Financial Mathematics for Actuaries 2nd Edition by Wai sum Chan, Yiu kuen Tse 9789813224698 981322469X

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• ISBN 10:981322469X 

• ISBN 13:9789813224698

• Author:Wai sum Chan, Yiu kuen Tse 

Financial Mathematics for Actuaries
Financial Mathematics for Actuaries is a textbook for students in actuarial science, quantitative finance, financial engineering and quantitative risk management and is designed for a one-semester undergraduate course.Covering the theories of interest rates, with applications to the evaluation of cash flows, the pricing of fixed income securities and the management of bonds, this textbook also contains numerous examples and exercises and extensive coverage of various Excel functions for financial calculation. Discussions are linked to real financial market data, such as historical term structure, and traded financial securities.The topics discussed in this book are essential for actuarial science students. They are also useful for students in financial markets, investments and quantitative finance. Students preparing for examinations in financial mathematics with various professional actuarial bodies will also find this book useful for self-study.In this second edition, the recent additions in the learning objectives of the Society of Actuaries Exam FM have been covered. 

Financial Mathematics for Actuaries 2nd Table of contents:

 Chapter 1 Interest Accumulation and Time Value of Money
1.1 Accumulation Function and Amount Function
1.2 Simple and Compound Interest
1.3 Frequency of Compounding
1.4 Effective Rate of Interest
1.5 Rates of Discount
1.6 Force of Interest
1.7 Present and Future Values
1.8 Equation of Value
1.9 Summary
Exercises
Chapter 2 Annuities
2.1 Annuity-Immediate
2.2 Annuity-Due
2.3 Perpetuity, Deferred Annuity and Annuity Values at Other Times
2.4 Annuities under Other Accumulation Methods
2.5 Payment Periods, Compounding Periods and Continuous Annuities
2.6 Varying Annuities
2.7 Term of Annuity
2.8 Summary
Exercises
Chapter 3 Spot Rates, Forward Rates and the Term Structure
3.1 Spot and Forward Rates of Interest
3.2 The Term Structure of Interest Rates
3.3 Present and Future Values Given the Term Structure
3.4 Accumulation Function and the Term Structure
3.5 Interest Rate Swaps
3.6 Summary
Exercises
Chapter 4 Rates of Return
4.1 Internal Rate of Return
4.2 One-Period Rate of Return
4.3 Rate of Return over Multiple Periods
4.4 Portfolio Return
4.5 Short Sales
4.6 Crediting Interest: Investment-Year Method and Portfolio Method
4.7 Capital Budgeting and Project Appraisal
4.8 Summary
Exercises
Chapter 5 Loans and Costs of Borrowing
5.1 Loan Balance: Prospective and Retrospective Methods
5.2 Amortization
5.3 Sinking Fund
5.4 Varying Installments and Varying Interest Rates
5.5 Comparison of Borrowing Costs
5.6 Flat Rate Loan and Flat Rate Discount Loan
5.7 Borrowing Costs and Reference Rates
5.8 Summary
Exercises
Chapter 6 Bonds and Bond Pricing
6.1 Basic Concepts
6.2 Bond Evaluation
6.3 Bond Amortization Schedule
6.4 Valuation between Coupon-Payment Dates
6.5 Callable Bonds
6.6 Bond Pricing under a General Term Structure
6.7 Summary
Exercises
Chapter 7 Bond Yields and the Term Structure
7.1 Some Simple Measures of Bond Yield
7.2 Yield to Maturity
7.3 Par Yield
7.4 Holding-Period Yield
7.5 Discretely Compounded Yield Curve
7.6 Continuously Compounded Yield Curve
7.7 Term Structure Models
7.8 Summary
Exercises
Chapter 8 Bond Management
8.1 Macaulay Duration and Modified Duration
8.2 Duration for Price Correction
8.3 Convexity
8.4 Some Rules for Duration
8.5 Immunization Strategies
8.6 Some Short comings of Duration Matching
8.7 Duration under a Nonflat Term Structure
8.8 Passive versus Active Bond Management
8.9 Summary
Exercises
Chapter 9 Interest Rates and Financial Securities
9.1 Interest Rate Determination
9.2 Financial Securities
9.3 Inflation and Central Bank Policy
9.4 Macroeconomic Management
9.5 Rate of Interest in an Open Economy
9.6 Summary
Exercises
Chapter 10 Stochastic Interest Rates
10.1 Deterministic Scenarios of Interest Rates
10.2 Random-Scenario Model
10.3 Independent Lognormal Model
10.4 Autoregressive Model
10.5 Dynamic Term Structure Model
10.6 An Application: Guaranteed Investment Income
10.7 Summary
Exercises
Appendix A Review of Mathematics and Statistics
A.1 Exponential Function
A.2 Logarithmic Function
A.3 Roots of a Quadratic Equation
A.4 Arithmetic Progression
A.5 Geometric Progression
A.6 Some Derivatives
A.7 Integration by Part
A.8 Taylor Series Expansion
A.9 Binomial Expansion
A.10 Expected Value and Variance of a Random Variable
A.11 Mean and Variance of Sum of Random Variables
A.12 Uniform Distribution
A.13 Normal Distribution
A.14 Lognormal Distribution
Appendix B Answers to Selected Exercises
Index

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