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Module Reading List

Interest Rates and Cashflow Modelling, 2021/22, Semester 2
Dr Esmaeil Babaei Khezerloo
Tutor information is taken from the Module Catalogue

The MATH1515 module is based on the following books: 1. Samuel A. Broverman, Mathematics of Investment and Credit, 4th ed., ACTEX Publications, 2008. ISBN 978-1-56698-657-1.  
2. Institute and Faculty of Actuaries, Subject CT1 - Financial Mathematics 2015 Syllabus.
3. Stephen G. Kellison, The Theory of Interest, 3rd ed., McGraw-Hill, 2009. ISBN 978-007-127627-6.  

4. John McCutcheon and William F. Scott, An Introduction to the Mathematics of Finance, Elsevier Butterworth-Heinemann, 1986. ISBN 0-7506-0092-6.  

5. Petr Zima and Robert L. Brown, Mathematics of Finance, 2nd ed., Schaum's Outline Series, McGraw-Hill, 1996. ISBN 0-07-008203.

6. Stephen Garrett, Introduction to the Mathematics of Finance: A Deterministic Approach, 2nd Edition. Published for the Institute and Faculty of Actuaries, Elsevier, 2013, ISBN 9780080982403. Available online

The syllabus for the module is based on Units 1-9 and Unit 11 of book 2, and the lecture content is largely based on book 4. Book 6 (available online) is an update to book 4, and "contains a set of subjects that will be very close most actuaries' hearts, being a text book aimed at covering the CT1 syllabus."
Book 5 contains many exercises, but does not go quite as deep. Book 3 is written from a U.S. perspective, so the terminology is slightly different, but it has some good explanations. Book 1 is written by a professor from a U.S./Canadian  background and is particularly good in making connections to applications.

This list was last updated on 17/03/2021