We use cookies to enhance your experience on our website. By continuing to use our website, you are agreeing to our use of cookies. You can change your cookie settings at any time. Find out more

Oxford University Press is a department of the University of Oxford. It furthers the University's objective of excellence in research, scholarship, and education by publishing worldwide.

Print Price: $297.00

Format:
Hardback
672 pp.
7.5" x 9.25"

ISBN-13:
9780199740086

Publication date:
June 2013

Imprint: OUP US


Investment Science

Second Edition

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.

Readership : Suitable for Senior and Masters level engineering, economics, mathematics, and statistics programs.

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

There are no Instructor/Student Resources available at this time.

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

Special Features

  • Major revision of the best seller in the Investment Science field by leading professor David Luenberger at Stanford University.
  • David Luenberger has an uncanny ability to simplify complex technical material without loss of rigor. Investment Science remains extremely accessible and well written.
  • Professor Luenberger's "green book", like his many other excellent titles, provides the reader with the tools to master modern topics such as credit default swaps, collateralized debt obligations, scoring systems used by credit rating agencies and the European debt crisis.
New to this Edition
  • Updated to reflect changes in the field that have come as a result of the recent financial crisis with two new chapters address new theoretical developments in finance concerning Risk Measurement, Chapter 10 and Credit Risk, Chapter 17.
  • Coverage of projection pricing has been expanded, as well as many other topics such as CAPM and Black-Scholes equation.
  • New exercises and examples throughout the text as well as modifications to update existing chapters to include topics key to the financial crisis.