上财系列保险精算班利息理论讲义.ppt

Introduction to Financial Mathematics 李社环 上海财经大学金融学院保险系 2010年9月 Lecture 1 An introduction Aims What? Why? How? References An introduction to interest An introduction to financial market Structure and CONTENTS Structure and CONTENTS What? (Part I) cash-flow model and financial transactions Value of money , Value of a cash-flow interest rates and return formulae of value determination and equation of value What? (Part II) How to calculate a schedule of repayments under a loan How to appraise an investment project How to calculate an ordinary share and a property or other financial assets What? (Part IIIIV) How to calculate the delivery price and the value of a forward contract? How to price the value of a future contract? How to measure the impact of taxation and inflation on yields of investment? How to measure and control risk of interest rates the term structure of interest rates simple stochastic interest rate models Application In insurance industry Annuities Pricing of insurance products Asset liability management Insolvency management …… In banking industry Loan schedule Asset liability management Interest risk management: measurement of risk and immunity Determination of yields …… In security exchange industry Determination of yields Appraisal of financial investment ? Appraisal of fund management ? pricing of securities ? Financial risk management: pricing of risk transferring, like pricing of derivatives ?? …… In? others industries Appraisal of business investment Enterprise risk management ? …… Why ? How? Three Steps Write down cashflows related Make up a equation Solve the equation References S.G. Kellison, The Theory of Interest, RICHARD D. IRWIN, INC. 1991 The Theory of Interest, The Actuary Education Company, (精算中心) Financial Mathematics? (精算中心) 孟生旺 袁卫，《利息理论及其应用》，中国人民大学出版社 中国证券业协会，《固定收益证券估值与分析》， 中国人民大学证券研究所，《证券市场分析》，中国人民大学出版社 .au/ .uk/Display_Page.cgi?url=/students/