Fixed Income Mathematics

By

  • Robert Zipf, Scarsdale, New York, U.S.A.

An introduction to common fixed income instruments and mathematics, this book offers explanations, exercises, and examples without demanding sophisticated mathematics. Not only does the author use his business and teaching experience to highlight the fundamentals of investment and management decision-making, but he also offers questions and exercises that suggest the applicability of fixed income mathematics. Written for the reader with a general mathematics background, this self-teaching book is suffused with examples that also make it a handy reference guide. It should serve as a gateway to financial mathematics and to increased competence in business analysis.
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Audience

Professional Insurance and other actuarials who invest in bonds and who are concerned with inflation, asset-liability management, the time value of money, interest rates, rates of return, risk, and investment income; people seeking a general introduction or overview of the subject and MBA students.

 

Book information

  • Published: May 2003
  • Imprint: ACADEMIC PRESS
  • ISBN: 978-0-12-781721-7


Table of Contents

IntroductionInterestCompound InterestPresent Value]Annuities CertainBond Price CalculationFuture Value of AnnuityAccrued InterestDiscount SecuritiesCalculations for Other SecuritiesQuotationsTypes of YieldsSources of ReturnVolatility and Its MeasuresDurationConvexityCalculus DerivationProbability ApplicationsTerm Structure of Interest RatesUncertain and Variable Cash FlowsMortgage Backed SecuritiesFuturesOptionsBibliography