Financial Mathematics for Actuarial Science: The Theory of Interest
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Milton
Taylor & Francis Group
2020
|
| Schlagworte: | |
| Beschreibung: | 1 Online-Ressource (388 Seiten) |
| ISBN: | 9781000033168 9780367253080 |
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MARC
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| 505 | 8 | |a Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Author -- 1. Overview and Mathematical Prerequisites -- 1.1 Introduction -- 1.2 Calculators and Computers -- 1.2.1 Sequences and Series -- 1.3 Approximation Techniques -- 1.3.1 Newton's Method (Also Called the Newton-Raphson Method) -- 1.3.2 Approximations Using Taylor Series -- 1.4 Exponents and Logarithms -- Exercises for Chapter 1 -- 2. Measuring Interest -- 2.1 Introduction -- 2.2 The Accumulation and Amount Functions -- 2.3 The Effective Rate of Interest -- 2.4 Simple Interest -- 2.5 Compound Interest -- 2.6 Other Accumulation Functions -- 2.7 Present and Future Value: Equations of Value -- 2.8 Nominal and Effective Rates of Interest -- 2.9 Discount Rates -- 2.9.1 Nominal Rate of Discount -- 2.10 Forces of Interest and Discount -- 2.10.1 Varying Rates of Interest -- Exercises for Chapter 2 -- 3. Solving Problems in Interest -- 3.1 Introduction -- 3.2 Measuring Time Periods: Simple Interest and Fractional Time Periods -- 3.3 Fractional Time Periods -- 3.4 Equations of Value at any Time -- 3.5 Unknown Time -- 3.6 Doubling Time -- 3.6.1 The Rule of 72 -- 3.7 Finding the Rate of Interest -- 3.8 Deposits and Withdrawals: Cash Flow Problems -- Exercises for Chapter 3 -- 4. Annuities -- 4.1 Introduction -- 4.2 Fixed Term Annuities-Immediate with Constant Payments -- 4.3 Fixed Term Annuities-Due -- 4.4 The Value of an Annuity at any Date -- 4.4.1 The Value of an Annuity prior to its Inception -- 4.4.2 The Value of an Annuity after the Final Payment Is Made -- 4.4.3 The Value of an Annuity at any Time between the First and Last Payments -- 4.5 Perpetuities -- 4.6 Non Integer Time Periods -- 4.7 Unknown Time -- 4.8 Unknown Rate of Interest -- 4.9 Varying Rates of Interest -- 4.9.1 Present Value of Annuities with Varying Interest Rates | |
| 505 | 8 | |a 4.9.2 Accumulated Value of Annuities under Varying Interest Rates -- 4.10 Annuities Payable at Different Frequencies than Interest Is Convertible -- 4.11 Alternative Method: Annuities Payable Less Frequently than Interest Is Convertible -- 4.12 Annuities Paid More Frequently than Interest Is Converted -- 4.13 Perpetuities Paid More Frequently than Interest Is Convertible -- 4.14 Annuities with Varying Payments -- 4.15 Varying Perpetuities -- 4.16 Varying Annuities Paid Less Frequently than Interest Is Convertible -- 4.17 Continuous Annuities -- Exercises for Chapter 4 -- 5. Amortization Schedules and Sinking Funds -- 5.1 Introduction -- 5.2 Amortization Method -- 5.3 Amortization of a Loan -- 5.4 Methods for Computing the Loan Balance -- 5.5 Allocation of Loan Payments between Principal and Interest -- 5.6 Formulas for the Balance, Amount to Interest, and Amount to Principal at any Time -- 5.7 Examples Using the TI BA II Plus to Create Amortization Tables -- 5.8 Creating Annualized Amortization Tables Using Excel -- 5.9 How to Construct the Sinking Fund Schedule in Excel -- 5.10 Amortization with Non-Standard Payments -- 5.11 Truth in Lending -- 5.12 Real Estate Loans - Home