Mathematical Interest Theory: Third Edition

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Mathematical Interest Theory: Third Edition

Leslie Jane Federer Vaaler

Shinko Kojima Harper : The University of Texas at Austin, Austin, TX

James W. Daniel

MAA Press: An Imprint of the American Mathematical Society

Softcover ISBN:	978-1-4704-6568-1
Product Code:	TEXT/57.S

List Price:	$105.00
MAA Member Price:	$78.75
AMS Member Price:	$78.75

eBook ISBN:	978-1-4704-5530-9
Product Code:	TEXT/57.E

List Price:	$99.00
MAA Member Price:	$74.25
AMS Member Price:	$74.25

Softcover ISBN:	978-1-4704-6568-1
eBook: ISBN:	978-1-4704-5530-9
Product Code:	TEXT/57.S.B

List Price:	$204.00 $154.50
MAA Member Price:	$153.00 $115.88
AMS Member Price:	$153.00 $115.88

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Mathematical Interest Theory: Third Edition

Leslie Jane Federer Vaaler

Shinko Kojima Harper : The University of Texas at Austin, Austin, TX

James W. Daniel

MAA Press: An Imprint of the American Mathematical Society

Softcover ISBN:	978-1-4704-6568-1
Product Code:	TEXT/57.S

List Price:	$105.00
MAA Member Price:	$78.75
AMS Member Price:	$78.75

eBook ISBN:	978-1-4704-5530-9
Product Code:	TEXT/57.E

List Price:	$99.00
MAA Member Price:	$74.25
AMS Member Price:	$74.25

Softcover ISBN:	978-1-4704-6568-1
eBook ISBN:	978-1-4704-5530-9
Product Code:	TEXT/57.S.B

List Price:	$204.00 $154.50
MAA Member Price:	$153.00 $115.88
AMS Member Price:	$153.00 $115.88

Add to cart

Book Details
Table of Contents
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AMS/MAA Textbooks

Volume: 57; 2019; 581 pp

MSC: Primary 62; 97

This is a Revised Edition of: TEXT/14

Mathematical Interest Theory provides an introduction to how investments grow over time. This is done in a mathematically precise manner. The emphasis is on practical applications that give the reader a concrete understanding of why the various relationships should be true. Among the modern financial topics introduced are: arbitrage, options, futures, and swaps. Mathematical Interest Theory is written for anyone who has a strong high-school algebra background and is interested in being an informed borrower or investor. The book is suitable for a mid-level or upper-level undergraduate course or a beginning graduate course.

The content of the book, along with an understanding of probability, will provide a solid foundation for readers embarking on actuarial careers. The text has been suggested by the Society of Actuaries for people preparing for the Financial Mathematics exam. To that end, Mathematical Interest Theory includes more than 260 carefully worked examples. There are over 475 problems, and numerical answers are included in an appendix. A companion student solution manual has detailed solutions to the odd-numbered problems. Most of the examples involve computation, and detailed instruction is provided on how to use the Texas Instruments BA II Plus and BA II Plus Professional calculators to efficiently solve the problems. This Third Edition updates the previous edition to cover the material in the SOA study notes FM-24-17, FM-25-17, and FM-26-17.

Ancillaries:

Readership

Undergraduate and graduate students interested in preparing for the Society of Actuaries (SOA) Financial Mathematics (FM) exam.

Title page
Preface
0. An introduction to the Texas Instruments BA II Plus
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Choosing a calculator
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Font convention
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. BA II Plus basics
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 0
1. The growth of money
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. What is interest ?
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Accumulation and amount functions
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Simple interest / Linear accumulation functions
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Compound interest (The usual case!)
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Interest in advance / The effective discount rate
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Discount functions / The time value of money
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Simple discount
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Compound discount
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Nominal rates of interest and discount
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. A friendly competition \eightpoint(Constant force of interest)
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Force of interest
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Note for those who skipped Sections (1.11) and (1.12)
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Quoted rates for Treasury bills
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Inflation
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Choice of quotation base for interest rates
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 1
2. Equations of value and yield rates
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Equations of value for investments involving a single deposit made under compound interest
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Equations of value for investments with multiple contributions
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Investment return
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Reinvestment considerations
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Dollar-weighted yield rates
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Fund performance
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 2
3. Annuities (annuities certain)
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities-immediate
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities-due
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Perpetuities
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Deferred annuities and values on any date
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Outstanding loan balances
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Nonlevel annuities
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities with payments in geometric progression
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities with payments in arithmetic progression
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Yield rate examples involving annuities
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuity symbols for nonintegral terms
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities governed by general accumulation functions
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The investment year method
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 3
4. Annuities with different payment and conversion periods
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Level annuities with payments less frequent than each interest period
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Level annuities with payments more frequent than each interest period
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities with payments less frequent than each interest period and payments in arithmetic progression
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Annuities with payments more frequent than each interest period and payments in arithmetic progression
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Continuously paying annuities
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. A yield rate example
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 4
5. Loan repayment
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Amortized loans and amortization schedules
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The Sinking Fund method
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Amortized loans with other repayment patterns
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Yield rate examples and replacement of capital
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 5
6. Bonds
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Bond alphabet soup and the basic price formula
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The premium-discount formula
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Other pricing formulas for bonds
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Bond amortization schedules
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Valuing a bond after its date of issue
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Selling a bond after its date of issue
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Yield rate examples
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Callable bonds
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Floating-rate bonds
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The BA II Plus calculator Bond worksheet
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 6
7. Stocks and financial markets
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Common and preferred stock
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Brokerage accounts
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Going long: buying stock with borrowed money
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Selling short: selling borrowed stocks
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 7
8. Arbitrage, term structure of interest rates, and derivatives
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Arbitrage
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The term structure of interest rates
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Loans with floating rate of interest
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Interest rate swaps: the basics
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Formulas for interest rate swaps
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Market value of an interest rate swap
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. More swaps
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Forward contracts
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Commodity futures held until delivery
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Offsetting positions and liquidity of futures contracts
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Price discovery and more kinds of futures
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Options
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Using replicating portfolios to price options
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Using weighted averages to price options
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 8
9. Interest rate sensitivity
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Overview
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Duration
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Convexity
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Using duration to approximate price
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Using duration and convexity to approximate price
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Immunization
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Other types of duration
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 9
10. Determinants of interest rates
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Introduction
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Supply and demand of loans
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Default risk
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Inflation risk
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Banks and other financial intermediaries in the retail sector
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Savings and lending interest rates in the retail sector
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Bonds issued by governments and corporations
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. The role of central banks
\ifnum2>\c@secnumdepth\else\csname thesection\endcsname. Problems, Chapter 10
APPENDICES
A. Some useful formulas
B. Answers to end of chapter problems
Bibliography
Index
About the Authors

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