{"product_id":"investment-mathematics-isbn-9780471998822","title":"Investment Mathematics","description":"Investment Mathematics provides an introductory analysis of investments from a quantitative viewpoint, drawing together many of the tools and techniques required by investment professionals.\u003cbr\u003e Using these techniques, the authors provide simple analyses of a number of securities including fixed interest bonds, equities, index-linked bonds, foreign currency and derivatives. The book concludes with coverage of other applications, including modern portfolio theory, portfolio performance measurement and stochastic investment models.\"Investment Mathematics\" - Jetzt neu in der 2. aktualisierten Auflage.\u003cbr\u003e \u003cbr\u003e Bietet eine umfassende und verständlich geschriebene Einführung in die Grundlagen der Investmentmathematik und -statistik.\u003cbr\u003e \u003cbr\u003e Mit zahlreichen Beispielen aus der Praxis.\u003cbr\u003e \u003cbr\u003e Die Kapitel sind in sich abgeschlossen, d.h. der Leser kann seinen Informationsbedarf gezielt decken, ohne das Buch von Anfang bis Ende durcharbeiten zu müssen.\u003cbr\u003e \u003cbr\u003e Mit einem Frage- und Antwortteil. \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgements xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart I Security Analysis 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Compound Interest 3\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Introduction 3\u003c\/p\u003e \u003cp\u003e1.2 Accumulated values 3\u003c\/p\u003e \u003cp\u003e1.3 Effective and nominal rates of interest 5\u003c\/p\u003e \u003cp\u003e1.4 The accumulated value of an annuity-certain 7\u003c\/p\u003e \u003cp\u003e1.5 Present values 8\u003c\/p\u003e \u003cp\u003e1.6 The present value of an annuity-certain 10\u003c\/p\u003e \u003cp\u003e1.7 Investment project analysis 15\u003c\/p\u003e \u003cp\u003e1.8 Net present value 15\u003c\/p\u003e \u003cp\u003e1.9 Internal rate of return 16\u003c\/p\u003e \u003cp\u003e1.10 Discounted payback period 17\u003c\/p\u003e \u003cp\u003e1.11 Analysis of decision criteria 19\u003c\/p\u003e \u003cp\u003e1.12 Sensitivity analysis 19\u003c\/p\u003e \u003cp\u003eAnnex 1.1 Exponents 20\u003c\/p\u003e \u003cp\u003eAnnex 1.2 Geometric series 21\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Fixed-interest Bonds 25\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction 25\u003c\/p\u003e \u003cp\u003e2.2 Types of bond 25\u003c\/p\u003e \u003cp\u003e2.3 Accrued interest 26\u003c\/p\u003e \u003cp\u003e2.4 Present value of payments 28\u003c\/p\u003e \u003cp\u003e2.5 Interest yield 28\u003c\/p\u003e \u003cp\u003e2.6 Simple yield to maturity 29\u003c\/p\u003e \u003cp\u003e2.7 Gross redemption yield 29\u003c\/p\u003e \u003cp\u003e2.8 Net redemption yield 32\u003c\/p\u003e \u003cp\u003e2.9 Holding period return 33\u003c\/p\u003e \u003cp\u003e2.10 Volatility 33\u003c\/p\u003e \u003cp\u003e2.11 Duration 35\u003c\/p\u003e \u003cp\u003e2.12 The relationship between duration and volatility 35\u003c\/p\u003e \u003cp\u003e2.13 Convexity 36\u003c\/p\u003e \u003cp\u003e2.14 Yield curves 36\u003c\/p\u003e \u003cp\u003e2.15 The expectations theory 37\u003c\/p\u003e \u003cp\u003e2.16 The liquidity preference theory 38\u003c\/p\u003e \u003cp\u003e2.17 The market segmentation theory 39\u003c\/p\u003e \u003cp\u003e2.18 Inflation risk premium 39\u003c\/p\u003e \u003cp\u003e2.19 Par yield curves 39\u003c\/p\u003e \u003cp\u003e2.20 Spot and forward interest rates 39\u003c\/p\u003e \u003cp\u003e2.21 Spot rates and redemption yields 40\u003c\/p\u003e \u003cp\u003e2.22 Strips 41\u003c\/p\u003e \u003cp\u003e2.23 Corporate bonds 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Equities and Real Estate 43\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction 43\u003c\/p\u003e \u003cp\u003e3.2 Discounted dividend model 43\u003c\/p\u003e \u003cp\u003e3.3 Investment ratios 46\u003c\/p\u003e \u003cp\u003e3.4 Scrip issues and stock splits 47\u003c\/p\u003e \u003cp\u003e3.5 Rights issues 49\u003c\/p\u003e \u003cp\u003e3.6 Market efficiency 51\u003c\/p\u003e \u003cp\u003e3.7 Real estate 53\u003c\/p\u003e \u003cp\u003e3.8 Yield gaps 57\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Real Returns 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction 59\u003c\/p\u003e \u003cp\u003e4.2 The calculation of real returns given a constant rate of inflation 59\u003c\/p\u003e \u003cp\u003e4.3 Valuation of a series of cash flows given a constant rate of inflation 60\u003c\/p\u003e \u003cp\u003e4.4 The relationship between real and nominal yields 62\u003c\/p\u003e \u003cp\u003e4.5 Estimation of the rate of inflation 63\u003c\/p\u003e \u003cp\u003e4.6 Real returns from equity investments 63\u003c\/p\u003e \u003cp\u003e4.7 Estimation of equity values for a given real rate of return 67\u003c\/p\u003e \u003cp\u003e4.8 Calculating real returns with varying rates of inflation 68\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Index-linked Bonds 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction 73\u003c\/p\u003e \u003cp\u003e5.2 Characteristics of index-linked bonds 73\u003c\/p\u003e \u003cp\u003e5.3 Index-linked bonds: simple case 75\u003c\/p\u003e \u003cp\u003e5.4 Index-linked bonds: a more general approach 75\u003c\/p\u003e \u003cp\u003e5.5 The effect of indexation lags 79\u003c\/p\u003e \u003cp\u003e5.6 A further generalisation of the model 80\u003c\/p\u003e \u003cp\u003e5.7 Holding period returns 82\u003c\/p\u003e \u003cp\u003e5.8 Accrued interest 84\u003c\/p\u003e \u003cp\u003e5.9 The real yield gap 84\u003c\/p\u003e \u003cp\u003e5.10 Estimating market expectations of inflation 86\u003c\/p\u003e \u003cp\u003e5.10.1 Index-linked and conventional bonds: basic relationships 86\u003c\/p\u003e \u003cp\u003e5.10.2 Problems with the simple approach to estimating inflation expectations 88\u003c\/p\u003e \u003cp\u003e5.10.3 Solving the problem of internal consistency: break-even inflation rates 88\u003c\/p\u003e \u003cp\u003e5.10.4 Solving the problem of differing durations 90\u003c\/p\u003e \u003cp\u003e5.10.5 Forward and spot inflation expectations 90\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Foreign Currency Investments 93\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction 93\u003c\/p\u003e \u003cp\u003e6.2 Exchange rates 93\u003c\/p\u003e \u003cp\u003e6.3 Exchanges rates, inflation rates and interest rates 94\u003c\/p\u003e \u003cp\u003e6.4 Covered interest arbitrage 95\u003c\/p\u003e \u003cp\u003e6.5 The operation of speculators 96\u003c\/p\u003e \u003cp\u003e6.6 Purchasing power parity theory 98\u003c\/p\u003e \u003cp\u003e6.7 The international Fisher effect 98\u003c\/p\u003e \u003cp\u003e6.8 Interactions between exchange rates, interest rates and inflation 99\u003c\/p\u003e \u003cp\u003e6.9 International bond investment 102\u003c\/p\u003e \u003cp\u003e6.10 International equity investment 