Loans -- 5.13 Balloon and Drop Payments -- 5.14 Problems Involving Loans -- 5.15 Important Concepts from this Chapter -- Exercises for Chapter 5 -- 6. Yield Rates -- 6.1 Discounted Cash Flow Analysis -- 6.1.1 Using the TI BA II Plus Cash Flow Worksheet to Compute Internal Rate of Return -- 6.2 Uniqueness of the Yield Rate -- 6.3 Reinvestment -- 6.4 Interest Measurement of a Fund -- 6.4.1 Dollar-Weighted Estimate for the IRR -- 6.4.2 Time-Weighted Estimate for the IRR -- 6.5 Selling Loans -- 6.6 Investment Year and Portfolio Methods -- Exercises for Chapter 6 -- 7. Bonds -- 7.1 Introduction -- 7.2 Basic Bond Terminology -- 7.3 Pricing a Bond -- 7.4 Premium and Discount | |
| 505 | 8 | |a 7.5 Determination of Yield Rates -- 7.6 The Term Structure of Interest -- 7.7 Forward Rates -- 7.8 Converting from Forward Rates to Spot Rates -- 7.9 Price of a Bond between Coupon Payments -- 7.10 Callable Bonds -- 7.11 Bonds with Varying Payments -- Exercises for Chapter 7 -- 8. Exact Asset Matching and Swaps -- 8.1 Exact Asset Matching -- 8.2 Swap Rates -- 8.3 Interest Rate Swaps -- 8.4 Deferred Interest Rate Swaps -- 8.5 Varying Notional Amounts -- 8.6 The Market Value of an Interest Rate Swap -- Exercises for Chapter 8 -- 9. Interest Rate Sensitivity -- 9.1 Introduction -- 9.2 The Price Curve: Approximations Using Tangent Lines and Taylor Polynomials -- 9.3 Measuring Sensitivity to Interest Rate Fluctuation: Duration -- 9.4 Macaulay Duration (D(i,∞)) = Dmac(i) -- 9.4.1 Duration of a Coupon Bond for which F = P = C -- 9.4.2 Duration of an Amortized Loan -- 9.5 Duration of a Portfolio -- 9.5.1 Duration of a Portfolio of Instruments of Known Duration -- 9.6 Convexity -- 9.6.1 Convexity of a Portfolio of Instruments with Known Convexities -- 9.7 Immunization -- 9.8 Full Immunization -- Exercises for Chapter 9 -- 10. Determinants of Interest Rates -- 10.1 Introduction -- 10.2 Equilibrium Interest Rates -- 10.3 T-Bills -- 10.4 Effective and Continously Compounded Rates -- 10.5 Interest Rates Assuming No Inflation or Risk of Default -- 10.6 Interest Rates Assuming a Default Risk but No Inflation -- 10.7 Inflation -- Exercises for Chapter 10 -- Appendix: Basic Setup for the TI BA II Plus -- Answers To Odd-Numbered Exercises -- Index | |
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| contents | Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Author -- 1. Overview and Mathematical Prerequisites -- 1.1 Introduction -- 1.2 Calculators and Computers -- 1.2.1 Sequences and Series -- 1.3 Approximation Techniques -- 1.3.1 Newton's Method (Also Called the Newton-Raphson Method) -- 1.3.2 Approximations Using Taylor Series -- 1.4 Exponents and Logarithms -- Exercises for Chapter 1 -- 2. Measuring Interest -- 2.1 Introduction -- 2.2 The Accumulation and Amount Functions -- 2.3 The Effective Rate of Interest -- 2.4 Simple Interest -- 2.5 Compound Interest -- 2.6 Other Accumulation Functions -- 2.7 Present and Future Value: Equations of Value -- 2.8 Nominal and Effective Rates of Interest -- 2.9 Discount Rates -- 2.9.1 Nominal Rate of Discount -- 2.10 Forces of Interest and Discount -- 2.10.1 Varying Rates of Interest -- Exercises for Chapter 2 -- 3. Solving Problems in Interest -- 3.1 Introduction -- 3.2 Measuring Time Periods: Simple Interest and Fractional Time Periods -- 3.3 Fractional Time Periods -- 3.4 Equations of Value at any Time -- 3.5 Unknown Time -- 3.6 Doubling