Investment Science

Hardcover | June 19, 2013

byDavid G. Luenberger

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David G. Luenberger's Investment Science has become the dominant seller in Master of Finance programs, Senior or Masters level engineering, economics and statistics programs, as well as the programs in Financial Engineering. The author gives thorough yet highly accessible mathematical coverage of the fundamental 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 andvaluation of multi period risky investments. Throughout the text, Luenberger uses mathematics to present essential ideas about investments and their applications in business practice. The new edition is updated to include the significant advances in financial theory and practice. The text now includes two new chapters on Risk Measurement and Credit Risk and the expanded use of so-called real options, the characterization of volatility changes, and methods for incorporating suchbehavior in valuation. New exercise material and modifications to reflect the most recent financial changes have been made to nearly all chapters in this second edition.

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David G. Luenberger's Investment Science has become the dominant seller in Master of Finance programs, Senior or Masters level engineering, economics and statistics programs, as well as the programs in Financial Engineering. The author gives thorough yet highly accessible mathematical coverage of the fundamental topics of introductory ...

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

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Format:HardcoverDimensions:672 pages, 9.25 × 7.5 × 0.98 inPublished:June 19, 2013Publisher:Oxford University PressLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:0199740089

ISBN - 13:9780199740086

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Table of Contents

1. IntroductionPart I: Deterministic Cash Flows2. The Basic Theory of Interest3. Fixed Income Securities4. The Term Structure of Interest Rates5. Applied Interest Rate AnalysisPart II: Single-Period Random Cash Flows6. Mean-Variance Portfolio Theory7. The Capital Asset Pricing Model8. Other Pricing Models9. Data and Statistics10. Risk Measures11. General PrinciplesPart III: Derivative Securities12. Forwards, Futures, and Swaps13. Models of Asset Dynamics14. Basic Options Theory15. Addiional Options Topics16. Interest Rate Derivatives17. Credit RiskPart IV: General Cash Flow Streams18. Optimal Portfolio Growth19. General Investment EvaluationAppendix A: Basic Probability TheoryAppendix B: Calculus and Optimization