104\u003c\/p\u003e \u003cp\u003e6.11 Foreign currency hedging 104\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Derivative Securities 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction 107\u003c\/p\u003e \u003cp\u003e7.2 Forward and futures contracts 107\u003c\/p\u003e \u003cp\u003e7.2.1 Pricing of forwards and futures 108\u003c\/p\u003e \u003cp\u003e7.2.2 Forward pricing on a security paying no income 109\u003c\/p\u003e \u003cp\u003e7.2.3 Forward pricing on a security paying a known cash income 110\u003c\/p\u003e \u003cp\u003e7.2.4 Forward pricing on assets requiring storage 112\u003c\/p\u003e \u003cp\u003e7.2.5 Stock index futures 112\u003c\/p\u003e \u003cp\u003e7.2.6 Basis relationships 113\u003c\/p\u003e \u003cp\u003e7.2.7 Bond futures 114\u003c\/p\u003e \u003cp\u003e7.3 Swap contracts 116\u003c\/p\u003e \u003cp\u003e7.3.1 Comparative advantage argument for swaps market 116\u003c\/p\u003e \u003cp\u003e7.3.2 Pricing interest rate swap contracts 117\u003c\/p\u003e \u003cp\u003e7.3.3 Using swaps in risk management 118\u003c\/p\u003e \u003cp\u003e7.4 Option contracts 119\u003c\/p\u003e \u003cp\u003e7.4.1 Payoff diagrams for options 120\u003c\/p\u003e \u003cp\u003e7.4.2 Intrinsic value and time value 121\u003c\/p\u003e \u003cp\u003e7.4.3 Factors affecting option prices 122\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart II Statistics for Investment 125\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Describing Investment Data 127\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction 127\u003c\/p\u003e \u003cp\u003e8.2 Data sources 127\u003c\/p\u003e \u003cp\u003e8.3 Sampling and data types 128\u003c\/p\u003e \u003cp\u003e8.4 Data presentation 129\u003c\/p\u003e \u003cp\u003e8.4.1 Frequency tables 129\u003c\/p\u003e \u003cp\u003e8.4.2 Cumulative frequency tables 131\u003c\/p\u003e \u003cp\u003e8.4.3 Bar charts 131\u003c\/p\u003e \u003cp\u003e8.4.4 Histograms 132\u003c\/p\u003e \u003cp\u003e8.4.5 Stem and leaf plots 135\u003c\/p\u003e \u003cp\u003e8.4.6 Pie charts 136\u003c\/p\u003e \u003cp\u003e8.4.7 Time series graphs 140\u003c\/p\u003e \u003cp\u003e8.4.8 Cumulative frequency graphs 141\u003c\/p\u003e \u003cp\u003e8.4.9 Scatter diagrams 141\u003c\/p\u003e \u003cp\u003e8.4.10 The misrepresentation of data 143\u003c\/p\u003e \u003cp\u003e8.5 Descriptive statistics 145\u003c\/p\u003e \u003cp\u003e8.5.1 Arithmetic mean 145\u003c\/p\u003e \u003cp\u003e8.5.2 Median 147\u003c\/p\u003e \u003cp\u003e8.5.3 Mode 147\u003c\/p\u003e \u003cp\u003e8.5.4 Link between the mean, median and mode 147\u003c\/p\u003e \u003cp\u003e8.5.5 Weighted average 148\u003c\/p\u003e \u003cp\u003e8.5.6 Geometric mean 149\u003c\/p\u003e \u003cp\u003e8.5.7 Range 149\u003c\/p\u003e \u003cp\u003e8.5.8 Inter-quartile range 150\u003c\/p\u003e \u003cp\u003e8.5.9 Mean deviation (from the mean) 150\u003c\/p\u003e \u003cp\u003e8.5.10 Sample variance 151\u003c\/p\u003e \u003cp\u003e8.5.11 Sample standard deviation 151\u003c\/p\u003e \u003cp\u003e8.5.12 Coefficient of variation 151\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Modelling Investment Returns 153\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction 153\u003c\/p\u003e \u003cp\u003e9.2 Probability 153\u003c\/p\u003e \u003cp\u003e9.2.1 Relative frequency definition of probability 153\u003c\/p\u003e \u003cp\u003e9.2.2 Subjective probability 154\u003c\/p\u003e \u003cp\u003e9.2.3 The addition rule 154\u003c\/p\u003e \u003cp\u003e9.2.4 Mutually