Time -- 3.6.1 The Rule of 72 -- 3.7 Finding the Rate of Interest -- 3.8 Deposits and Withdrawals: Cash Flow Problems -- Exercises for Chapter 3 -- 4. Annuities -- 4.1 Introduction -- 4.2 Fixed Term Annuities-Immediate with Constant Payments -- 4.3 Fixed Term Annuities-Due -- 4.4 The Value of an Annuity at any Date -- 4.4.1 The Value of an Annuity prior to its Inception -- 4.4.2 The Value of an Annuity after the Final Payment Is Made -- 4.4.3 The Value of an Annuity at any Time between the First and Last Payments -- 4.5 Perpetuities -- 4.6 Non Integer Time Periods -- 4.7 Unknown Time -- 4.8 Unknown Rate of Interest -- 4.9 Varying Rates of Interest -- 4.9.1 Present Value of Annuities with Varying Interest Rates 4.9.2 Accumulated Value of Annuities under Varying Interest Rates -- 4.10 Annuities Payable at Different Frequencies than Interest Is Convertible -- 4.11 Alternative Method: Annuities Payable Less Frequently than Interest Is Convertible -- 4.12 Annuities Paid More Frequently than Interest Is Converted -- 4.13 Perpetuities Paid More Frequently than Interest Is Convertible -- 4.14 Annuities with Varying Payments -- 4.15 Varying Perpetuities -- 4.16 Varying Annuities Paid Less Frequently than Interest Is Convertible -- 4.17 Continuous Annuities -- Exercises for Chapter 4 -- 5. Amortization Schedules and Sinking Funds -- 5.1 Introduction -- 5.2 Amortization Method -- 5.3 Amortization of a Loan -- 5.4 Methods for Computing the Loan Balance -- 5.5 Allocation of Loan Payments between Principal and Interest -- 5.6 Formulas for the Balance, Amount to Interest, and Amount to Principal at any Time -- 5.7 Examples Using the TI BA II Plus to Create Amortization Tables -- 5.8 Creating Annualized Amortization Tables Using Excel -- 5.9 How to Construct the Sinking Fund Schedule in Excel -- 5.10 Amortization with Non-Standard Payments -- 5.11 Truth in Lending -- 5.12 Real Estate Loans - Home Loans -- 5.13 Balloon and Drop Payments -- 5.14 Problems Involving Loans -- 5.15 Important Concepts from this Chapter -- Exercises for Chapter 5 -- 6. Yield Rates -- 6.1 Discounted Cash Flow Analysis -- 6.1.1 Using the TI BA II Plus Cash Flow Worksheet to Compute Internal Rate of Return -- 6.2 Uniqueness of the Yield Rate -- 6.3 Reinvestment -- 6.4 Interest Measurement of a Fund -- 6.4.1 Dollar-Weighted Estimate for the IRR -- 6.4.2 Time-Weighted Estimate for the IRR -- 6.5 Selling Loans -- 6.6 Investment Year and Portfolio Methods -- Exercises for Chapter 6 -- 7. Bonds -- 7.1 Introduction -- 7.2 Basic Bond Terminology -- 7.3 Pricing a Bond -- 7.4 Premium and Discount 7.5 Determination of Yield Rates -- 7.6 The Term Structure of Interest -- 7.7 Forward Rates -- 7.8 Converting from Forward Rates to Spot Rates -- 7.9 Price of a Bond between Coupon Payments -- 7.10 Callable Bonds -- 7.11 Bonds with Varying Payments -- Exercises for Chapter 7 -- 8. Exact Asset Matching and Swaps -- 8.1 Exact Asset Matching -- 8.2 Swap Rates -- 8.3 Interest Rate Swaps -- 8.4 Deferred Interest Rate Swaps -- 8.5 Varying Notional Amounts -- 8.6 The Market Value of an Interest Rate Swap -- Exercises for Chapter 8 -- 9. Interest Rate Sensitivity -- 9.1 Introduction -- 9.2 The Price Curve: Approximations Using Tangent Lines and Taylor Polynomials -- 9.3 Measuring Sensitivity to Interest Rate Fluctuation: Duration -- 9.4 Macaulay Duration (D(i,∞)) = Dmac(i) -- 9.4.1 Duration of a Coupon Bond for which F = P = C -- 9.4.2 Duration of an Amortized Loan -- 9.5 Duration of a Portfolio -- 9.5.1 Duration of a Portfolio of Instruments of Known Duration -- 9.6 Convexity -- 9.6.1 Convexity of a Portfolio of Instruments with Known Convexities -- 9.7 Immunization -- 9.8 Full Immunization -- Exercises for Chapter 9 -- 10. Determinants of Interest Rates -- 10.1 Introduction -- 10.2 Equilibrium Interest Rates -- 10.3 T-Bills -- 10.4 Effective and Continously Compounded Rates -- 10.5 Interest Rates Assuming No Inflation or Risk of Default -- 10.6 Interest Rates Assuming a Default Risk but No Inflation -- 10.7 Inflation -- Exercises for Chapter 10 -- Appendix: Basic Setup for the TI BA II Plus -- Answers To Odd-Numbered Exercises -- Index |
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| discipline | Mathematik |
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| id | DE-604.BV048631371 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:16:04Z |
| indexdate | 2024-07-10T09:44:31Z |
| institution | BVB |
| isbn | 9781000033168 9780367253080 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034006391 |
| oclc_num | 1138675108 |
| open_access_boolean | |
| physical | 1 Online-Ressource (388 Seiten) |
| psigel | ZDB-30-PQE |
| publishDate | 2020 |
| publishDateSearch | 2020 |
| publishDateSort | 2020 |
| publisher | Taylor & Francis Group |
| record_format | marc |
| spelling | Wilders, Richard James Verfasser aut Financial Mathematics for Actuarial Science The Theory of Interest Milton Taylor & Francis Group 2020 ©2020 1 Online-Ressource (388 Seiten) txt rdacontent c rdamedia cr rdacarrier Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Author -- 1. Overview and Mathematical Prerequisites -- 1.1 Introduction -- 1.2 Calculators and Computers -- 1.2.1 Sequences and Series -- 1.3 Approximation Techniques -- 1.3.1 Newton's Method (Also Called the Newton-Raphson Method) -- 1.3.2 Approximations Using Taylor Series -- 1.4 Exponents and Logarithms -- Exercises for Chapter 1 -- 2. Measuring Interest -- 2.1 Introduction -- 2.2 The Accumulation and Amount Functions -- 2.3 The Effective Rate of Interest -- 2.4 Simple Interest -- 2.5 Compound Interest -- 2.6 Other Accumulation Functions -- 2.7 Present and Future Value: Equations of Value -- 2.8 Nominal and Effective Rates of Interest -- 2.9 Discount Rates -- 2.9.1 Nominal Rate of Discount -- 2.10 Forces of Interest and Discount -- 2.10.1 Varying Rates of Interest -- Exercises for Chapter 2 -- 3. Solving Problems in Interest -- 3.1 Introduction -- 3.2 Measuring Time Periods: Simple Interest and Fractional Time Periods -- 3.3 Fractional Time Periods -- 3.4 Equations of Value at any Time -- 3.5 Unknown Time -- 3.6 Doubling Time -- 3.6.1 The Rule of 72 -- 3.7 Finding the Rate of Interest -- 3.8 Deposits and Withdrawals: Cash Flow Problems -- Exercises for Chapter 3 -- 4. Annuities -- 4.1 Introduction -- 4.2 Fixed Term Annuities-Immediate with Constant Payments -- 4.3 Fixed Term Annuities-Due -- 4.4 The Value of an Annuity at any Date -- 4.4.1 The Value of an Annuity prior to its Inception -- 4.4.2 The Value of an Annuity after the Final Payment Is Made -- 4.4.3 The Value of an Annuity at any Time between the First and Last Payments -- 4.5 Perpetuities -- 4.6 Non Integer Time Periods -- 4.7 Unknown Time -- 4.8 Unknown Rate of Interest -- 4.9 Varying Rates of Interest -- 4.9.1 Present Value of Annuities with Varying Interest Rates 