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Cover

Investment Science

Second Edition

David G. Luenberger

Publication Date - 24 June 2013

ISBN: 9780199740086

640 pages
Hardcover
7-1/2 x 9-1/4 inches

In Stock

"Luenberger's Investment Science has set the standard as the best introduction to financial modeling. Every student who needs to really understand how to model investment problems should start here."--Darrell Duffie, Stanford University

Description

Investment Science, Second Edition, provides thorough and highly accessible mathematical coverage of the fundamental topics of intermediate investments, including fixed-income securities, capital asset pricing theory, derivatives, and innovations in optimal portfolio growth and valuation of multi-period risky investments.

Eminent scholar and teacher David G. Luenberger, known for his ability to make complex ideas simple, presents essential ideas of investments and their applications, offering students the most comprehensive treatment of the subject available.

New to this Edition

  • Three new chapters: Risk Management, Credit Risk, and Data and Statistics
  • Updated content and expanded coverage of many topics, including the capital asset pricing model, projection pricing, the Black-Scholes equation, computational methods, real options, the characterization of volatility, parameter estimation, and portfolio design
  • New exercises reflecting advances in theory and practice provide opportunities to explore a wide range of concepts

About the Author(s)

David G. Luenberger is Professor of Management Science and Engineering at Stanford University.

Previous Publication Date(s)

July 1997

Table of Contents

    PREFACE

    1. Introduction

    PART I. DETERMINISTIC CASH FLOWS
    2. The Basic Theory of Interest
    3. Fixed Income Securities
    4. The Term Structure of Interest Rates
    5. Applied Interest Rate Analysis

    PART II. SINGLE-PERIOD RANDOM CASH FLOWS
    6. Mean-Variance Portfolio Theory
    7. The Capital Asset Pricing Model
    8. Other Pricing Models
    9. Data and Statistics
    10. Risk Measures
    11. General Principles

    PART III. DERIVATIVE SECURITIES
    12. Forwards, Futures, and Swaps
    13. Models of Asset Dynamics
    14. Basic Options Theory
    15. Additional Options Topics
    16. Interest Rate Derivatives
    17. Credit Risk

    PART IV. GENERAL CASH FLOW STREAMS
    18. Optimal Portfolio Growth
    19. General Investment Evaluation

    APPENDIX A: Basic Probability Theory

    APPENDIX B: Calculus and Optimization

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