David G. Luenberger
David G. Luenberger's Investment Science has become the dominant seller in Master of Finance programs, Senior or Masters level engineering, economics and statistics programs, as well as the programs in Financial Engineering.
The author gives thorough yet highly accessible mathematical
coverage of the fundamental topics of introductory investments: fixed-income securities, modern portfolio theory and capital asset pricing theory, derivatives (futures, options, and swaps), and innovations in optimal portfolio growth and valuation of multi period risky investments.
Throughout the text, Luenberger uses mathematics to present essential ideas about investments and their applications in business practice.
The new edition is updated to include the significant advances in financial theory and practice. The text now includes two new chapters on Risk
Measurement and Credit Risk and the expanded use of so-called real options, the characterization of volatility changes, and methods for incorporating such behavior in valuation. New exercise material and modifications to reflect the most recent financial changes have been made to nearly all chapters
in this second edition.
1. Introduction
Part I: Deterministic Cash Flows
2. The Basic Theory of Interest
3. Fixed Income Securities
4. The Term Structure of Interest Rates
5. Applied Interest Rate Analysis
Part II: Single-Period Random Cash Flows
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
Part III: Derivative Securities
12. Forwards, Futures, and Swaps
13. Models of Asset Dynamics
14. Basic Options Theory
15.
Addiional Options Topics
16. Interest Rate Derivatives
17. Credit Risk
Part IV: General Cash Flow Streams
18. Optimal Portfolio Growth
19. General Investment Evaluation
Appendix A: Basic Probability Theory
Appendix B: Calculus and Optimization
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David G. Luenberger is Professor of Management Science and Engineering at Stanford University in Stanford Connecticut.
Securities Valuation - Thomas S.Y. Ho and Sang Bin Lee