Introduction to financial mathematics:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton ; London ; New York
CRC Press
[2016]
|
| Schriftenreihe: | A Chapman & Hall book
Advances in applied mathematics |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
| Beschreibung: | xiii, 407 Seiten Illustrationen |
| ISBN: | 149872390X 9781498723909 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV043366671 | ||
| 003 | DE-604 | ||
| 005 | 20170622 | ||
| 007 | t | ||
| 008 | 160215s2016 a||| |||| 00||| eng d | ||
| 020 | |a 149872390X |9 1-4987-2390-X | ||
| 020 | |a 9781498723909 |9 978-1-4987-2390-9 | ||
| 035 | |a (OCoLC)956470376 | ||
| 035 | |a (DE-599)BSZ445940581 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-91G | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a WIR 651f |2 stub | ||
| 100 | 1 | |a Hastings, Kevin J. |d 1955- |e Verfasser |0 (DE-588)172128277 |4 aut | |
| 245 | 1 | 0 | |a Introduction to financial mathematics |c Kevin J. Hastings (Knox College, Galesburg, Illinois, USA) |
| 264 | 1 | |a Boca Raton ; London ; New York |b CRC Press |c [2016] | |
| 300 | |a xiii, 407 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a A Chapman & Hall book | |
| 490 | 0 | |a Advances in applied mathematics | |
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 655 | 7 | |0 (DE-588)4123623-3 |a Lehrbuch |2 gnd-content | |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |C b |5 DE-604 | |
| 856 | 4 | |m DE-601 |q pdf/application |u http://www.gbv.de/dms/zbw/836409116.pdf |3 Inhaltsverzeichnis | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785726&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-028785726 | ||
Datensatz im Suchindex
| _version_ | 1804175927346724864 |
|---|---|
| adam_text | Titel: Introduction to financial mathematics
Autor: Hastings, Kevin J
Jahr: 2016
Contents
Preface xi
1 Theory of Interest 1
1.1 Rate of Return and Present Value 1
1.2 Compound Interest 6
1.2.1 Geometrie Sequences and Series 6
1.2.2 Compound Interest 8
1.2.3 Discounting 13
1.2.4 Present Value and Net Present Value 14
1.3 Annuities 20
1.3.1 Ordinary Annuities 20
1.3.2 Annuities Due 28
1.3.3 Variations on Annuities 32
1.4 Loans 47
1.4.1 Loan Payments 47
1.4.2 Loan Amortization 50
1.4.3 Retrospective and Prospective Forms for Outstanding Bal¬
ance 53
1.4.4 Sinking Fund Loan Repayment 56
1.5 Measuring Rate of Return 64
1.5.1 Internal Rate of Return on a Transaction 64
1.5.2 Approximate Dollar-Weighted Rate of Return 69
1.5.3 Time-Weighted Rate of Return 73
1.6 Continuous Time Interest Theory 80
1.6.1 Continuous Compounding: Effective Rate and Present Value 80
1.6.2 Force of Interest 85
1.6.3 Continuous Annuities 88
1.6.4 Continuous Loans 91
2 Bonds 99
2.1 Bond Valuation 100
2.1.1 Bond Value at Issue Date 101
2.1.2 Bond Value at Coupon Date 107
2.1.3 Recursive Approach: Bond Amortization Table 110
viii CONTENTS
2.2 More on Bonds 120
2.2.1 Value of a Bond between Coupons 120
2.2.2 Callable and Putable Bonds 126
2.2.3 Bond Duration 130
2.3 Term Structure of Interest Rates 136
2.3.1 Spot Rates, STRIPS, and Yield to Maturity 138
2.3.2 Forward Rates and Spot Rates 141
3 Discrete Probability for Finance 151
3.1 Sample Spaces and Probability Measures 153
3.1.1 Counting Rules 155
3.1.2 Probability Models 160
3.1.3 More Properties of Probability 162
3.2 Random Variables and Distributions 169
3.2.1 Cumulative Distribution Functions 176
3.2.2 Random Vectors and Joint Distributions 178
3.3 Discrete Expectation 186
3.3.1 Mean 186
3.3.2 Variance 194
3.3.3 Chebyshev s Inequality 197
3.4 Conditional Probability 203
3.4.1 Fundamental Ideas 203
3.4.2 Conditional Distributions of Random Variables 214
3.4.3 Introduction to Markov Processes 219
3.4.4 Conditional Expectation 223
3.5 Independence and Dependence 235
3.5.1 Independent Events 235
3.5.2 Independent Random Variables 238
3.5.3 Dependence: Covariance and Correlation 245
3.6 Estimation and Simulation 256
3.6.1 The Sample Mean 257
3.6.2 Sample Variance, Covariance, and Correlation 262
3.6.3 Simulation for Estimation 269
4 Portfolio Theory 281
4.1 Stocks 282
4.1.1 Common Stocks, Preferred Stocks, and Stock Indices . . . 282
4.1.2 Stock Transactions 286
4.1.3 Long and Short Positions 290
4.2 Portfolios of Risky Assets 297
4.2.1 Asset Rates of Return: Modeling and Estimation 298
4.2.2 Portfolio Rate of Return 302
4.2.3 Risk Aversion 307
4.3 Optimal Portfolio Selection 312
4.3.1 Two-Asset Problems 313
4.3.2 Multiple-Asset Problems 316
CONTENTS ix
5 Valuation of Derivatives 325
5.1 Basic Terminology and Ideas 326
5.1.1 Derivative Assets 326
5.1.2 Arbitrage 330
5.1.3 Arbitrage Valuation of Futures 331
5.2 Single-Period Options 337
5.2.1 Pricing Strategies 338
5.2.2 Put-Call Parity 343
5.2.3 A-Hedging 344
5.3 Multiple-Period Options 350
5.3.1 Martingale Valuation 351
5.3.2 Valuation by Chaining 358
5.4 Valuation of Exotic Options and Simulation 365
5.4.1 Exotic Options 366
5.4.2 Approximate Valuation by Simulation 378
Appendix: Answers to Selected Exercises 389
