Financial mathematics for actuaries PDF
Preview Financial mathematics for actuaries
Financial Mathematics for Actuaries Second Edition 10564hc_9789813224667_tp.indd 1 27/4/17 11:04 AM June16,2015 14:37 BC:9335-Kernel-basedApproximationMethodsusingMATLAB FasshauerMcCourtBook pagevi TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk Financial Mathematics for Actuaries Second Edition Wai-Sum Chan The Chinese University of Hong Kong, Hong Kong Yiu-Kuen Tse Singapore Management University, Singapore World Scientific NEW JERSEY • LONDON • SINGAPORE • BEIJING • SHANGHAI • HONG KONG • TAIPEI • CHENNAI • TOKYO 10564hc_9789813224667_tp.indd 2 27/4/17 11:04 AM Published by World Scientific Publishing Co. Pte. Ltd. 5 Toh Tuck Link, Singapore 596224 USA office: 27 Warren Street, Suite 401-402, Hackensack, NJ 07601 UK office: 57 Shelton Street, Covent Garden, London WC2H 9HE British Library Cataloguing-in-Publication Data A catalogue record for this book is available from the British Library. FINANCIAL MATHEMATICS FOR ACTUARIES Second Edition Copyright © 2018 by World Scientific Publishing Co. Pte. Ltd. All rights reserved. This book, or parts thereof, may not be reproduced in any form or by any means, electronic or mechanical, including photocopying, recording or any information storage and retrieval system now known or to be invented, without written permission from the publisher. For photocopying of material in this volume, please pay a copying fee through the Copyright Clearance Center, Inc., 222 Rosewood Drive, Danvers, MA 01923, USA. In this case permission to photocopy is not required from the publisher. ISBN 978-981-3224-66-7 ISBN 978-981-3224-67-4 (pbk) Desk Editor: Shreya Gopi Typeset by Stallion Press Email: [email protected] Printed in Singapore Shreya - 10564 - Financial Mathematics for Actuaries.indd 1 03-07-17 5:20:14 PM July10,2017 10:33 FinancialMathematicsforActuaries,2ndEdition 9.61inx6.69in b3009-fm pagev ToBonnie,NikkiandKevin fortheircontinuously compounded rateofsupport Wai-SumChan ToVicky,Germaine,GeraldandGemma fortheirunyielding forbearance Yiu-KuenTse v June16,2015 14:37 BC:9335-Kernel-basedApproximationMethodsusingMATLAB FasshauerMcCourtBook pagevi TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk July10,2017 10:33 FinancialMathematicsforActuaries,2ndEdition 9.61inx6.69in b3009-fm pagevii About the Authors Wai-SumChan,PhD,FSA,HonFIA,CERA,graduated fromtheChineseUniver- sityofHongKongwithamajorinAccountingandaminorinStatistics. Hepursued adoctorate inAppliedStatisticsattheFoxSchoolofBusinessManagement, Tem- ple University (Philadelphia, USA), receiving his PhD in 1989. He qualified as a Fellow ofthe Society of Actuaries in1995 and Chartered Enterprise Risk Analyst in 2008. He was conferred an Honorary Fellow by the Institute and Faculty of Actuaries in 2014. DrChan held teaching and research posts at the National Uni- versity ofSingapore, theUniversity ofWaterloo and theUniversity ofHongKong before his present appointment as Professor of Finance at the Chinese University ofHongKong. DrChan’s research interests include HealthCareFinancing, Actu- arialModelingandFinancialEconometrics. Hehashadover100scientificarticles published inscholarly journals. DrChan has been teaching financial and actuarial courses since1992. Yiu-Kuen Tse, PhD, FSA, graduated from the University of Hong Kong, majoring in Economics and Statistics. He obtained his MSc in Statistics and PhD in Econometrics from the London School of Economics. Hehas been a Fellow of the Society of Actuaries since 1993. Dr Tse’s research interests are in Empirical Finance and Financial Econometrics. He is Professor of Economics at the School ofEconomics,SingaporeManagementUniversity. Hehaspublishedextensivelyin scholarly journals andistheauthor ofthebook NonlifeActuarial Models: Theory, Methods and Evaluation. Dr Tse teaches undergraduate Actuarial Science and is alsoinvolved inmanyexecutivetraining programs. June16,2015 14:37 BC:9335-Kernel-basedApproximationMethodsusingMATLAB FasshauerMcCourtBook pagevi TThhiiss ppaaggee iinntteennttiioonnaallllyy lleefftt bbllaannkk July10,2017 10:33 FinancialMathematicsforActuaries,2ndEdition 9.61inx6.69in b3009-fm pageix Preface to the Second Edition A good understanding of the fundamental concepts of financial mathematics is essential for the evaluation of any financial product and instrument. Mastering conceptsofpresentandfuturevaluesofstreamsofcashflowsunderdifferentinter- estrateenvironments iscoreforactuariesandfinancialeconomists. Itiswiththese perspectives inmindthatwewritethistextbook. This book covers the body of knowledge required by the Society of Actuaries (SOA) for its Financial Mathematics (FM) Exam. In this second edition, we expand the book to include topics introduced by the SOA in the FM Exam from 2017 onwards. In particular, in Chapter 3 we include the coverage of interest rate swaps. Wealso add a chapter on the determination of the rates of interest of vari- ous financial securities. Someinstitutional aspects of interest rate policies and the economicmanagement ofCentralBanksarealsodiscussed inthischapter. Thisbookalsohasachapteronstochasticinterestratemodels. Studentsstudy- ing for the Institute and Faculty of Actuaries Exam CT1 will also find this book suitable forthepreparation oftheexam. Itisourhopethatstudentsinanundergraduatecourseonfinancialmathematics foractuarieswillfindthisbookuseful. Thisbookcontainsnumerousexamplesand exercises, some of which are adapted from previous SOAFM Exams. Webelieve itisalsousefulforstudents preparing fortheactuarial professional examsthrough self-study. Users of this book are assumed to have prior knowledge of high school al- gebra and college level introductory calculus. An appendix on the preview of mathematics and statistics is included for the benefits of students who require a quickrevisionoroccasional reference. Wecontinue toprovide teaching aidstosupport instructors usingthisbookfor teaching. Instructors who wish to obtain the instructors’ manual for the solutions of the exercises and/or the slides for use in lectures may write to the publisher at: [email protected]. Wai-SumChan,PhDFSACERA Yiu-KuenTse,PhDFSA DepartmentofFinance SchoolofEconomics ChineseUniversityofHongKong SingaporeManagementUniversity
The list of books you might like
