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An Introduction to the Mathematics of Finance

An Introduction to the Mathematics of Finance Author Stephen Garrett
ISBN-10 9780080982755
Release 2013-05-28
Pages 464
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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



An Introduction to the Mathematics of Finance

An Introduction to the Mathematics of Finance Author Stephen Garrett
ISBN-10 0080982409
Release 2013
Pages 450
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"Introduction -- Theory of Interest Rates -- The Basic Compound Interest Functions -- Further Compound Interest Functions -- Repayment Schedules -- Project Appraisal and Investment Performance -- The Valuation of Securities -- Capital Gains Tax -- Yield Curves and Immunization"--Site web de l'éditeur.



An Introduction to the Mathematics of Finance

An Introduction to the Mathematics of Finance Author Stephen Garrett
ISBN-10 0080982409
Release 2013
Pages 450
Download Link Click Here

"Introduction -- Theory of Interest Rates -- The Basic Compound Interest Functions -- Further Compound Interest Functions -- Repayment Schedules -- Project Appraisal and Investment Performance -- The Valuation of Securities -- Capital Gains Tax -- Yield Curves and Immunization"--Site web de l'éditeur.



An Introduction to the Mathematics of Finance

An Introduction to the Mathematics of Finance Author Stephen Garrett
ISBN-10 0081013027
Release 2016-05
Pages 464
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"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-Scottclassicfollows 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 Professionand the CFA Institute. With a wealthof 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 ActuariesFeatures new content andmore examplesOnline supplements available: http: //booksite.elsevier.com/9780080982403/Includes past exam questions from The Institute and Faculty of Actuaries and the CFA Institute"



Fundamentals of Actuarial Mathematics

Fundamentals of Actuarial Mathematics Author S. David Promislow
ISBN-10 9781118782460
Release 2014-12-31
Pages 552
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Fundamentals of Actuarial Mathematics has been writing in one form or another for most of life. You can find so many inspiration from Fundamentals of Actuarial Mathematics also informative, and entertaining. Click DOWNLOAD or Read Online button to get full Fundamentals of Actuarial Mathematics book for free.



An Introduction to the Mathematics of Financial Derivatives

An Introduction to the Mathematics of Financial Derivatives Author Ali Hirsa
ISBN-10 9780123846839
Release 2013-12-18
Pages 454
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An Introduction to the Mathematics of Financial Derivatives is a popular, intuitive text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring only a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. This classic title has been revised by Ali Hirsa, who accentuates its well-known strengths while introducing new subjects, updating others, and bringing new continuity to the whole. Popular with readers because it emphasizes intuition and common sense, An Introduction to the Mathematics of Financial Derivatives remains the only "introductory" text that can appeal to people outside the mathematics and physics communities as it explains the hows and whys of practical finance problems. Facilitates readers' understanding of underlying mathematical and theoretical models by presenting a mixture of theory and applications with hands-on learning Presented intuitively, breaking up complex mathematics concepts into easily understood notions Encourages use of discrete chapters as complementary readings on different topics, offering flexibility in learning and teaching



Tools for Computational Finance

Tools for Computational Finance Author Rüdiger U. Seydel
ISBN-10 9781447129936
Release 2012-03-09
Pages 429
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The disciplines of financial engineering and numerical computation differ greatly, however computational methods are used in a number of ways across the field of finance. It is the aim of this book to explain how such methods work in financial engineering; specifically the use of numerical methods as tools for computational finance. By concentrating on the field of option pricing, a core task of financial engineering and risk analysis, this book explores a wide range of computational tools in a coherent and focused manner and will be of use to the entire field of computational finance. Starting with an introductory chapter that presents the financial and stochastic background, the remainder of the book goes on to detail computational methods using both stochastic and deterministic approaches. Now in its fifth edition, Tools for Computational Finance has been significantly revised and contains: A new chapter on incomplete markets which links to new appendices on Viscosity solutions and the Dupire equation; Several new parts throughout the book such as that on the calculation of sensitivities (Sect. 3.7) and the introduction of penalty methods and their application to a two-factor model (Sect. 6.7) Additional material in the field of analytical methods including Kim’s integral representation and its computation Guidelines for comparing algorithms and judging their efficiency An extended chapter on finite elements that now includes a discussion of two-asset options Additional exercises, figures and references Written from the perspective of an applied mathematician, methods are introduced as tools within the book for immediate and straightforward application. A ‘learning by calculating’ approach is adopted throughout this book enabling readers to explore several areas of the financial world. Interdisciplinary in nature, this book will appeal to advanced undergraduate students in mathematics, engineering and other scientific disciplines as well as professionals in financial engineering.



