Investment science /

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Bibliographic Details
Author / Creator:Luenberger, David G., 1937-
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
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ISBN:0195108094 (acid-free paper)
Notes:Includes bibliographical references and index.
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