4.9.2 Accumulated Value of Annuities under Varying Interest Rates -- 4.10 Annuities Payable at Different Frequencies than Interest Is Convertible -- 4.11 Alternative Method: Annuities Payable Less Frequently than Interest Is Convertible -- 4.12 Annuities Paid More Frequently than Interest Is Converted -- 4.13 Perpetuities Paid More Frequently than Interest Is Convertible -- 4.14 Annuities with Varying Payments -- 4.15 Varying Perpetuities -- 4.16 Varying Annuities Paid Less Frequently than Interest Is Convertible -- 4.17 Continuous Annuities -- Exercises for Chapter 4 -- 5. Amortization Schedules and Sinking Funds -- 5.1 Introduction -- 5.2 Amortization Method -- 5.3 Amortization of a Loan -- 5.4 Methods for Computing the Loan Balance -- 5.5 Allocation of Loan Payments between Principal and Interest -- 5.6 Formulas for the Balance, Amount to Interest, and Amount to Principal at any Time -- 5.7 Examples Using the TI BA II Plus to Create Amortization Tables -- 5.8 Creating Annualized Amortization Tables Using Excel -- 5.9 How to Construct the Sinking Fund Schedule in Excel -- 5.10 Amortization with Non-Standard Payments -- 5.11 Truth in Lending -- 5.12 Real Estate Loans - Home Loans -- 5.13 Balloon and Drop Payments -- 5.14 Problems Involving Loans -- 5.15 Important Concepts from this Chapter -- Exercises for Chapter 5 -- 6. Yield Rates -- 6.1 Discounted Cash Flow Analysis -- 6.1.1 Using the TI BA II Plus Cash Flow Worksheet to Compute Internal Rate of Return -- 6.2 Uniqueness of the Yield Rate -- 6.3 Reinvestment -- 6.4 Interest Measurement of a Fund -- 6.4.1 Dollar-Weighted Estimate for the IRR -- 6.4.2 Time-Weighted Estimate for the IRR -- 6.5 Selling Loans -- 6.6 Investment Year and Portfolio Methods -- Exercises for Chapter 6 -- 7. Bonds -- 7.1 Introduction -- 7.2 Basic Bond Terminology -- 7.3 Pricing a Bond -- 7.4 Premium and Discount 7.5 Determination of Yield Rates -- 7.6 The Term Structure of Interest -- 7.7 Forward Rates -- 7.8 Converting from Forward Rates to Spot Rates -- 7.9 Price of a Bond between Coupon Payments -- 7.10 Callable Bonds -- 7.11 Bonds with Varying Payments -- Exercises for Chapter 7 -- 8. Exact Asset Matching and Swaps -- 8.1 Exact Asset Matching -- 8.2 Swap Rates -- 8.3 Interest Rate Swaps -- 8.4 Deferred Interest Rate Swaps -- 8.5 Varying Notional Amounts -- 8.6 The Market Value of an Interest Rate Swap -- Exercises for Chapter 8 -- 9. Interest Rate Sensitivity -- 9.1 Introduction -- 9.2 The Price Curve: Approximations Using Tangent Lines and Taylor Polynomials -- 9.3 Measuring Sensitivity to Interest Rate Fluctuation: Duration -- 9.4 Macaulay Duration (D(i,∞)) = Dmac(i) -- 9.4.1 Duration of a Coupon Bond for which F = P = C -- 9.4.2 Duration of an Amortized Loan -- 9.5 Duration of a Portfolio -- 9.5.1 Duration of a Portfolio of Instruments of Known Duration -- 9.6 Convexity -- 9.6.1 Convexity of a Portfolio of Instruments with Known Convexities -- 9.7 Immunization -- 9.8 Full Immunization -- Exercises for Chapter 9 -- 10. Determinants of Interest Rates -- 10.1 Introduction -- 10.2 Equilibrium Interest Rates -- 10.3 T-Bills -- 10.4 Effective and Continously Compounded Rates -- 10.5 Interest Rates Assuming No Inflation or Risk of Default -- 10.6 Interest Rates Assuming a Default Risk but No Inflation -- 10.7 Inflation -- Exercises for Chapter 10 -- Appendix: Basic Setup for the TI BA II Plus -- Answers To Odd-Numbered Exercises -- Index Interest-Mathematical models Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Versicherungsmathematik (DE-588)4063194-1 gnd rswk-swf Electronic books Finanzmathematik (DE-588)4017195-4 s Versicherungsmathematik (DE-588)4063194-1 s DE-604 Erscheint auch als Druck-Ausgabe Wilders, Richard James Financial Mathematics for Actuarial Science Milton : Taylor & Francis Group,c2020 9780367253080 |