Methods of Mathematical Finance

Methods of Mathematical Finance Author Ioannis Karatzas
ISBN-10 9780387948393
Release 1998-08-13
Pages 407
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Written by two of the best-known researchers in mathematical finance, Methods of Mathematical Finance will appeal to theorists and practitioners in this very active research area. It is the sequel to Brownian Motion and Stochastic Calculus by the same authors, and includes much material that has not appeared before in book form. From the reviews:"Constitutes a valuable research-level text which should be consulted by anyone interested in the area." --MATHEMATICAL REVIEWS



Financial and Actuarial Statistics

Financial and Actuarial Statistics Author Dale S. Borowiak
ISBN-10 9780203911242
Release 2013-11-12
Pages 392
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Understand Up-to-Date Statistical Techniques for Financial and Actuarial Applications Since the first edition was published, statistical techniques, such as reliability measurement, simulation, regression, and Markov chain modeling, have become more prominent in the financial and actuarial industries. Consequently, practitioners and students must acquire strong mathematical and statistical backgrounds in order to have successful careers. Financial and Actuarial Statistics: An Introduction, Second Edition enables readers to obtain the necessary mathematical and statistical background. It also advances the application and theory of statistics in modern financial and actuarial modeling. Like its predecessor, this second edition considers financial and actuarial modeling from a statistical point of view while adding a substantial amount of new material. New to the Second Edition Nomenclature and notations standard to the actuarial field Excel exercises with solutions, which demonstrate how to use Excel functions for statistical and actuarial computations Problems dealing with standard probability and statistics theory, along with detailed equation links A chapter on Markov chains and actuarial applications Expanded discussions of simulation techniques and applications, such as investment pricing Sections on the maximum likelihood approach to parameter estimation as well as asymptotic applications Discussions of diagnostic procedures for nonnegative random variables and Pareto, lognormal, Weibull, and left truncated distributions Expanded material on surplus models and ruin computations Discussions of nonparametric prediction intervals, option pricing diagnostics, variance of the loss function associated with standard actuarial models, and Gompertz and Makeham distributions Sections on the concept of actuarial statistics for a collection of stochastic status models The book presents a unified approach to both financial and actuarial modeling through the use of general status structures. The authors define future time-dependent financial actions in terms of a status structure that may be either deterministic or stochastic. They show how deterministic status structures lead to classical interest and annuity models, investment pricing models, and aggregate claim models. They also employ stochastic status structures to develop financial and actuarial models, such as surplus models, life insurance, and life annuity models.



Elementary Stochastic Calculus with Finance in View

Elementary Stochastic Calculus with Finance in View Author Thomas Mikosch
ISBN-10 9810235437
Release 1998
Pages 212
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Modelling with the Ito integral or stochastic differential equations has become increasingly important in various applied fields, including physics, biology, chemistry and finance. However, stochastic calculus is based on a deep mathematical theory. This book is suitable for the reader without a deep mathematical background. It gives an elementary introduction to that area of probability theory, without burdening the reader with a great deal of measure theory. Applications are taken from stochastic finance. In particular, the Black -- Scholes option pricing formula is derived. The book can serve as a text for a course on stochastic calculus for non-mathematicians or as elementary reading material for anyone who wants to learn about Ito calculus and/or stochastic finance.



Introduction to Actuarial and Financial Mathematical Methods

Introduction to Actuarial and Financial Mathematical Methods Author Stephen Garrett
ISBN-10 9780128004913
Release 2015-05-02
Pages 624
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This self-contained module for independent study covers the subjects most often needed by non-mathematics graduates, such as fundamental calculus, linear algebra, probability, and basic numerical methods. The easily-understandable text of Introduction to Actuarial and Mathematical Methods features examples, motivations, and lots of practice from a large number of end-of-chapter questions. For readers with diverse backgrounds entering programs of the Institute and Faculty of Actuaries, the Society of Actuaries, and the CFA Institute, Introduction to Actuarial and Mathematical Methods can provide a consistency of mathematical knowledge from the outset. Presents a self-study mathematics refresher course for the first two years of an actuarial program Features examples, motivations, and practice problems from a large number of end-of-chapter questions designed to promote independent thinking and the application of mathematical ideas Practitioner friendly rather than academic Ideal for self-study and as a reference source for readers with diverse backgrounds entering programs of the Institute and Faculty of Actuaries, the Society of Actuaries, and the CFA Institute



Regression Modeling with Actuarial and Financial Applications

Regression Modeling with Actuarial and Financial Applications Author Edward W. Frees
ISBN-10 9780521760119
Release 2010
Pages 565
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This book teaches multiple regression and time series and how to use these to analyze real data in risk management and finance.



