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Investment Science

by David G. Luenberger

  • ISBN: 9780195108095
  • ISBN10: 0195108094

Investment Science

by David G. Luenberger

  • List Price: $149.95
  • Binding: Hardcover
  • Publisher: Oxford Univ Pr
  • Publish date: 06/01/1997
  • ISBN: 9780195108095
  • ISBN10: 0195108094
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Description: 1.Introduction1.1. Cash Flows1.2. Investments and Markets1.3. Typical Investment Problems1.4. Organization of the BookI. Deterministic Cash Flow Streams2. The Basic Theory of Interest2.1. Principal and Interest2.2. Present Value2.3. Present and Future Values of Streams2.4. Internal Rate of Return2.5. Evaluation Criteria2.6. Applications and Extensions2.7. Summary2.8. Exercises3. Fixed-Income Securities3.1. The Market for Future Cash3.2. Value Formulas3.3. Bond Details3.4. Yield3.5. Duration3.6. Immunization3.7. Convexity3.8. Summary3.9. Exercises4. The Term Structure of Interest Rates4.1. The Yield Curve4.2. The Term Structure4.3. Forward Rates4.4. Term Structure Explanations4.5. Expectation Dynamics4.6. Running Present Value4.7. Floating Rate Bonds4.8. Duration4.9. Immunization4.10. Summary4.11. Exercises5. Applied Interest Rate Analysis5.1. Capital Budgeting5.2. Optimal Portfolios5.3. Dynamic Cash Flow Processes5.4. Optimal Management5.5. The Harmony Theorem5.6. Valuation of a Firm5.7. Summary5.8. ExercisesII. Single-Period Random Cash Flows6. Mean-Variance Portfolio Theory6.1. Asset Return6.2. Random Variables6.3. Random Returns6.4. Portfolio Mean and Variance6.5. The Feasible Set6.6. The Markowitz Model6.7. The Two-Fund Theorem6.8. Inclusion of a Risk-Free Asset6.9. The One-Fund Theorem6.10. Summary6.11. Exercises7. The Capital Asset Pricing Model7.1. Market Equilibrium7.2. The Capital Market Line7.3. The Pricing Model7.4. The Security Market Line7.5. Investment Implications7.6. Performance Evaluation7.7. CAPM as a Pricing Formula7.8. Project Choice7.9. Summary7.10. Exercises8. Models and Data8.1. Introduction8.2. Factor Models8.3. The CAPM as a Factor Model8.4. Arbitrage Pricing Theory8.5. Data and Statistics8.6. Estimation of Other Parameters8.7. Tilting Away from Equilibrium8.8. A Multiperiod Fallacy8.9. Summary8.10. Exercises9. General Principles9.1. Introduction9.2. Utility Functions9.3. Risk Aversion9.4. Specification of Utility Functions9.5. Utility Functions and the Mean-Variance Criterion9.6. Linear Pricing9.7. Portfolio Choice9.8. Log-Optimal Pricing9.9. Finite State Models9.10. Risk-Neutral Pricing9.11. Pricing Alternatives9.12. Summary9.13. ExercisesIII. Derivative Securities10. Forwards, Futures, and Swaps10.1. Introduction10.2. Forward Contracts10.3. Forward Prices10.4. The Value of a Forward Contract10.5. Swaps10.6. Basics of Futures Contracts10.7. Futures Prices10.8. Relation to Expected Spot Price10.9. The Perfect Hedge10.10. The Minimum-Variance Hedge10.11. Optimal Hedging10.12. Hedging Nonlinear Risk10.13. Summary10.14. Exercises11. Models of Asset Dynamics11.1. Binominal Lattice Model11.2. The Additive Model11.3. The Multiplicative Model11.4. Typical Parameter Values11.5. Lognormal Random Variables11.6. Random Walks and Wiener Processes11.7. A Stock Price Process11.8. Ito''s Lemma11.9. Binomial Lattice Revisited11.10. Summary11.11. Exercises11.12. References12. Basic Options Theory12.1. Option Concepts12.2. The Nature of Option Value12.3. Option Combinations and Put-Call Parity12.4. Early Exercise12.5. Single-Period Binomial Options Theory12.6. Multiperiod Options12.7. More General Binomial Problems12.8. Evaluating Real Investment Opportunities12.9. General Risk-Neutral Pricing12.10. Summary12.11. Exercises12.12. References13. Additional Options Topics13.1. Introduction13.2. The Black-Scholes Equation13.3. Call Option Formula13.4. Risk-Neutral Valuation13.5. Delta13.6. Replication, Synthetic Options, and Portfolio Insurance/st13.7. Computational Methods13.8. Exotic Options13.9. Storage Costs and Dividends13.10. Martingale Pricing13.11. Summary13.12. Exercises13.13. References14. Interest Rate Derivatives14.1. Examples of Interest-Rate Derivatives14.2. The Need for a Theory14.3. The Binomial Approach14.4. Pricing Applications14.5. Leveling and Adjustable-Rate Loans14.6. The Forward Equation14.7. Matching the Term Structure14.8. Immunization14.9. Collateralized Mortgage Obligations14.10. Models of Interest Rate Dynamics14.11. Continuous-Time Solutions14.12. Summary14.13. Exercises14.14. ReferencesIV. General Cash Flow Streams15. Optimal Portfolio Growth15.1. The Investment Wheel15.2. The Log Utility Approach to Growth15.3. Properties of the Log-Optimal Strategy15.4. Alternative Approaches15.5. Continuous-Time Growth15.6. The Feasible Region15.7. The Log-Optimal Pricing Formula15.8. Log-Optimal Pricing and the Black-Scholes Equation15.9. Summary15.10. Exercises15.11. References16. General Investment Evaluation16.1. Multiperiod Securities16.2. Risk-Neutral Pricing16.3. Optimal Pricing16.4. The Double Lattice16.5. Pricing in a Double Lattice16.6. Investments with Private Uncertainty16.7. Buying Price Analysis16.8. Continuous-Time Evaluation16.9. Summary16.10. Exercises16.11. ReferencesA. Basic Probability TheoryA.1. General ConceptsA.2. Normal Random VariablesA.3. Lognormal Random VariablesB. Calculus and OptimizationB.1. FunctionsB.2. Differential CalculusB.3. Optimization
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