exclusive events 154\u003c\/p\u003e \u003cp\u003e9.2.5 Conditional probability 155\u003c\/p\u003e \u003cp\u003e9.2.6 Independent events 155\u003c\/p\u003e \u003cp\u003e9.2.7 Complementary events 156\u003c\/p\u003e \u003cp\u003e9.2.8 Bayes’ theorem 156\u003c\/p\u003e \u003cp\u003e9.3 Probability distributions 158\u003c\/p\u003e \u003cp\u003e9.3.1 Cumulative distribution function (c.d.f.) 159\u003c\/p\u003e \u003cp\u003e9.3.2 The mean and variance of probability distributions 160\u003c\/p\u003e \u003cp\u003e9.3.3 Expected values of probability distributions 160\u003c\/p\u003e \u003cp\u003e9.3.4 Properties of the expected value 161\u003c\/p\u003e \u003cp\u003e9.3.5 The general linear transformation 162\u003c\/p\u003e \u003cp\u003e9.3.6 Variance 162\u003c\/p\u003e \u003cp\u003e9.3.7 Covariance 163\u003c\/p\u003e \u003cp\u003e9.3.8 Moments of random variables 163\u003c\/p\u003e \u003cp\u003e9.3.9 Probability density function (p.d.f.) 163\u003c\/p\u003e \u003cp\u003e9.4 The binomial distribution 165\u003c\/p\u003e \u003cp\u003e9.5 The normal distribution 166\u003c\/p\u003e \u003cp\u003e9.5.1 The standard normal distribution 167\u003c\/p\u003e \u003cp\u003e9.6 The normal approximation to the binomial 169\u003c\/p\u003e \u003cp\u003e9.6.1 Binomial proportions 171\u003c\/p\u003e \u003cp\u003e9.7 The lognormal distribution 171\u003c\/p\u003e \u003cp\u003e9.8 The concept of probability applied to investment returns 172\u003c\/p\u003e \u003cp\u003e9.9 Some useful probability results 173\u003c\/p\u003e \u003cp\u003e9.10 Accumulation of investments using a stochastic approach: one time period 175\u003c\/p\u003e \u003cp\u003e9.11 Accumulation of single investments with independent rates of return 177\u003c\/p\u003e \u003cp\u003e9.12 The accumulation of annual investments with independent rates of return 179\u003c\/p\u003e \u003cp\u003eAnnex 9.1 Properties of the expected value 185\u003c\/p\u003e \u003cp\u003eAnnex 9.2 Properties of the variance 186\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Estimating Parameters and Hypothesis Testing 187\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction 187\u003c\/p\u003e \u003cp\u003e10.2 Unbiased estimators 187\u003c\/p\u003e \u003cp\u003e10.3 Confidence interval for the mean 188\u003c\/p\u003e \u003cp\u003e10.4 Levels of confidence 191\u003c\/p\u003e \u003cp\u003e10.5 Small samples 191\u003c\/p\u003e \u003cp\u003e10.6 Confidence interval for a proportion 193\u003c\/p\u003e \u003cp\u003e10.7 Classical hypothesis testing 194\u003c\/p\u003e \u003cp\u003e10.8 Type I and Type II errors 196\u003c\/p\u003e \u003cp\u003e10.9 Power 196\u003c\/p\u003e \u003cp\u003e10.10 Operating characteristic 197\u003c\/p\u003e \u003cp\u003e10.11 Hypothesis test for a proportion 198\u003c\/p\u003e \u003cp\u003e10.12 Some problems with classical hypothesis testing 199\u003c\/p\u003e \u003cp\u003e10.13 An alternative to classical hypothesis testing: the use of p-values 200\u003c\/p\u003e \u003cp\u003e10.14 Statistical and practical significance 201\u003c\/p\u003e \u003cp\u003eAnnex 10.1 Standard error of the sample mean 202\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 Measuring and Testing Comovements in Returns 203\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction 203\u003c\/p\u003e \u003cp\u003e11.2 Correlation 203\u003c\/p\u003e \u003cp\u003e11.3 Measuring linear association 203\u003c\/p\u003e \u003cp\u003e11.4 Pearson’s product moment correlation coefficient 