthetic forwards; Term structure; Time-weighted rate of return; Trading strategies; Uncertain payments; Uncertainty; Volatility; Yield; Yield equation (search for similar items in EconPapers)
Date: 2013 Originally published 2013-06-19.
Edition: 2
ISBN: 978-0-08-098240-3
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