Investment Science

David G. Luenberger
Oxford University Press, New York, 1997.

 

From the introduction: Investment Science is the application of scientific principles to investments. The scientific tools used are primarily mathematical, but only a modest level of mathematics is required to understand the primary concepts discussed in this book. The purpose of this book is to convey both the principles of investment science and an understanding of how these principles can be used in practice to make calculations that lead to good investment decisions.

CONTENTS

  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. Models and Data
  9. General Principles

    PART III DERIVATIVE SECURITIES

  10. Forwards and Futures
  11. Models of Asset Dynamics
  12. Basic Options Theory
  13. Additional Options Topics
  14. Interest-Rate Derivatives

    PART IV GENERAL INVESTMENTS

  15. Optimal Portfolio Growth
  16. General Investment Evaluation

    APPENDICES

  1. Basic Probability Theory
  2. Calculus and Optimization