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Luenberger D.G. Ч Investment science
Luenberger D.G. Ч Investment science

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Ќазвание: Investment science

јвтор: Luenberger D.G.


Fueled in part by some extraordinary theoretical developments in finance, an explosive growth of information and computing technology, and the global expansion of investment activity, investment theory currently commands a high level of intellectual attention. Recent developments in the field are being infused into university classrooms, financial service organizations, business ventures, and into the awareness of many individual investors. Modern investment theory using the language of mathematics is now an essential aspect of academic and practitioner training.
Representing a breakthrough in the organization of finance topics, Investment Science will be an indispensable tool in teaching modern investment theory. It presents sound fundamentals and shows how real problems can be solved with modern, yet simple, methods. David Luenberger gives thorough yet highly accessible mathematical coverage of standard and recent 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 multiperiod risky investments. Throughout the book, he uses mathematics to present essential ideas of investments and their applications in business practice. The creative use of binomial lattices to formulate and solve a wide variety of important finance problems is a special feature of the book.
In moving from fixed-income securities to derivatives, Luenberger increases naturally the level of mathematical sophistication, but never goes beyond algebra, elementary statistics/probability, and calculus. He includes appendices on probability and calculus at the end of the book for student reference. Creative examples and end-of-chapter exercises are also included to provide additional applications of principles given in the text.
Ideal for investment or investment management courses in finance, engineering economics, operations research, and management science departments, Investment Science has been successfully class-tested at Boston University, Stanford University, and the University of Strathclyde, Scotland, and used in several firms where knowledge of investment principles is essential. Executives, managers, financial analysts, and project engineers responsible for evaluation and structuring of investments will also find the book beneficial. The methods described are useful in almost every field, including high-technology, utilities, financial service organizations, and manufacturing companies.

