This book offers a highly illustrated introduction to mathematical finance, with a special emphasis on interest rates.
This is a revision of the McCutcheon-Scott classic. 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.
150 years of actuarial writing from 1848 to 1994, complete with indexes, has been issued as an 8 CD set.
This set provides the complete collection of the Journal of the Institute of Actuaries and the Transactions of the Faculty of Actuaries.
This book provides coverage of microeconomic, macroeconomic and international economic issues for business students. With its direct and understandable approach the book continues to focus on applying economic principles to the real world of business.
Up-to-date case studies examine everything from the impact of the financial crisis to the operation of specific businesses, to illustrate how economic theory relates to real business issues. The book has been thoroughly updated to reflect the challenges faced by business in the current economic climate.
This classic and successful text combines
international economics and
business economics and strategy
in one user-friendly book and is ideal for anyone studying economics with a business perspective.
Tables for use in exams
Essential reading for all those who are interested in developing their knowledge about genetics and where actuaries can 'add value', this publication explores genetic advances from a range of perspectives - medical, social and financial.
- How genes work
- Research fields in human genetics
- Ethics and the new genetics
- Genetically modified organisms
- Genetics and the financial sector
- Legislation and codes of conduct
- Actuarial modelling.
Solutions manual to accompany the 4th edition of Loss models. From data to decisions (2012)
In classical life insurance mathematics the obligations of the insurance company towards the policyholders were calculated on artificial conservative assumptions on mortality and interest rates. However, this approach is being superseded by developments in international accounting and solvency standards coupled with other advances enabling a market-based valuation of risk, i.e., its price if traded in a free market.
This book describes these approaches, and is the first to explain them in conjunction with more traditional methods. The various chapters address specific aspects of market-based valuation. The exposition integrates methods and results from financial and insurance mathematics, and is based on the entries in a life insurance company's market accounting scheme.
The book will be of great interest and use to students and practitioners who need an introduction to this area, and who seek a practical yet sound guide to life insurance accounting and product development.
This book provides a comprehensive, self-contained and up-to-date treatment of the main topics in the theory of option pricing.
The first part of the text starts with discrete-time models of financial markets, including the Cox-Ross-Rubinstein binomial model. The passage from discrete- to continuous-time models, done in the Black-Scholes model setting, assumes familiarity with basic ideas and results from stochastic calculus. However, an Appendix containing all the necessary results is included. This model setting is later generalized to cover standard and exotic options involving several assets and/or currencies. An outline of general theory of arbitrage pricing is presented.
The second part of the text is devoted to the term structure modelling and the pricing of interest-rate derivatives. The main emphasis is on models that can be made consistent with market pricing practice.
The theme of stochastic volatility also reappears systematically in the second part of the book, which has been revised fundamentally, presenting much more detailed analyses of the various interest-rate models available: the authors’ perspective throughout is that the choice of a model should be based on the reality of how a particular sector of the financial market functions, never neglecting to examine liquid primary and derivative assets and identifying the sources of trading risk associated.
This long-awaited new edition of an outstanding successful, well-established book, concentrating on the most pertinent and widely accepted modelling approaches, provides the reader with a text focused on practical rather than theoretical aspects of financial modelling.
This book is the sequel to Brownian motion and stochastic calculus by the same authors.
Within the context of Brownian-motion-driven asset prices, it develops contingent claim pricing and optimal consumption/investment in both complete and incomplete markets. The latter topic is extended to a study of equilibrium, providing conditions for existence and uniqueness of market prices which support trading by several heterogeneous agents. Although much of the incomplete-market material is available in research papers, these topics are treated for the first time in a unified manner.
The book contains an extensive set of references and notes describing the field, including topics not treated in the book. This book will be of interest to researchers wishing to see advanced mathematics applied to finance.
The material on optimal consumption and investment, leading to equilibrium, is addressed to the theoretical finance community. The chapters on contingent claim valuation present techniques of practical importance, especially for pricing exotic options.
Mixed Poisson processes have until now been studied by scientists primarily interested in either insurance mathematics or joint processes. Often work in one area has been carried out without knowledge of the other. Mixed Poisson processes is the first book to be totally devoted to combining both these areas.
The first part of the book gives special emphasis to the estimation of the underlying intensity, thinning, infinite divisibility and reliability properties; the second part of this is, to a greater extent, based on Lundberg's thesis.
Many newer results, such as characterizations in terms of thinning, random translations, Palm probabilities and symmetric distributions are given. Models for the risk fluctuations in an insurance company are considered in some detail.
Combining a rigorous mathematical approach with an informal discursive style, this book will be an invaluable source for probabilists, applied probabilists and actuaries, as well as graduate students and scientists in these areas.