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