205\u003c\/p\u003e \u003cp\u003e11.5 Covariance and the population correlation coefficient 207\u003c\/p\u003e \u003cp\u003e11.6 Spearman’s rank correlation coefficient 207\u003c\/p\u003e \u003cp\u003e11.7 Pearson’s versus Spearman’s 208\u003c\/p\u003e \u003cp\u003e11.8 Non-linear association 209\u003c\/p\u003e \u003cp\u003e11.9 Outliers 210\u003c\/p\u003e \u003cp\u003e11.10 Significance test for r 211\u003c\/p\u003e \u003cp\u003e11.11 Significance test for Spearman’s rank correlation coefficient 213\u003c\/p\u003e \u003cp\u003e11.12 Simple linear regression 213\u003c\/p\u003e \u003cp\u003e11.13 The least-squares regression line 214\u003c\/p\u003e \u003cp\u003e11.14 The Least-squares Regression Line of X on Y 217\u003c\/p\u003e \u003cp\u003e11.15 Prediction intervals for the conditional mean 220\u003c\/p\u003e \u003cp\u003e11.16 The coefficient of determination 222\u003c\/p\u003e \u003cp\u003e11.17 Residuals 224\u003c\/p\u003e \u003cp\u003e11.18 Multiple regression 226\u003c\/p\u003e \u003cp\u003e11.19 A warning 226\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePart III Applications 227\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Modern Portfolio Theory and Asset Pricing 229\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction 229\u003c\/p\u003e \u003cp\u003e12.2 Expected return and risk for a portfolio of two investments 229\u003c\/p\u003e \u003cp\u003e12.3 Expected return and risk for a portfolio of many investments 234\u003c\/p\u003e \u003cp\u003e12.4 The efficient frontier 235\u003c\/p\u003e \u003cp\u003e12.5 Indifference curves and the optimum portfolio 236\u003c\/p\u003e \u003cp\u003e12.6 Practical application of the Markowitz model 237\u003c\/p\u003e \u003cp\u003e12.7 The Market Model 237\u003c\/p\u003e \u003cp\u003e12.8 Estimation of expected returns and risks 240\u003c\/p\u003e \u003cp\u003e12.9 Portfolio selection models incorporating liabilities 240\u003c\/p\u003e \u003cp\u003e12.10 Modern portfolio theory and international diversification 243\u003c\/p\u003e \u003cp\u003e12.11 The Capital Asset Pricing Model 245\u003c\/p\u003e \u003cp\u003e12.12 International CAPM 254\u003c\/p\u003e \u003cp\u003e12.13 Arbitrage Pricing Theory 257\u003c\/p\u003e \u003cp\u003e12.14 Downside measures of risk 262\u003c\/p\u003e \u003cp\u003e12.15 Markowitz semi-variance 264\u003c\/p\u003e \u003cp\u003e12.16 Mean semi-variance efficient frontiers 265\u003c\/p\u003e \u003cp\u003eAnnex 12.1 Using Excel to calculate efficient frontiers 266\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Market Indices 271\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction 271\u003c\/p\u003e \u003cp\u003e13.2 Equity indices 271\u003c\/p\u003e \u003cp\u003e13.3 Bond indices 279\u003c\/p\u003e \u003cp\u003e13.4 Ex-dividend adjustment 280\u003c\/p\u003e \u003cp\u003e13.5 Calculating total return indices within a calendar year 281\u003c\/p\u003e \u003cp\u003e13.6 Net and gross indices 282\u003c\/p\u003e \u003cp\u003e13.7 Commercial real estate indices 283\u003c\/p\u003e \u003cp\u003e13.7.1 US real estate indices 283\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Portfolio Performance Measurement 285\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction 285\u003c\/p\u003e \u003cp\u003e14.2 Money-weighted rate of return 285\u003c\/p\u003e \u003cp\u003e14.3 Time-weighted rate of return 287\u003c\/p\u003e \u003cp\u003e14.4 Linked internal rate of return 291\u003c\/p\u003e \u003cp\u003e14.5 Notional