Bibliography 401
Index 403
|
| any_adam_object | 1 |
| author | Hastings, Kevin J. 1955- |
| author_GND | (DE-588)172128277 |
| author_facet | Hastings, Kevin J. 1955- |
| author_role | aut |
| author_sort | Hastings, Kevin J. 1955- |
| author_variant | k j h kj kjh |
| building | Verbundindex |
| bvnumber | BV043366671 |
| classification_rvk | QP 890 |
| classification_tum | WIR 651f |
| ctrlnum | (OCoLC)956470376 (DE-599)BSZ445940581 |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01573nam a2200385 c 4500</leader><controlfield tag="001">BV043366671</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20170622 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">160215s2016 a||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">149872390X</subfield><subfield code="9">1-4987-2390-X</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781498723909</subfield><subfield code="9">978-1-4987-2390-9</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)956470376</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BSZ445940581</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-91G</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">WIR 651f</subfield><subfield code="2">stub</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hastings, Kevin J.</subfield><subfield code="d">1955-</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)172128277</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Introduction to financial mathematics</subfield><subfield code="c">Kevin J. Hastings (Knox College, Galesburg, Illinois, USA)</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Boca Raton ; London ; New York</subfield><subfield code="b">CRC Press</subfield><subfield code="c">[2016]</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">xiii, 407 Seiten</subfield><subfield code="b">Illustrationen</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">A Chapman & Hall book</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Advances in applied mathematics</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4123623-3</subfield><subfield code="a">Lehrbuch</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="C">b</subfield><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2=" "><subfield code="m">DE-601</subfield><subfield code="q">pdf/application</subfield><subfield code="u">http://www.gbv.de/dms/zbw/836409116.pdf</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785726&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-028785726</subfield></datafield></record></collection> |
| genre | (DE-588)4123623-3 Lehrbuch gnd-content |
| genre_facet | Lehrbuch |
| id | DE-604.BV043366671 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T07:24:04Z |
| institution | BVB |
| isbn | 149872390X 9781498723909 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-028785726 |
| oclc_num | 956470376 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-91G DE-BY-TUM |
| owner_facet | DE-355 DE-BY-UBR DE-91G DE-BY-TUM |
| physical | xiii, 407 Seiten Illustrationen |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | CRC Press |
| record_format | marc |
| series2 | A Chapman & Hall book Advances in applied mathematics |
| spelling | Hastings, Kevin J. 1955- Verfasser (DE-588)172128277 aut Introduction to financial mathematics Kevin J. Hastings (Knox College, Galesburg, Illinois, USA) Boca Raton ; London ; New York CRC Press [2016] xiii, 407 Seiten Illustrationen txt rdacontent n rdamedia nc rdacarrier A Chapman & Hall book Advances in applied mathematics Finanzmathematik (DE-588)4017195-4 gnd rswk-swf (DE-588)4123623-3 Lehrbuch gnd-content Finanzmathematik (DE-588)4017195-4 s b DE-604 DE-601 pdf/application http://www.gbv.de/dms/zbw/836409116.pdf Inhaltsverzeichnis HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785726&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hastings, Kevin J. 1955- Introduction to financial mathematics Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4123623-3 |
| title | Introduction to financial mathematics |
| title_auth | Introduction to financial mathematics |
| title_exact_search | Introduction to financial mathematics |
| title_full | Introduction to financial mathematics Kevin J. Hastings (Knox College, Galesburg, Illinois, USA) |
| title_fullStr | Introduction to financial mathematics Kevin J. Hastings (Knox College, Galesburg, Illinois, USA) |
| title_full_unstemmed | Introduction to financial mathematics Kevin J. Hastings (Knox College, Galesburg, Illinois, USA) |
| title_short | Introduction to financial mathematics |
| title_sort | introduction to financial mathematics |
| topic | Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finanzmathematik Lehrbuch |
| url | http://www.gbv.de/dms/zbw/836409116.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028785726&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT hastingskevinj introductiontofinancialmathematics |
Es ist kein Print-Exemplar vorhanden.
Inhaltsverzeichnis