| spellingShingle | Wilders, Richard James Financial Mathematics for Actuarial Science The Theory of Interest Cover -- Half Title -- Title Page -- Copyright Page -- Dedication -- Contents -- Preface -- Author -- 1. Overview and Mathematical Prerequisites -- 1.1 Introduction -- 1.2 Calculators and Computers -- 1.2.1 Sequences and Series -- 1.3 Approximation Techniques -- 1.3.1 Newton's Method (Also Called the Newton-Raphson Method) -- 1.3.2 Approximations Using Taylor Series -- 1.4 Exponents and Logarithms -- Exercises for Chapter 1 -- 2. Measuring Interest -- 2.1 Introduction -- 2.2 The Accumulation and Amount Functions -- 2.3 The Effective Rate of Interest -- 2.4 Simple Interest -- 2.5 Compound Interest -- 2.6 Other Accumulation Functions -- 2.7 Present and Future Value: Equations of Value -- 2.8 Nominal and Effective Rates of Interest -- 2.9 Discount Rates -- 2.9.1 Nominal Rate of Discount -- 2.10 Forces of Interest and Discount -- 2.10.1 Varying Rates of Interest -- Exercises for Chapter 2 -- 3. Solving Problems in Interest -- 3.1 Introduction -- 3.2 Measuring Time Periods: Simple Interest and Fractional Time Periods -- 3.3 Fractional Time Periods -- 3.4 Equations of Value at any Time -- 3.5 Unknown Time -- 3.6 Doubling Time -- 3.6.1 The Rule of 72 -- 3.7 Finding the Rate of Interest -- 3.8 Deposits and Withdrawals: Cash Flow Problems -- Exercises for Chapter 3 -- 4. Annuities -- 4.1 Introduction -- 4.2 Fixed Term Annuities-Immediate with Constant Payments -- 4.3 Fixed Term Annuities-Due -- 4.4 The Value of an Annuity at any Date -- 4.4.1 The Value of an Annuity prior to its Inception -- 4.4.2 The Value of an Annuity after the Final Payment Is Made -- 4.4.3 The Value of an Annuity at any Time between the First and Last Payments -- 4.5 Perpetuities -- 4.6 Non Integer Time Periods -- 4.7 Unknown Time -- 4.8 Unknown Rate of Interest -- 4.9 Varying Rates of Interest -- 4.9.1 Present Value of Annuities with Varying Interest Rates 4.9.2 Accumulated Value of Annuities under Varying Interest Rates -- 4.10 Annuities Payable at Different Frequencies than Interest Is Convertible -- 4.11 Alternative Method: Annuities Payable Less Frequently than Interest Is Convertible -- 4.12 Annuities Paid More Frequently than Interest Is Converted -- 4.13 Perpetuities Paid More Frequently than Interest Is Convertible -- 4.14 Annuities with Varying Payments -- 4.15 Varying Perpetuities -- 4.16 Varying Annuities Paid Less Frequently than Interest Is Convertible -- 4.17 Continuous Annuities -- Exercises for Chapter 4 -- 5. Amortization Schedules and Sinking Funds -- 5.1 Introduction -- 5.2 Amortization Method -- 5.3 Amortization of a Loan -- 5.4 Methods for Computing the Loan Balance -- 5.5 Allocation of Loan Payments between Principal and Interest -- 5.6 Formulas for the Balance, Amount to Interest, and Amount to Principal at any Time -- 5.7 Examples Using the TI BA II Plus to Create Amortization Tables -- 5.8 Creating Annualized Amortization Tables Using Excel -- 5.9 How to Construct