Investment science /
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Author / Creator: | Luenberger, David G., 1937- |
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Imprint: | New York : Oxford University Press, 1998. |
Description: | xiv, 494 p. : ill. ; 25 cm. |
Language: | English |
Subject: | |
Format: | Print Book |
URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/2847439 |
Table of Contents:
- 1. Introduction
- 1.1. Cash Flows
- 1.2. Investments and Markets
- 1.3. Typical Investment Problems
- 1.4. Organization of the Book
- I. Deterministic Cash Flow Streams
- 2. The Basic Theory of Interest
- 2.1. Principal and Interest
- 2.2. Present Value
- 2.3. Present and Future Values of Streams
- 2.4. Internal Rate of Return
- 2.5. Evaluation Criteria
- 2.6. Applications and Extensions
- 2.7. Summary
- 2.8. Exercises
- 3. Fixed-Income Securities
- 3.1. The Market for Future Cash
- 3.2. Value Formulas
- 3.3. Bond Details
- 3.4. Yield
- 3.5. Duration
- 3.6. Immunization
- 3.7. Convexity
- 3.8. Summary
- 3.9. Exercises
- 4. The Term Structure of Interest Rates
- 4.1. The Yield Curve
- 4.2. The Term Structure
- 4.3. Forward Rates
- 4.4. Term Structure Explanations
- 4.5. Expectation Dynamics
- 4.6. Running Present Value
- 4.7. Floating Rate Bonds
- 4.8. Duration
- 4.9. Immunization
- 4.10. Summary
- 4.11. Exercises
- 5. Applied Interest Rate Analysis
- 5.1. Capital Budgeting
- 5.2. Optimal Portfolios
- 5.3. Dynamic Cash Flow Processes
- 5.4. Optimal Management
- 5.5. The Harmony Theorem
- 5.6. Valuation of a Firm
- 5.7. Summary
- 5.8. Exercises
- II. Single-Period Random Cash Flows
- 6. Mean-Variance Portfolio Theory
- 6.1. Asset Return
- 6.2. Random Variables
- 6.3. Random Returns
- 6.4. Portfolio Mean and Variance
- 6.5. The Feasible Set
- 6.6. The Markowitz Model
- 6.7. The Two-Fund Theorem
- 6.8. Inclusion of a Risk-Free Asset
- 6.9. The One-Fund Theorem
- 6.10. Summary
- 6.11. Exercises
- 7. The Capital Asset Pricing Model
- 7.1. Market Equilibrium
- 7.2. The Capital Market Line
- 7.3. The Pricing Model
- 7.4. The Security Market Line
- 7.5. Investment Implications
- 7.6. Performance Evaluation
- 7.7. CAPM as a Pricing Formula
- 7.8. Project Choice
- 7.9. Summary
- 7.10. Exercises
- 8. Models and Data
- 8.1. Introduction
- 8.2. Factor Models
- 8.3. The CAPM as a Factor Model
- 8.4. Arbitrage Pricing Theory
- 8.5. Data and Statistics
- 8.6. Estimation of Other Parameters
- 8.7. Tilting Away from Equilibrium
- 8.8. A Multiperiod Fallacy
- 8.9. Summary
- 8.10. Exercises
- 9. General Principles
- 9.1. Introduction
- 9.2. Utility Functions
- 9.3. Risk Aversion
- 9.4. Specification of Utility Functions
- 9.5. Utility Functions and the Mean-Variance Criterion
- 9.6. Linear Pricing
- 9.7. Portfolio Choice
- 9.8. Log-Optimal Pricing
- 9.9. Finite State Models
- 9.10. Risk-Neutral Pricing
- 9.11. Pricing Alternatives
- 9.12. Summary
- 9.13. Exercises
- III. Derivative Securities
- 10. Forwards, Futures, and Swaps
- 10.1. Introduction
- 10.2. Forward Contracts
- 10.3. Forward Prices
- 10.4. The Value of a Forward Contract
- 10.5. Swaps
- 10.6. Basics of Futures Contracts
- 10.7. Futures Prices
- 10.8. Relation to Expected Spot Price
- 10.9. The Perfect Hedge
- 10.10. The Minimum-Variance Hedge
- 10.11. Optimal Hedging
- 10.12. Hedging Nonlinear Risk
- 10.13. Summary
- 10.14. Exercises
- 11. Models of Asset Dynamics
- 11.1. Binominal Lattice Model
- 11.2. The Additive Model
- 11.3. The Multiplicative Model
- 11.4. Typical Parameter Values
- 11.5. Lognormal Random Variables
- 11.6. Random Walks and Wiener Processes
- 11.7. A Stock Price Process
- 11.8. Ito's Lemma
- 11.9. Binomial Lattice Revisited
- 11.10. Summary
- 11.11. Exercises
- 11.12. References
- 12. Basic Options Theory
- 12.1. Option Concepts
- 12.2. The Nature of Option Value
- 12.3. Option Combinations and Put-Call Parity
- 12.4. Early Exercise
- 12.5. Single-Period Binomial Options Theory
- 12.6. Multiperiod Options
- 12.7. More General Binomial Problems
- 12.8. Evaluating Real Investment Opportunities
- 12.9. General Risk-Neutral Pricing
- 12.10. Summary
- 12.11. Exercises
- 12.12. References
- 13. Additional Options Topics
- 13.1. Introduction
- 13.2. The Black-Scholes Equation
- 13.3. Call Option Formula
- 13.4. Risk-Neutral Valuation
- 13.5. Delta
- 13.6. Replication, Synthetic Options, and Portfolio Insurance/st
- 13.7. Computational Methods
- 13.8. Exotic Options
- 13.9. Storage Costs and Dividends
- 13.10. Martingale Pricing
- 13.11. Summary
- 13.12. Exercises
- 13.13. References
- 14. Interest Rate Derivatives
- 14.1. Examples of Interest-Rate Derivatives
- 14.2. The Need for a Theory
- 14.3. The Binomial Approach
- 14.4. Pricing Applications
- 14.5. Leveling and Adjustable-Rate Loans
- 14.6. The Forward Equation
- 14.7. Matching the Term Structure
- 14.8. Immunization
- 14.9. Collateralized Mortgage Obligations
- 14.10. Models of Interest Rate Dynamics
- 14.11. Continuous-Time Solutions
- 14.12. Summary
- 14.13. Exercises
- 14.14. References
- IV. General Cash Flow Streams
- 15. Optimal Portfolio Growth
- 15.1. The Investment Wheel
- 15.2. The Log Utility Approach to Growth
- 15.3. Properties of the Log-Optimal Strategy
- 15.4. Alternative Approaches
- 15.5. Continuous-Time Growth
- 15.6. The Feasible Region
- 15.7. The Log-Optimal Pricing Formula
- 15.8. Log-Optimal Pricing and the Black-Scholes Equation
- 15.9. Summary
- 15.10. Exercises
- 15.11. References
- 16. General Investment Evaluation
- 16.1. Multiperiod Securities
- 16.2. Risk-Neutral Pricing
- 16.3. Optimal Pricing
- 16.4. The Double Lattice
- 16.5. Pricing in a Double Lattice
- 16.6. Investments with Private Uncertainty
- 16.7. Buying Price Analysis
- 16.8. Continuous-Time Evaluation
- 16.9. Summary
- 16.10. Exercises
- 16.11. References
- A. Basic Probability Theory
- A.1. General Concepts
- A.2. Normal Random Variables
- A.3. Lognormal Random Variables
- B. Calculus and Optimization
- B.1. Functions
- B.2. Differential Calculus
- B.3. Optimization