язык: en

–убрика: Ёкономика и финансы/

—татус предметного указател€: √отов указатель с номерами страниц

ed2k: ed2k stats

√од издани€: 1998

 оличество страниц: 494

ƒобавлена в каталог: 12.03.2006

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ѕредметный указатель
Accrued interest      51 67
Additive model      299Ч300
Adjustable-rate mortgage      44 392Ч395
American option      320
Amortization      47
Annual worth      49 69
Annuity      44 45Ч47 133
Antithetic variable      364
APR      47Ч48
Arbitrage      4 446
Arbitrage argument      78 388
Arbitrage Pricing Theory (APT)      207Ч211 223
Arbitrage Pricing Theory (APT) and CAPM      211
Arbitrage, type A      240Ч241
Arbitrage, type B      241Ч242
ARC      111
Aristotle      319
Arrow Ч Pratt coefficient      233
As you like it option      349 369
Asian option      369Ч370
Ask price      51
Asset      137 445Ч446
At the money      323
Backward equation      408Ч409
Backwardation      282
Balloon payment      44
BankerТs acceptance      42
Benefit-cost ratio      104
Bermudan option      368
Beta      179Ч181
Beta book      218Ч219
Betting wheel      148 171
Bid price      51
Binomial coefficient      314
Binomial lattice      113
Binomial lattice for interest rates      385Ч389
Binomial lattice for options      366Ч368
Binomial lattice, model of stock prices      297Ч299 313Ч315
Binomial options theory      327Ч337 346
Binomial tree      111
Biweekly mortgage      68
Black and Karasinski model      407
Black Ч Derman Ч Toy model      400 407 413
Black Ч Scholes equation      350 351Ч355 376Ч377
Black Ч Scholes equation and log-optimal pricing      438Ч440
Black Ч Scholes formula      355Ч356
Blur of a      218
Blur of history      212
Blur of mean      214Ч216 223
BOND      49Ч66 383
Bond, accrued interest      51
Bond, callable      68 383
Bond, coupon payments      50
Bond, derivatives      389
Bond, face value      50
Bond, futures      383
Bond, long or short      57
Bond, options      383
Bond, par      50
Bond, price formula      53
Bond, price sensitivity      60Ч61
Bond, price-yield curve      53Ч57
Bond, putable      383
Bond, quality of      51Ч52
Bond, yield      52Ч57
Bond, zero coupon      43 61
Branch      111
Brownian motion      306Ч308
Bull spread      346
Butterfly spread      325
Buying price      463Ч468
Calculus      479Ч483
CALL      319
Call, Black Ч Scholes formula      355Ч356
Call, perpetual      348
Callable bond      43 68
Capital Asset Pricing Model (CAPM)      173Ч196 192Ч193 196Ч197 253
Capital asset pricing model (CAPM) and APT      211
Capital asset pricing model (CAPM) as factor model      205Ч207
Capital asset pricing model (CAPM) derivation      194
Capital asset pricing model (CAPM), certainty equivalent form      188Ч190
Capital asset pricing model (CAPM), formula and derivation      177Ч178
Capital asset pricing model (CAPM), pricing form      187Ч190
Capital budgeting      103Ч108
Capital market line      175Ч177
Capitalization weights      174
Carrying charges      291Ч292 371Ч373
Cash flow      1Ч3
Cash flow in graphs      113Ч114
Cash flow, free      126Ч128
Cash How stream      1Ч3
Cash matching      108Ч111
Certainty equivalent      188Ч190 233Ч234 253 254 464Ч469
Certificate of deposit (CD)      41
Characteristic line (or equation)      205Ч207
Collateralized mortgage obligations (CMOs)      402Ч406
Commercial paper      41
Comparison principle      3Ч4 77
Complexico gold mine      119Ч121 132 339Ч340 349 473
Compound interest      14Ч16
Concave functions      231Ч232
Contango      282
Continuco gold mine      470Ч471 474
Control variate      364 379Ч380
Convergence, of futures prices      278
Convexity      65Ч66 70
Corporate bonds      43
Correlation coefficient      145
Cost of carry      269Ч272
Coupon payments      50
Covariance      144Ч145 476
Covariance, continuous time      428
Covariance, matrix      164
Cox, Ingersoll, Ross model      407
Curse of dimensionality      114
Cycle problems      29Ч30 68
Debt subordination      43
default      41 51Ч52 473
Delta      358Ч359
Delta property      464
Demand deposit      41
Derivative (calculus)      480Ч481
Derivative security      9 263Ч264
Derivative security, synthetic      360
Digital option      369
discount factor      18 74Ч76 85
Discounting      18
Diversifiable risk      201
Diversification      151Ч153
Dividend      371Ч373
Dividend and options      335 347
Dividend, discount model      124Ч125
Dividend,process      445
Dollars      32
Double lattice      452Ч458
Dow Jones Average      442
Down and outer option      370
Drift      398
Duration      57Ч62 91Ч94 67 71
Duration, Fisher Ч Weil      91Ч93
Duration, modified      60 67
Duration, quasi-modified      93
Dynamic model      111
Dynamic programming      111 129 134
Dynamic programming, running      115Ч121
Dynamics      5
