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
- Introduction
PART I DETERMINISTIC CASH FLOWS
- The Basic Theory of Interest
- Fixed-Income Securities
- The Term Structure of Interest Rates
- Applied Interest Rate Analysis
PART II SINGLE-PERIOD RANDOM CASH FLOWS
- Mean-Variance Portfolio Theory
- The Capital Asset Pricing Model
- Models and Data
- General Principles
PART III DERIVATIVE SECURITIES
- Forwards and Futures
- Models of Asset Dynamics
- Basic Options Theory
- Additional Options Topics
- Interest-Rate Derivatives
PART IV GENERAL INVESTMENTS
- Optimal Portfolio Growth
- General Investment Evaluation
APPENDICES
- Basic Probability Theory
- Calculus and Optimization
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