funds 292\u003c\/p\u003e \u003cp\u003e14.6 Consideration of risk 294\u003c\/p\u003e \u003cp\u003e14.7 Information ratios 298\u003c\/p\u003e \u003cp\u003e14.8 Survivorship bias 299\u003c\/p\u003e \u003cp\u003e14.9 Transitions 301\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Bond Analysis 303\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction 303\u003c\/p\u003e \u003cp\u003e15.2 Volatility 303\u003c\/p\u003e \u003cp\u003e15.3 Duration 304\u003c\/p\u003e \u003cp\u003e15.4 The relationship between volatility and duration 305\u003c\/p\u003e \u003cp\u003e15.5 Factors affecting volatility and duration 308\u003c\/p\u003e \u003cp\u003e15.6 Convexity 309\u003c\/p\u003e \u003cp\u003e15.7 Non-government bonds 314\u003c\/p\u003e \u003cp\u003e15.8 Some applications of the concepts of volatility and duration 315\u003c\/p\u003e \u003cp\u003e15.9 The theory of immunisation 317\u003c\/p\u003e \u003cp\u003e15.10 Some practical issues with immunisation and matching 320\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Option Pricing Models 323\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Introduction 323\u003c\/p\u003e \u003cp\u003e16.2 Stock options 323\u003c\/p\u003e \u003cp\u003e16.3 The riskless hedge 324\u003c\/p\u003e \u003cp\u003e16.4 Risk neutrality 325\u003c\/p\u003e \u003cp\u003e16.5 A more general binomial model 329\u003c\/p\u003e \u003cp\u003e16.6 The value of p 330\u003c\/p\u003e \u003cp\u003e16.7 Estimating the parameters u, and n 331\u003c\/p\u003e \u003cp\u003e16.8 The Black–Scholes model 333\u003c\/p\u003e \u003cp\u003e16.9 Call options 334\u003c\/p\u003e \u003cp\u003e16.10 Computational considerations 338\u003c\/p\u003e \u003cp\u003e16.11 Put options 339\u003c\/p\u003e \u003cp\u003e16.12 Volatility 342\u003c\/p\u003e \u003cp\u003e16.13 Estimation of volatility from historical data 342\u003c\/p\u003e \u003cp\u003e16.14 Implied volatility 343\u003c\/p\u003e \u003cp\u003e16.15 Put=call parity 344\u003c\/p\u003e \u003cp\u003e16.16 Adjustments for known dividends 347\u003c\/p\u003e \u003cp\u003e16.17 Put=call parity with known dividends 349\u003c\/p\u003e \u003cp\u003e16.18 American-style options 350\u003c\/p\u003e \u003cp\u003e16.19 Option trading strategies 351\u003c\/p\u003e \u003cp\u003e16.20 Stock index options 357\u003c\/p\u003e \u003cp\u003e16.21 Bond options 357\u003c\/p\u003e \u003cp\u003e16.22 Futures options 358\u003c\/p\u003e \u003cp\u003e16.23 Currency options 358\u003c\/p\u003e \u003cp\u003e16.24 Exotic options 359\u003c\/p\u003e \u003cp\u003eAnnex 16.1 The heuristic derivation of the Black–Scholes model 359\u003c\/p\u003e \u003cp\u003e\u003cb\u003e17 Stochastic Investment Models 365\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e17.1 Introduction 365\u003c\/p\u003e \u003cp\u003e17.2 Persistence in economic series 367\u003c\/p\u003e \u003cp\u003e17.3 Autocorrelation 371\u003c\/p\u003e \u003cp\u003e17.4 The random walk model 374\u003c\/p\u003e \u003cp\u003e17.5 Autoregressive models 376\u003c\/p\u003e \u003cp\u003e17.6 ARIMA models 380\u003c\/p\u003e \u003cp\u003e17.7 ARCH models 381\u003c\/p\u003e \u003cp\u003e17.8 Asset-liability modelling 384\u003c\/p\u003e \u003cp\u003e17.9 The Wilkie model 385\u003c\/p\u003e \u003cp\u003e17.10 A note on calibration 388\u003c\/p\u003e \u003cp\u003e17.11 Interest rate modelling 388\u003c\/p\u003e \u003cp\u003e17.12 Value at risk 391\u003c\/p\u003e \u003cp\u003eCompound Interest Tables 399\u003c\/p\u003e \u003cp\u003eStudent’s t Distribution: Critical Points 408\u003c\/p\u003e \u003cp\u003eAreas in the Right-hand Tail of the Normal Distribution 409\u003c\/p\u003e \u003cp\u003eIndex 411\u003c\/p\u003e ANDREW ADAMS is Senior Lecturer in Finance and Director of the Centre for Financial Markets Research at the University of Edinburgh. He has studied financial markets for over thirty years, as a practitioner in the City of London and as an academic. His research interests focus mainly on investment trust pricing and risk.