John E Freund's Mathematical Statistics with applications: (7th or later Ed.), ...
Schaum's Outlines of Mathematics of Finance: P. Zima & R.L. Brown (McGraw-
Hill).
MSc/Diploma in Actuarial Science 2010-2011
Short version of booklist
NB Tuition materials marked # are provided by the Department Code: *** Essential reading 1.
** Useful reading
* Background reading
Statistical Methods (F71SM) / Further Statistical Methods (F71SN) John E Freund’s Mathematical Statistics with applications: (7th or later Ed.), Miller & Miller, Pearson/Prentice-Hall. New Cambridge Statistical Tables: (2nd Ed.), Lindley and Scott, C.U.P. Formulae and Tables for Actuarial Examinations (“Yellow Book”). Essential Statistics: (4th or later Ed.), Rees, Chapman and Hall.
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Financial Mathematics (F71AB) Introduction to the Mathematics of Finance: J. J. McCutcheon & W.F. Scott, Butterworth Heinemann. Formulae and Tables for Actuarial Examinations (“Yellow Book”). Schaum's Outlines of Mathematics of Finance: P. Zima & R.L. Brown (McGraw-Hill). Stochastic Modelling (F71SZ) Probability and Random Processes: (2nd Ed.), G.R. Grimmet & D.R. Stirzaker, O.U.P. Stochastic Processes: S.M. Ross, Wiley. Stochastic Differential Equations: (2nd Ed.) B. Oskendal, Springer. Probability with Martingales: D. Williams, C.U.P. Stochastic Processess: J. L. Doob, Wiley 1953. A Second Course in Stochastic Processes: S. Karlin and H. M. Taylor, Academic Press. Life Insurance Mathematics 1 (F71AF) / Life Insurance Mathematics 2 (F71BF) Actuarial Mathematics for Life Contingent Risks: M.R.Hardy, D.C.M.Dickson & H.R.Waters, C.U.P Additional course notes will be provided in class.
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Risk Theory (F71AG) / Time Series Analysis (F71TS) Insurance Risk and Ruin: D.C.M. Dickson, D.U.P. 2005. Time Series Analysis: Box, G.E.P. and Jenkins, G.M. (1976), Holden-Day. Time Series Analysis: Hamilton, J.D. (1994), Prinston. The Econometric Modelling of Financial Time Series: Mills, T.C. (1999), C.U.P.
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Financial Economics 1 (F71AH) Modern Portfolio Theory and Investment Analysis: (6th Ed.), Elton & Gruber, Wiley.
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Financial Economics 2 (F71AJ) Options, Futures and other Derivatives: (5th Ed.), Hull, Prentice Hall. Stochastic Calculus: Baxter & Rennie. Investment Science: D.G. Luenberger, O.U.P.
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Economics (C21AO) Essentials of Economics: (5th Ed.) J.Sloman & D.Garratt, Prentice Hall 2010.
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Finance and Financial Reporting (C31FF) Interpreting Company Reports & Accounts: (9th Ed.), G. Holmes & A. Sugden, Financial Times/Prentice Hall. Accounting for Non-Accounting Students: (7th Ed.), J. Dyson, Prentice Hall 2007. Accounting and Finance for Non-Specialists: (6th Ed.), P. Atrill & E.McLaney, Prentice Hall
10. Survival Models (F71AE) Course notes will be provided in class.
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