Holdings: Introduction to financial mathematics

Introduction to financial mathematics:

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Bibliographic Details
Main Author:	Hastings, Kevin J. 1955- (Author)
Format:	Book
Language:	English
Published:	Boca Raton ; London ; New York CRC Press [2016]
Series:	A Chapman & Hall book Advances in applied mathematics
Subjects:	Finanzmathematik Lehrbuch
Online Access:	Inhaltsverzeichnis Inhaltsverzeichnis
Physical Description:	xiii, 407 Seiten Illustrationen
ISBN:	149872390X 9781498723909

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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
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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
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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
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