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Investment Mathematics

Investment Mathematics

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

ISBN: 978-0-470-85918-6

Jul 2003

436 pages

$59.99

Description

Investment Mathematics provides an introductory analysis of investments from a quantitative viewpoint, drawing together many of the tools and techniques required by investment professionals.
Using these techniques, the authors provide simple analyses of a number of securities including fixed interest bonds, equities, index-linked bonds, foreign currency and derivatives. The book concludes with coverage of other applications, including modern portfolio theory, portfolio performance measurement and stochastic investment models.

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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.

  • Clearly explains the basics of investment mathematics and statistics
  • Provides numerous practical examples
  • Self-contained chapters so that reader can choose appropriate path based on own needs
  • Excel spreadsheets containing worked examples
  • Questions and answers section