异步年金的数学

IF 1.4 4区经济学 Q3 BUSINESS, FINANCE

SIAM Journal on Financial Mathematics Pub Date : 2007-07-16 DOI:10.2139/ssrn.1001145

Chris Deeley

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引用次数: 0

摘要

非同步年金的定义是现金流的频率不同于复利的频率。计算这类年金的现值和未来价值的传统方法是将利率(或回报率)计入现金流期，然后将其插入标准年金方程中。当现金流的频率超过复利的频率时，该方法产生的结果不准确。在确定这些不准确的来源之后，本文开发并论证了一种新的方法，当现金流量的频率超过复利的频率时，可以准确地解决年金问题。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Mathematics of Asynchronous Annuities

Asynchronous annuities are defined as those in which the frequency of cash flows differs from the frequency of interest compounding. The conventional approach to calculating the present and future values of such annuities is to impute a rate of interest (or return) to a cash flow period, which is then inserted into standard annuity equations. The method produces inaccurate results when the frequency of cash flows exceeds the frequency of interest compounding. After identifying the source of those inaccuracies, this paper develops and demonstrates a new approach to accurately solving annuity problems when the frequency of cash flows exceeds the frequency of interest compounding.

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来源期刊

SIAM Journal on Financial Mathematics MATHEMATICS, INTERDISCIPLINARY APPLICATIONS-

CiteScore

2.30

自引率

10.00%

发文量

期刊介绍： SIAM Journal on Financial Mathematics (SIFIN) addresses theoretical developments in financial mathematics as well as breakthroughs in the computational challenges they encompass. The journal provides a common platform for scholars interested in the mathematical theory of finance as well as practitioners interested in rigorous treatments of the scientific computational issues related to implementation. On the theoretical side, the journal publishes articles with demonstrable mathematical developments motivated by models of modern finance. On the computational side, it publishes articles introducing new methods and algorithms representing significant (as opposed to incremental) improvements on the existing state of affairs of modern numerical implementations of applied financial mathematics.