Investment Science / Edition 2

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Investment Science, Second Edition, provides thorough and highly accessible mathematical coverage of the fundamental topics of intermediate investments, including fixed-income securities, capital asset pricing theory, derivatives, and innovations in optimal portfolio growth and valuation of multi-period risky investments.

Eminent scholar and teacher David G. Luenberger, known for his ability to make complex ideas simple, presents essential ideas of investments and their applications, offering students the most comprehensive treatment of the subject available.

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Editorial Reviews

From the Publisher

"This is the best single volume on investments ever written. It is one of the only books to cover both derivatives and portfolio optimization, and it does not get bogged down with unnecessary notation. It is a real page turner. For non-finance types looking for a serious, rigorous introduction to the subject, look no further."--Wayne Winston, Professor of Decision Sciences, Indiana University

"This book is well written, clear, and cohesive. There is not a single investment textbook that I am aware of that gives such in-depth and organized treatment of the topics chosen by this book. A distinguishing feature is that it gives you every single detail and tool that you would ever need to solve problems."--Raymond Kan, University of Toronto

"Investment Science is a wonderful textbook treatment of investment theory for the quantitatively-minded undergraduate or masters student. This book is typical of David Luenberger's uncanny way of simplifying complex technical material without loss of rigor. He divides and conquers the subject, starting with the basics of simple fixed-income securities, and building up to the valuation and hedging of derivative securities in a dynamic setting under uncertainty. There is a lovely interplay of arbitrage calculations, portfolio selection for individual investors, and market equilibrium. The book will be especially valuable for those entering the subject from other quantitative fields."--Darrell Duffie, Stanford University Graduate School of Business

"Options and continuous-time finance are important enough to warrant a whole course in MBA programs. David Luenberger's book makes continuous time finance accessible to any student who has mastered elementary calculus and probability theory, and motivates the subject by using it to solve a broad range of option-type problems relating to stock, bond, and commodity markets."--Jack Treynor, President, Treynor Capital Management, Inc.

"This textbook takes a refreshing approach to the science of investing. It is extremely well-written. Financial principles and ideas are laid out clearly and in an orderly fashion." -- Joseph Cherian, Department of Finance, School of Management, Boston University

"The book is very clearly written and introduces advanced concepts (e.g. duration and convexity of bonds) in relatively simple and intuitive ways early in the book. There are lots of carefully thought out examples to illustrate important points and applications of particular methodologies. Overall, the book does a great job of taking a reader who knows essentially nothing about finance from very basic concepts up through rather advanced valuation topics."--James E. Hodder, University of Wisconsin-Madison

"This text is a breakthrough in the organization of very important theory."--Lloyd Nirenberg, Director, Business Development, National Semiconductor Corp.

"This book provides great insights and practical approaches for anyone interested in the relation between markets and decisions. It is written in a unique and creative manner." --Nick V. Arvanitidis, CEO,IDEA GmbH., and Former CEO, Sequus Pharmaceuticals

"Luenberger's book is very informative and offers genuinely new insights into important investment problems."--Paul McEntire, Chairman, Skye Investment Advisors LLC

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Product Details

  • ISBN-13: 9780199740086
  • Publisher: Oxford University Press
  • Publication date: 6/24/2013
  • Edition description: New Edition
  • Edition number: 2
  • Pages: 640
  • Sales rank: 267,233
  • Product dimensions: 7.80 (w) x 9.40 (h) x 1.30 (d)

Meet the Author

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

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Table of Contents


1. Introduction

2. The Basic Theory of Interest
3. Fixed Income Securities
4. The Term Structure of Interest Rates
5. Applied Interest Rate Analysis

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

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

18. Optimal Portfolio Growth
19. General Investment Evaluation

APPENDIX A: Basic Probability Theory

APPENDIX B: Calculus and Optimization

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The book endeavors to emphasize fundamental principles and to illustrate how these principles can be mastered and transformed into sound and practical solutions of actual investment problems. The book's organizational structure reflects this approach: the material covered in the chapters progresses from the simplest in concept to the more advanced. Particular financial products and investment problems are treated, for the most part, in the order that they fall along this line of conceptual progression, their analyses serving to illustrate concepts as well as to describe particular features of the investment environment.
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