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Mathematical Interest Theory
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Mathematical Interest Theory

Daniel, James W.; Vaaler, Leslie Jane Federer
ISBN-10: 0131472852
ISBN-13: 9780131472853

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James W. Daniel, ASA, Ph.D., Sc.D., is Director of Actuarial Studies, University Distinguished Teaching Professor, and the Paul V. Montgomery Professor of Actuarial Mathematics at The University of Texas at Austin Leslie Jane Federer Vaaler, Ph.D., is Buck Consultants Assistant Director of Actuarial Studies, and Lecturer in Mathematics at The University of Texas at AustinWritten in a reader-friendly manner, this reference is designed to meet the needs of readers who want to master the interest theory and finance topics addressed in the Financial Mathematics exam.
nbsp;Requires an algebra background; calculus not a prerequisite. Encourages readers to practice writing throughout, and more than 30 end-of-chapter writing exercises are included. Provides more than 240 worked examples in a wide range of difficulty. Features abundant examples, discussion, and problems throughout.A useful guide for readers planning to take the Financial Mathematics exam. nbsp; nbsp; Mathematical Interestnbsp;Theory, 1/E James W. Daniel Leslie Jane Federer VaalerThis student-oriented introduction to the mathematics of interest covers the interest theory required by actuaries, by others in financial services, and by informed consumers. Mathematical Interest Theory: Teaches and illustrates with over 240 carefully worked examples. Includes optional instruction and examples for the Texas Instruments BA II Plus and BA II Plus Professional financial calculators. Introduces in detail such modern financial concepts as arbitrage, derivatives, options, futures, and swaps, without requiring probability. Contains over 430 problems and an appendix with answers to numerical problems. Treats yield rates early and often. Has more than 30 writing exercises. Book jacket.
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Preface
An introduction to the Texas Instruments BA II Plus
Choosing a calculator
Font convention
BA II Plus basics
Problems, Chapter 0
The growth of money
Introduction
What is interest?
Accumulation and amount functions
Simple interest / Linear accumulation functions
Compound interest (The usual case!)
Interest in advance / The effective discount rate
Discount functions / The time value of money
Simple discount
Compound discount
Nominal rates of interest and discount
A friendly competition (Constant force of interest)
Force of interest
Note for those who skipped Sections (1.11) and (1.12)
Inflation
Problems, Chapter 1
Equations of value and yield rates
Introduction
Equations of value for investments involving a single deposit made under compound interest
Equations of value for investments with multiple contributions
Investment return
Reinvestment considerations
Approximate dollar-weighted yield rates
Fund performance
Problems, Chapter 2
Annuities (annuities certain)
Introduction
Annuities - immediate
Annuities - due
Perpetuities
Deferred annuities and values on any date
Outstanding loan balances
Nonlevel annuities
Annuities with payments in geometric progression
Annuities with payments in arithmetic progression
Yield rate examples involving annuities
Annuity symbols for nonintegral terms
Annuities governed by general accumulation functions
The investment year method
Problems, Chapter 3
Annuities with different payment and conversion periods
Introduction
Level annuities with payments less frequent than each interest period
Level annuities with payments more frequent than each interest period
Annuities with payments less frequent than each interest period and payments in arithmetic progression
Annuities with payments more frequent than each interest period and payments in arithmetic progression
Continuously paying annuities
A yield rate example
Problems, Chapter 4
Loan repayment
Introduction
Amortized loans and amortization schedules
The Sinking Fund method
Loans with other repayment patterns
Yield rate examples and replacement of capital
Problems, Chapter 5
Bonds
Introduction
Bond alphabet soup and the basic price formula
The premium-discount formula
Other pricing formulas for bonds
Bond amortization schedules
Valuing a bond after its date of issue
Selling a bond after its date of issue
Yield rate examples
Callable bonds
Floating-rate bonds
The BA II Plus calculator Bond worksheet
Problems, Chapter 6
Stocks and financial markets
Common and preferred stock
Brokerage accounts
Going long: buying stock with borrowed money
Selling short: selling borrowed stocks
Problems, Chapter 7
Arbitrage, the term structure of interest rates, and derivatives
Introduction
Arbitrage
The term structure of interest rates
Forward contracts
Commodity futures held until delivery
Offsetting positions and liquidity of futures contracts
Price discovery and more kinds of futures
Options
Using replicating portfolios to price options
Using weighted averages to price options
Swaps
Problems, Chapter 8
Interest rate sensitivity
Overview
Duration
Convexity
Immunization
Other types of duration
Problems, Chapter 9
Appendices
Some useful formulas
Answers to end of chapter problems
Bibliography
Index

List price: $141.33
Edition: 2007
Publisher: Pearson Education
Binding: Trade Cloth
Pages: 512
Size: 6.00" wide x 9.00" long x 1.00" tall
Weight: 1.76 lbs.
Language: English

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