\u003cbr\u003e \u003cbr\u003e PHILIP BOOTH is Professor of Insurance and Risk Management at the Sir John Cass Business School, City of London and Editorial and Programme Director at the Institute of Economic Affairs. He is a former special adviser at the Bank of England and previously held the Chair in Real Estate Finance and Investment at the Sir John Cass Business School. He has a long experience of teaching and researching in the fields of investment and social insurance and is author or co-author of a number of books and papers in these fields. Philip Booth is a Fellow of the Institute of Actuaries and of the Royal Statistical Society.\u003cbr\u003e \u003cbr\u003e DAVID BOWIE is a Partner and head of quantitative analysis in the Investment Practice of Hymans Robertson Consultants \u0026amp; Actuaries. His focus is on the development and application of asset\/liability modelling and the use of capital market theory in providing investment advice to pension funds and other institutional investors.\u003cbr\u003e \u003cbr\u003e DELLA FREETH is Reader in Education for Health Care Practice at St Bartholomew School of Nursing and Midwifery, City University, where she conducts quantitative and qualitative research. This work provides a thorough grounding in investment mathematics together with applications in the investment area. The book is designed for students of finance and investment, and will prove an essential source of reference for practitioners within the securities and investment industry worldwide.\u003cbr\u003e \u003cbr\u003e Investment Mathematics is divided into three parts. Part I looks at the fundamental analysis of investments from a mathematical viewpoint, relying heavily on compound interest techniques which are developed in the first chapter. The material is presented in such a way that those without formal training in mathematics will be able to follow the text without difficulty.\u003cbr\u003e \u003cbr\u003e Part II provides the necessary statistical background for investment specialists. Like Part I, the approach assumes little formal mathematical training. Finally, the book deals with a number of specialist topics which are applications of the material covered earlier, including modern portfolio theory and asset pricing, market indices, portfolio performance measurement, stochastic investment models and the theoretical pricing of options.\u003cbr\u003e \u003cbr\u003e Investment Mathematics is an accessible text which will provide readers with a sound analytical framework within which the valuation of investments and investment in a wider context may be studied.","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989474984165,"sku":"NP9780471998822","price":71.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780471998822.jpg?v=1761784247","url":"https:\/\/k12savings.com\/products\/investment-mathematics-isbn-9780471998822","provider":"K12savings","version":"1.0","type":"link"}