Introduction to financial mathematics:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Boca Raton ; London ; New York
CRC Press
[2025]
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| Edition: | Second edition |
| Series: | A Chapman & Hall book
Advances in applied mathematics |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | xiii, 399 Seiten Illustrationen, Diagramme |
| ISBN: | 9781032262369 9781032262376 |
Staff View
MARC
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Record in the Search Index
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Contents Preface 1 2 xi Theory of Interest 1.1 rate-of-return and Present Value. 1.2 Compound Interest . 1.2.1 Geometric Sequences and Series. 1.2.2 Compound Interest. 1.2.3 Discounting. 1.2.4 Present Value and Net Present Value. 1.3 Annuities. 1.3.1 Ordinary Annuities. 1.3.2 Annuities Due . 1.3.3 Variations on Annuities. 1.4 Loans. 1.4.1 Loan Payments. 1.4.2 Loan Amortization. 1.4.3 Retrospective and Prospective Formsfor Outstanding Balance. 1.4.4 Sinking Fund Loan Repayment. 1.5 Measuring rate-of-return . 1.5.1 Internal rate-of-return on a Transaction . . 1.5.2 Approximate Dollar-Weighted rate-of-return. 1.5.3 Time-Weighted rate-of-
return. 1.6 Continuous Time Interest Theory . 1.6.1 Continuous Compounding: Effective Rate and Present Value. 1.6.2 Force of Interest. 1.6.3 Continuous Annuities. 1.6.4 Continuous Loans . 1 1 6 6 8 13 14 21 21 28 33 48 48 51 Bonds 2.1 BondValuation . 2.1.1 Bond Value at Issue Date. 2.1.2 Bond Value at Coupon Date . 2.1.3 Recursive Approach: Bond Amortization Table . 2.2 More on Bonds. . 101 101 103 109 112 123 55 58 65 66 71 75 82 82 87 90 93 vii
viii Contents Value of a Bond between Coupons. Callable and Putable Bonds. Bond Duration. Structure of Interest Rates. Spot Rates, STRIPS, and Yield to Maturity. Forward Rates and Spot Rates. 123 129 134 140 142 145 3 Discrete Probability for Finance 3.1 Sample Spaces and Probability Measures . 3.1.1 Counting Rules. 3.1.2 Probability Models. 3.1.3 More Properties of Probability. 3.2 Random Variables and Distributions. 3.2.1 Cumulative Distribution Functions. 3.2.2 Random Vectors and Joint Distributions. 3.3 Discrete Expectation . 3.3.1 Mean . 3.3.2 Variance. 3.3.3 Chebyshev’s Inequality. 3.3.4 Expectation for Multiple Random Variables. 3.4 Conditional Probability. 3.4.1 Fundamental Ideas. 3.4.2
Conditional Distributions of Random Variables . 3.4.3 Conditional Expectation. 3.5 Independence and Dependence. 3.5.1 Independent Events. 3.5.2 Independent Random Variables. 3.5.3 Dependence: Covariance and Correlation. 3.6 Estimation . 3.6.1 The Sample Mean. 3.6.2 Sample Variance, Covariance, and Correlation. 155 157 159 163 165 172 179 180 187 188 194 197 199 204 205 211 215 225 225 227 233 243 243 248 4 Portfolio Theory 259 4.1 Portfolios of Risky Assets. 260 4.1.1 Some Practical Background. 260 4.1.2 Stock Transactions. 261 4.1.3 Asset Rates of Return: Modeling andEstimation . . . 262 4.1.4 Portfolio Rate-of-Return. 266 4.1.5 Risk Aversion. 271 4.2 Optimal Portfolio Selection. 278 4.2.1 Two-Asset Problems. .·. 278 4.3 Multiple-Assets and Portfolio Separation . 283 4.3.1 Market
Portfolio. 286 2.2.1 2.2.2 2.2.3 2.3 Term 2.3.1 2.3.2
Contents 5 Valuation of Derivatives 5.1 Basic Terminology and Ideas . 5.1.1 Derivative Assets. 5.1.2 Arbitrage. 5.1.3 Arbitrage Valuation of Futures . . . 5.2 Single-Period Options. 5.2.1 Pricing Strategies. 5.2.2 Put-Call Parity. 5.2.3 Δ-Hedging . 5.3 Multiple-Period Options . 5.3.1 Martingale Valuation. 5.3.2 Valuation by Chaining. 6 Additional Topics 6.1 Valuation of Exotic Options and Simulation . 6.1.1 American Options. 6.1.2 Barrier Options. 6.1.3 Asian Options . 6.1.4 Approximate Valuation by Simulation. 6.2 Swaps. 6.2.1 Interest Rate Swaps. 6.2.2 Commodity
Swaps. 6.2.3 Currency Swaps . 6.3 Value-at-Risk. 6.3.1 Computing VaR for Individual Assets and Portfolios . 6.3.2 Conditional Value-at-Risk. 6.3.3 Simulation Approximations. ix 293 294 294 298 300 305 306 311 312 319 319 326 333 333 334 339 343 345 353 354 357 360 364 366 370 373 A Short Answers to Selected Exercises 381 Bibliography 393 Index 395 |
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| discipline | Mathematik Wirtschaftswissenschaften |
| edition | Second edition |
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| indexdate | 2025-04-15T10:01:40Z |
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| isbn | 9781032262369 9781032262376 |
| language | English |
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| 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 Second edition Boca Raton ; London ; New York CRC Press [2025] xiii, 399 Seiten Illustrationen, Diagramme 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 Erscheint auch als Online-Ausgabe 978-1-003-28727-8 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=035466666&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| 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 |
| title_fullStr | Introduction to financial mathematics Kevin J. Hastings |
| title_full_unstemmed | Introduction to financial mathematics Kevin J. Hastings |
| 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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