ISBN: 9780195108095
Investment Science
Luenberger, David G.
ISBN 10: 0195108094 / 0-19-510809-4ISBN 13: 9780195108095
Publication Date: 1997
Binding: Hardcover
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1.Introduction 1.1. Cash Flows 1.2. Investments and Markets 1.3. Typical Investment Problems 1.4. Organization of the Book I. Deterministic Cash Flow Streams 2. The Basic Theory of Interest 2.1. Principal and Interest 2.2. Present Value 2.3. Present and Future Values of Streams 2.4. Internal Rate of Return 2.5. Evaluation Criteria 2.6. Applications and Extensions 2.7. Summary 2.8. Exercises 3. Fixed-Income Securities 3.1. The Market for Future Cash 3.2. Value Formulas 3.3. Bond Details 3.4. Yield 3.5. Duration 3.6. Immunization 3.7. Convexity 3.8. Summary 3.9. Exercises 4. The Term Structure of Interest Rates 4.1. The Yield Curve 4.2. The Term Structure 4.3. Forward Rates 4.4. Term Structure Explanations 4.5. Expectation Dynamics 4.6. Running Present Value 4.7. Floating Rate Bonds 4.8. Duration 4.9. Immunization 4.10. Summary 4.11. Exercises 5. Applied Interest Rate Analysis 5.1. Capital Budgeting 5.2. Optimal Portfolios 5.3. Dynamic Cash Flow Processes 5.4. Optimal Management 5.5. The Harmony Theorem 5.6. Valuation of a Firm 5.7. Summary 5.8. Exercises II. Single-Period Random Cash Flows 6. Mean-Variance Portfolio Theory 6.1. Asset Return 6.2. Random Variables 6.3. Random Returns 6.4. Portfolio Mean and Variance 6.5. The Feasible Set 6.6. The Markowitz Model 6.7. The Two-Fund Theorem 6.8. Inclusion of a Risk-Free Asset 6.9. The One-Fund Theorem 6.10. Summary 6.11. Exercises 7. The Capital Asset Pricing Model 7.1. Market Equilibrium 7.2. The Capital Market Line 7.3. The Pricing Model 7.4. The Security Market Line 7.5. Investment Implications 7.6. Performance Evaluation 7.7. CAPM as a Pricing Formula 7.8. Project Choice 7.9. Summary 7.10. Exercises 8. Models and Data 8.1. Introduction 8.2. Factor Models 8.3. The CAPM as a Factor Model 8.4. Arbitrage Pricing Theory 8.5. Data and Statistics 8.6. Estimation of Other Parameters 8.7. Tilting Away from Equilibrium 8.8. A Multiperiod Fallacy 8.9. Summary 8.10. Exercises 9. General Principles 9.1. Introduction 9.2. Utility Functions 9.3. Risk Aversion 9.4. Specification of Utility Functions 9.5. Utility Functions and the Mean-Variance Criterion 9.6. Linear Pricing 9.7. Portfolio Choice 9.8. Log-Optimal Pricing 9.9. Finite State Models 9.10. Risk-Neutral Pricing 9.11. Pricing Alternatives 9.12. Summary 9.13. Exercises III. Derivative Securities 10. Forwards, Futures, and Swaps 10.1. Introduction 10.2. Forward Contracts 10.3. Forward Prices 10.4. The Value of a Forward Contract 10.5. Swaps 10.6. Basics of Futures Contracts 10.7. Futures Prices 10.8. Relation to Expected Spot Price 10.9. The Perfect Hedge 10.10. The Minimum-Variance Hedge 10.11. Optimal Hedging 10.12. Hedging Nonlinear Risk 10.13. Summary 10.14. Exercises 11. Models of Asset Dynamics 11.1. Binominal Lattice Model 11.2. The Additive Model 11.3. The Multiplicative Model 11.4. Typical Parameter Values 11.5. Lognormal Random Variables 11.6. Random Walks and Wiener Processes 11.7. A Stock Price Process 11.8. Ito's Lemma 11.9. Binomial Lattice Revisited 11.10. Summary 11.11. Exercises 11.12. References 12. Basic Options Theory 12.1. Option Concepts 12.2. The Nature of Option Value 12.3. Option Combinations and Put-Call Parity 12.4. Early Exercise 12.5. Single-Period Binomial Options Theory 12.6. Multiperiod Options 12.7. More General Binomial Problems 12.8. Evaluating Real Investment Opportunities 12.9. General Risk-Neutral Pricing 12.10. Summary 12.11. Exercises 12.12. References 13. Addit
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Book Description: Oxford University Press, USA. Hardcover. Book Condition: New. 0195108094 ****BRAND NEW BOOK**** Investment Science by David G. Luenberger. With Investment Science, David G. Luenberger offers an introduction to the fundamentals of investment science, covering such topics as fixed-income securities, interest, portfolio growth, asset dynamics and derivative securities. Bookseller Inventory # B9780195108095 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, 1997. Gebunden. Book Condition: New. - Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. End-of-chapter exercises are also included to help individuals get a better grasp on investment science. Englisch. Bookseller Inventory # 9780195108095 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, 1997. Gebunden. Book Condition: New. - Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. End-of-chapter exercises are also included to help individuals get a better grasp on investment science. Englisch. Bookseller Inventory # 9780195108095 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Gb, Oxford University Press, 1997. Gebunden. Book Condition: New. 24,5 cm. - Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. End-of-chapter exercises are also included to help individuals get a better grasp on investment science. 494 pp. Englisch. Bookseller Inventory # 9780195108095 [Bookseller & Payment Information] [More Books from this Seller] [Ask Bookseller a Question] |
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Book Description: Oxford University Press, USA, 1997. Hardcover. Book Condition: New. 196mm x 29mm x 243mm. Fueled in part by some extraordinary theoretical developments in finance, an explosive growth of information and computing technology, and the global expansion of investment activity, investment theory currently commands a high level of intellectual attention. Recent developments in the fieldare being infused into university classrooms, financial service organizations, business ventures, and into the awareness of many individual investors. Modern investment theory using the language of mathematics is now an essential aspect of academic and practitioner training. Representing a breakthrough in the organization of finance topics, Investment Science will be an indispensable tool in teaching modern investment theory. It presents sound fundamentals and shows how real problems can be solved with modern, yet simple, methods. David Luenberger gives thorough yethighly accessible mathematical coverage of standard and recent topics of introductory investments: fixed-income securities, modern portfolio theory and capital asset pricing theory, derivatives (futures, options, and swaps), and innovations in optimal portfolio growth and valuation of multiperiodrisky investments. Throughout the book, he uses mathematics to present essential ideas of investments and their applications in business practice. The creative use of binomial lattices to formulate and solve a wide variety of important finance problems is a special feature of the book. In moving from fixed-income securities to derivatives, Luenberger increases naturally the level of mathematical sophistication, but never goes beyond algebra, elementary statistics/probability, and calculus. He includes appendices onprobability and calculus at the end of the book for studentreference. Creative examples and end-of-chapter exercises are also included to provide additional applications of principles given in the text. Ideal for investment or investment management courses in finance, engineering economics, operations research, and management science departments, Investment Science has been successfully class-tested at Boston University, | |||||