Option Pricing and Portfolio Optimization

Option Pricing and Portfolio Optimization Author Ralf Korn
ISBN-10 0821821237
Release 2001
Pages 253
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Understanding and working with the current models of financial markets requires a sound knowledge of the mathematical tools and ideas from which they are built. Banks and financial houses all over the world recognize this and are avidly recruiting mathematicians, physicists, and other scientists with these skills. The mathematics involved in modern finance springs from the heart of probability and analysis: the Ito calculus, stochastic control, differential equations, martingales, and so on. The authors give rigorous treatments of these topics, while always keeping the applications in mind. Thus, the way in which the mathematics is developed is governed by the way it will be used, rather than by the goal of optimal generality. Indeed, most of the purely mathematical topics are treated in extended ``excursions'' from the applications into the theory. Thus, with the main topic of financial modelling and optimization in view, the reader also obtains a self-contained and complete introduction to the underlying mathematics. This book is specifically designed as a graduate textbook. It could be used for the second part of a course in probability theory, as it includes an applied introduction to the basics of stochastic processes (martingales and Brownian motion) and stochastic calculus. It would also be suitable for a course in continuous-time finance that assumes familiarity with stochastic processes. The prerequisites are basic probability theory and calculus. Some background in stochastic processes would be useful, but not essential. Especially useful for students seeking a lively introduction to Ito calculus. --Short Book Reviews, International Statistical Institute



Actuarial Mathematics for Life Contingent Risks

Actuarial Mathematics for Life Contingent Risks Author David C. M. Dickson
ISBN-10 9781107044074
Release 2013-08-12
Pages 616
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This groundbreaking text has been augmented with new material and fully updated to prepare students for the new-style MLC exam.



Introduction to Econophysics

Introduction to Econophysics Author Rosario N. Mantegna
ISBN-10 1139431226
Release 1999-11-13
Pages
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This book concerns the use of concepts from statistical physics in the description of financial systems. The authors illustrate the scaling concepts used in probability theory, critical phenomena, and fully developed turbulent fluids. These concepts are then applied to financial time series. The authors also present a stochastic model that displays several of the statistical properties observed in empirical data. Statistical physics concepts such as stochastic dynamics, short- and long-range correlations, self-similarity and scaling permit an understanding of the global behaviour of economic systems without first having to work out a detailed microscopic description of the system. Physicists will find the application of statistical physics concepts to economic systems interesting. Economists and workers in the financial world will find useful the presentation of empirical analysis methods and well-formulated theoretical tools that might help describe systems composed of a huge number of interacting subsystems.



Stochastic Calculus

Stochastic Calculus Author Mircea Grigoriu
ISBN-10 0817642420
Release 2002-09-24
Pages 774
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"This self-contained text may be used for several graduate courses and as an important reference resource for applied scientists interested in analytical and numerical methods for solving stochastic problems."--BOOK JACKET.



Stochastic Finance

Stochastic Finance Author Nicolas Privault
ISBN-10 9781466594029
Release 2013-12-20
Pages 441
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Stochastic Finance: An Introduction with Market Examples presents an introduction to pricing and hedging in discrete and continuous time financial models without friction, emphasizing the complementarity of analytical and probabilistic methods. It demonstrates both the power and limitations of mathematical models in finance, covering the basics of finance and stochastic calculus, and builds up to special topics, such as options, derivatives, and credit default and jump processes. It details the techniques required to model the time evolution of risky assets. The book discusses a wide range of classical topics including Black–Scholes pricing, exotic and American options, term structure modeling and change of numéraire, as well as models with jumps. The author takes the approach adopted by mainstream mathematical finance in which the computation of fair prices is based on the absence of arbitrage hypothesis, therefore excluding riskless profit based on arbitrage opportunities and basic (buying low/selling high) trading. With 104 figures and simulations, along with about 20 examples based on actual market data, the book is targeted at the advanced undergraduate and graduate level, either as a course text or for self-study, in applied mathematics, financial engineering, and economics.