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