Investment Mathematics

by Adams, Andrew T.; Booth, Philip M.; Bowie, David C.; Freeth, Della S.

• ISBN13: 9780471998822
• ISBN10: 0471998826
• Edition: 1st
• Format: Paperback
• Copyright: 2003-03-07
• Publisher: WILEY

Summary

This work provides a thorough grounding in investment mathematics together with applications in the investment area. The book is designed for students of finance and investment, and will prove an essential source of reference for practitioners within the securities and investment industry worldwide.Investment Mathematics is divided into three parts. Part I looks at the fundamental analysis of investments from a mathematical viewpoint, relying heavily on compound interest techniques which are developed in the first chapter. The material is presented in such a way that those without formal training in mathematics will be able to follow the text without difficulty.Part II provides the necessary statistical background for investment specialists. Like Part I, the approach assumes little formal mathematical training. Finally, the book deals with a number of specialist topics which are applications of the material covered earlier, including modern portfolio theory and asset pricing, market indices, portfolio performance measurement, stochastic investment models and the theoretical pricing of options.Investment Mathematics is an accessible text which will provide readers with a sound analytical framework within which the valuation of investments and investment in a wider context may be studied.

Author Biography

<B>ANDREW ADAMS</B> is Senior Lecturer in Finance and Director of the Centre for Financial Markets Research at the University of Edinburgh. He has studied financial markets for over thirty years, as a practitioner in the City of London and as an academic. His research interests focus mainly on investment trust pricing and risk.

Table of Contents

Preface.

Acknowledgements.

PART I: SECURITY ANALYSIS.

Compound Interest.

Fixed-interest Bonds.

Equities and Real Estate.

Real Returns.

Index-linked Bonds.

Foreign Currency Investments.

Derivative Securties.

PART II: STATISTICS FOR INVESTMENT.

Describing Investment Data.

Modelling Investment Returns.

Estimating Parameters and Hypothesis Testing.

Measuring and Testing Comovements in Returns.

PART III: APPLICATIONS.

Modern Portfolio Theory and Asset Pricing.

Market Indices.

Portfolio Performance Measurement.

Bond Analysis.

Option Pricing Models.

Stochastic Investment Models.

Compound Interest Tables.

Student's t Distribution: Critical Points.

Areas in the Right-hand Tail of the Normal Distribution.

Index.