Математика финансов и инвестиций (Mathematics of Finance and Investment) - учебный курс | ИСТИНА – Интеллектуальная Система Тематического Исследования НАукометрических данных

Автор: Фалин Г.И.
Год создания: 2014
Организация: МГУ имени М.В. Ломоносова
Курс на иностранном языке
Описание: The module is delivered in English. SUMMARY: This module provides a grounding in mathematical models in finance and investment and their simple applications. It is based on the material covered by the Subject CT1 (Financial Mathematics) of The Institute and Faculty of Actuaries (UK). SYLLABUS: •the notions of nominal and effective rates of interest/ discount, the force of interest, the rates payable p times per time period, real and money interest rates, stochastic interest rates, the term structure of interest rates (spot rates, forward rates) •the present value and the accumulated value of a general cash flow, level annuities, increasing annuities, continuous annuities for level rates of interest, varying rates, continuously varying rates, stochastic rates of interest; •analysis of a loan that is paid off by regular instalments of interest and capital, calculate a schedule of repayments; •an equation of value, investment project appraisal, payback period and discounted payback period, the duration and convexity of a cash flow, their role in the immunisation; •money-weighted rate of return, the time-weighted rate of return and the linked internal rate of return on an investment or a fund •arbitrage, hedging, calculation of the delivery price and the value of a forward contract using arbitrage free pricing methods; •application of the theory of compound interest to solving of elementary financial problems: the present value of yield from payments from a fixed interest security, an ordinary share, an index-linked bond, a property (taking into account the rate of inflation, income tax, capital gains tax). RECOMMENDED READING: 1.J.J. McCutcheon, W.F. Scott. An Introduction to the Mathematics of Finance. Oxford, Butterworth-Heinemann Ltd, 1986. 2.The Actuarial Profession (The Faculty of Actuaries and Institute of Actuaries). Subject CT1: Financial Mathematics. Core Technical. Core Reading for the 2010 Examinations, 2009. 3. Jitse Niesen. Financial Mathematics I (MATH1510). Study Notes, University of Leeds, 2012. 4. R.J.Reed. Actuarial Methods (ST334). Study Notes, University of Warwick, 2012.
Добавил в систему: Фалин Геннадий Иванович

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Математика финансов и инвестиций (Mathematics of Finance and Investment)учебный курс

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