Dynamics for interest rates      406Ч408
Dynamics of several stocks      428
Early exercise      327 332Ч333
Effective interest rate      15
Efficient frontier      157 167Ч168
Efficient frontier, continuous time      430Ч435
Elementary prices      396Ч397
Equal and opposite hedge      282
Equilibrium      175
Equivalent utility functions      230Ч231
Estimation of mean      214Ч216 223
Estimation of sigma      217 223
Eurodollar      42
European option      320
Excess return      179
Exercise      319
Exercise, early      327 332Ч333
Exotic options      368Ч370
Expectations dynamics      83Ч90 96Ч97 278Ч279 291
Expectations theory      81Ч82 96Ч97
Expected excess return      179
Expected value      142 476
Exponential growth      16
Exponential utility      229
Exponential utility and certainty equivalent      464Ч468
Factor loading      199
Factor model      198Ч207 223
Factor model and CAPM      205Ч207
Factor model, multifactor      203Ч204
Factor model, single-factor      198Ч203
Fallacy (of multi-period CAPM)      221Ч222 227
Fama Ч French study      437Ч438
Feasible region      155Ч157
Feasible region, continuous time      430Ч435
Financial instrument      40
Finite state model      247Ч251
Finite-difference method      364Ч366
Finn valuation      124Ч128
Fisher Ч Weil duration      91Ч93
Fixed-income securities      40Ч67
Fixed-proportions strategy      418
Floating rate bonds      90Ч91
Forward contract      263 264Ч273
Forward equation      395Ч397
Forward market      265
Forward price      265 266Ч272
Forward rates      77Ч80
Forward value      273 274
Forwards, on interest rates      389Ч391
Free cash How      126Ч128
Function      479
future value      19Ч20
Futures contract      275Ч282 335Ч336
Futures contract on interest rates      389Ч391
Futures market      276Ч277
Futures options      335Ч337
FuturesЧforward equivalence      278Ч281 390Ч391
Gamma      359
Gaussian random variable      476Ч477
Generalized Weiner process      307Ч308
Geometric Brownian motion      309 310
Geometric growth      14
Geometric mean      316
Gold mine, Complexico      119Ч121 132 339Ч340 349 473
Gold mine, Continues      470Ч471 474
Gold mine, Simplico      28 76 337Ч339 341Ч343 349 456Ч457
Gordon formula      125
Graph      111
Graph for assets      445
Growth efficiency proposition      427
HARA utility      256
Harmony theorem      121Ч124 133 191Ч192
Heath, Jarrow, Morton model      413
Hedge      7 282Ч290
Hedge, minimum-variance      283Ч286
Hedge, nonlinear      287Ч290
Hedge, optimal      285Ч287
Hedge, perfect      282
Ho Ч Lee model      398Ч400 407 413
Hull and White model      407
Ideal bank      19
Idiosyncratic risk      182
Immunization      62Ч66 67 71 94Ч96 294 400Ч402
In the money      323
Independence      144
Index fund      183
Inflation      32Ч34
information      220Ч221
intercept      199
Interest      13Ч34
Interest rale derivatives      382Ч411
Interest rate caps      383Ч384
Interest, compound      14
Interest, effective      15
Interest, nominal      15 32
Interest, real      32
Interest, simple      13
Internal rate of return      22Ч24
Internal rate of return, main theorem      23
Invariance Theorem      87Ч88
Inverted yield curve      72
Investment science      1 3
Investment wheel      417Ч419 423Ч425 441 442
Ito process      307Ч308
ItoТs lemma      312Ч313
JensenТs index      186
Kelly rule of belting      421 443
Knockout option      369 370
Lagrange multipliers      158 482
Lagrangian      158
Lattice, binomial      113
Lattice, trinomial      131
Law of Large Numbers      420
LEAPS      369
Leveling      391Ч395
Libor      264 383
Limits      480
Linear pricing      188Ч190 240Ч242 343Ч344
Liquidity preference      82 101
Log-optimal portfolio      432
Log-optimal pricing      245Ч247 253
Log-optimal pricing and Biack Ч Sehoies equation      438Ч440
Log-optimal pricing of option      450
Log-optimal pricing, discrete time      443
Log-optimal pricing, formula (LOPF)      435Ч438
Log-optimal strategy      425
Logarithmic utility      229 254 419
Lognormal, prices      301Ч303 309
Lognormal, random variables      304Ч305 477Ч478
Long bond      57
Long position      265
Lookback option      369
Macaulay duration      57Ч62
Margin      320
Margin account      276
Margin call      277
Market portfolio      174
Market segmentation      82Ч83
Market uncertainty      458Ч463
Marking to market      276
Markowhz problem      157Ч162 169 172
Martingale      373Ч375
Mean      142
Mean blur      214Ч216
Mean reversion      407
Mean-variance theory      137Ч170
Minimum-variance hedge      283Ч286
Minimum-variance point      156
Minimum-variance set      156
Modified duration      60
Money market      17 41 71
Monte Carlo simulation      363Ч364
Mortgage      43Ч44
Mortgage, adjustable rate      44
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