the Sinking Fund Schedule in Excel -- 5.10 Amortization with Non-Standard Payments -- 5.11 Truth in Lending -- 5.12 Real Estate Loans - Home Loans -- 5.13 Balloon and Drop Payments -- 5.14 Problems Involving Loans -- 5.15 Important Concepts from this Chapter -- Exercises for Chapter 5 -- 6. Yield Rates -- 6.1 Discounted Cash Flow Analysis -- 6.1.1 Using the TI BA II Plus Cash Flow Worksheet to Compute Internal Rate of Return -- 6.2 Uniqueness of the Yield Rate -- 6.3 Reinvestment -- 6.4 Interest Measurement of a Fund -- 6.4.1 Dollar-Weighted Estimate for the IRR -- 6.4.2 Time-Weighted Estimate for the IRR -- 6.5 Selling Loans -- 6.6 Investment Year and Portfolio Methods -- Exercises for Chapter 6 -- 7. Bonds -- 7.1 Introduction -- 7.2 Basic Bond Terminology -- 7.3 Pricing a Bond -- 7.4 Premium and Discount 7.5 Determination of Yield Rates -- 7.6 The Term Structure of Interest -- 7.7 Forward Rates -- 7.8 Converting from Forward Rates to Spot Rates -- 7.9 Price of a Bond between Coupon Payments -- 7.10 Callable Bonds -- 7.11 Bonds with Varying Payments -- Exercises for Chapter 7 -- 8. Exact Asset Matching and Swaps -- 8.1 Exact Asset Matching -- 8.2 Swap Rates -- 8.3 Interest Rate Swaps -- 8.4 Deferred Interest Rate Swaps -- 8.5 Varying Notional Amounts -- 8.6 The Market Value of an Interest Rate Swap -- Exercises for Chapter 8 -- 9. Interest Rate Sensitivity -- 9.1 Introduction -- 9.2 The Price Curve: Approximations Using Tangent Lines and Taylor Polynomials -- 9.3 Measuring Sensitivity to Interest Rate Fluctuation: Duration -- 9.4 Macaulay Duration (D(i,∞)) = Dmac(i) -- 9.4.1 Duration of a Coupon Bond for which F = P = C -- 9.4.2 Duration of an Amortized Loan -- 9.5 Duration of a Portfolio -- 9.5.1 Duration of a Portfolio of Instruments of Known Duration -- 9.6 Convexity -- 9.6.1 Convexity of a Portfolio of Instruments with Known Convexities -- 9.7 Immunization -- 9.8 Full Immunization -- Exercises for Chapter 9 -- 10. Determinants of Interest Rates -- 10.1 Introduction -- 10.2 Equilibrium Interest Rates -- 10.3 T-Bills -- 10.4 Effective and Continously Compounded Rates -- 10.5 Interest Rates Assuming No Inflation or Risk of Default -- 10.6 Interest Rates Assuming a Default Risk but No Inflation -- 10.7 Inflation -- Exercises for Chapter 10 -- Appendix: Basic Setup for the TI BA II Plus -- Answers To Odd-Numbered Exercises -- Index Interest-Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd |
| subject_GND | (DE-588)4017195-4 (DE-588)4063194-1 |
| title | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_auth | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_exact_search | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_exact_search_txtP | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_full | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_fullStr | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_full_unstemmed | Financial Mathematics for Actuarial Science The Theory of Interest |
| title_short | Financial Mathematics for Actuarial Science |
| title_sort | financial mathematics for actuarial science the theory of interest |
| title_sub | The Theory of Interest |
| topic | Interest-Mathematical models Finanzmathematik (DE-588)4017195-4 gnd Versicherungsmathematik (DE-588)4063194-1 gnd |
| topic_facet | Interest-Mathematical models Finanzmathematik Versicherungsmathematik |
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