Investment science
著者
書誌事項
Investment science
Oxford University Press, c2014
2nd ed
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注記
Includes bibliographical references and index
収録内容
- Preface
- Introduction
- Deterministic cash flowstreams
- The basic theory of interest
- Fixed-income securities
- The term structure of interest rates
- Applied interest rate analysis
- Single-period random cash flows
- Mean-variance portfolio theory
- The capital asset pricing model
- Other pricing models
- Data and statistics
- Risk measures
- General principles
- Derivative securities
- Forwards, futures,and swaps
- Models of asset dynamics
- Basic options theory
- Additional options topics
- Interest rate derivatives
- Credit risk
- General cash flowstreams
- Optimal portfolio growth
- General investment evaluation
内容説明・目次
内容説明
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. New to this edition Three new chapters: Risk Management, Credit Risk, and Data and Statistics Updated content and expanded coverage of many topics, including the capital asset pricing model, projection pricing, the Black-Scholes equation, computational methods, real options, the characterization of volatility, parameter estimation, and portfolio design New exercises reflecting advances in theory and practice provide opportunities to explore a wide range of concepts
目次
PREFACE1. Introduction PART I. DETERMINISTIC CASH FLOWS2. The Basic Theory of Interest3. Fixed Income Securities4. The Term Structure of Interest Rates5. Applied Interest Rate Analysis PART II. SINGLE-PERIOD RANDOM CASH FLOWS6. Mean-Variance Portfolio Theory7. The Capital Asset Pricing Model8. Other Pricing Models9. Data and Statistics10. Risk Measures11. General Principles PART III. DERIVATIVE SECURITIES12. Forwards, Futures, and Swaps13. Models of Asset Dynamics14. Basic Options Theory15. Additional Options Topics16. Interest Rate Derivatives17. Credit Risk PART IV. GENERAL CASH FLOW STREAMS18. Optimal Portfolio Growth19. General Investment Evaluation APPENDIX A: Basic Probability Theory APPENDIX B: Calculus and Optimization
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