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Luenberger D.G. — Investment science
Luenberger D.G. — Investment science



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Íàçâàíèå: Investment science

Àâòîð: Luenberger D.G.

Àííîòàöèÿ:

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.


ßçûê: en

Ðóáðèêà: Ýêîíîìèêà è ôèíàíñû/

Ñòàòóñ ïðåäìåòíîãî óêàçàòåëÿ: Ãîòîâ óêàçàòåëü ñ íîìåðàìè ñòðàíèö

ed2k: ed2k stats

Ãîä èçäàíèÿ: 1998

Êîëè÷åñòâî ñòðàíèö: 494

Äîáàâëåíà â êàòàëîã: 12.03.2006

Îïåðàöèè: Ïîëîæèòü íà ïîëêó | Ñêîïèðîâàòü ññûëêó äëÿ ôîðóìà | Ñêîïèðîâàòü ID
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Ïðåäìåòíûé óêàçàòåëü
Accrued interest      51 67
Additive model      299—300
Adjustable-rate mortgage      44 392—395
American option      320
Amortization      47
Annual worth      49 69
Annuity      44 45—47 133
Antithetic variable      364
APR      47—48
Arbitrage      4 446
Arbitrage argument      78 388
Arbitrage Pricing Theory (APT)      207—211 223
Arbitrage Pricing Theory (APT) and CAPM      211
Arbitrage, type A      240—241
Arbitrage, type B      241—242
ARC      111
Aristotle      319
Arrow — Pratt coefficient      233
As you like it option      349 369
Asian option      369—370
Ask price      51
Asset      137 445—446
At the money      323
Backward equation      408—409
Backwardation      282
Balloon payment      44
Banker’s acceptance      42
Benefit-cost ratio      104
Bermudan option      368
Beta      179—181
Beta book      218—219
Betting wheel      148 171
Bid price      51
Binomial coefficient      314
Binomial lattice      113
Binomial lattice for interest rates      385—389
Binomial lattice for options      366—368
Binomial lattice, model of stock prices      297—299 313—315
Binomial options theory      327—337 346
Binomial tree      111
Biweekly mortgage      68
Black and Karasinski model      407
Black — Derman — Toy model      400 407 413
Black — Scholes equation      350 351—355 376—377
Black — Scholes equation and log-optimal pricing      438—440
Black — Scholes formula      355—356
Blur of a      218
Blur of history      212
Blur of mean      214—216 223
BOND      49—66 383
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      60—61
Bond, price-yield curve      53—57
Bond, putable      383
Bond, quality of      51—52
Bond, yield      52—57
Bond, zero coupon      43 61
Branch      111
Brownian motion      306—308
Bull spread      346
Butterfly spread      325
Buying price      463—468
Calculus      479—483
CALL      319
Call, Black — Scholes formula      355—356
Call, perpetual      348
Callable bond      43 68
Capital Asset Pricing Model (CAPM)      173—196 192—193 196—197 253
Capital asset pricing model (CAPM) and APT      211
Capital asset pricing model (CAPM) as factor model      205—207
Capital asset pricing model (CAPM) derivation      194
Capital asset pricing model (CAPM), certainty equivalent form      188—190
Capital asset pricing model (CAPM), formula and derivation      177—178
Capital asset pricing model (CAPM), pricing form      187—190
Capital budgeting      103—108
Capital market line      175—177
Capitalization weights      174
Carrying charges      291—292 371—373
Cash flow      1—3
Cash flow in graphs      113—114
Cash flow, free      126—128
Cash How stream      1—3
Cash matching      108—111
Certainty equivalent      188—190 233—234 253 254 464—469
Certificate of deposit (CD)      41
Characteristic line (or equation)      205—207
Collateralized mortgage obligations (CMOs)      402—406
Commercial paper      41
Comparison principle      3—4 77
Complexico gold mine      119—121 132 339—340 349 473
Compound interest      14—16
Concave functions      231—232
Contango      282
Continuco gold mine      470—471 474
Control variate      364 379—380
Convergence, of futures prices      278
Convexity      65—66 70
Corporate bonds      43
Correlation coefficient      145
Cost of carry      269—272
Coupon payments      50
Covariance      144—145 476
Covariance, continuous time      428
Covariance, matrix      164
Cox, Ingersoll, Ross model      407
Curse of dimensionality      114
Cycle problems      29—30 68
Debt subordination      43
default      41 51—52 473
Delta      358—359
Delta property      464
Demand deposit      41
Derivative (calculus)      480—481
Derivative security      9 263—264
Derivative security, synthetic      360
Digital option      369
discount factor      18 74—76 85
Discounting      18
Diversifiable risk      201
Diversification      151—153
Dividend      371—373
Dividend and options      335 347
Dividend, discount model      124—125
Dividend,process      445
Dollars      32
Double lattice      452—458
Dow Jones Average      442
Down and outer option      370
Drift      398
Duration      57—62 91—94 67 71
Duration, Fisher — Weil      91—93
Duration, modified      60 67
Duration, quasi-modified      93
Dynamic model      111
Dynamic programming      111 129 134
Dynamic programming, running      115—121
Dynamics      5
Dynamics for interest rates      406—408
Dynamics of several stocks      428
Early exercise      327 332—333
Effective interest rate      15
Efficient frontier      157 167—168
Efficient frontier, continuous time      430—435
Elementary prices      396—397
Equal and opposite hedge      282
Equilibrium      175
Equivalent utility functions      230—231
Estimation of mean      214—216 223
Estimation of sigma      217 223
Eurodollar      42
European option      320
Excess return      179
Exercise      319
Exercise, early      327 332—333
Exotic options      368—370
Expectations dynamics      83—90 96—97 278—279 291
Expectations theory      81—82 96—97
Expected excess return      179
Expected value      142 476
Exponential growth      16
Exponential utility      229
Exponential utility and certainty equivalent      464—468
Factor loading      199
Factor model      198—207 223
Factor model and CAPM      205—207
Factor model, multifactor      203—204
Factor model, single-factor      198—203
Fallacy (of multi-period CAPM)      221—222 227
Fama — French study      437—438
Feasible region      155—157
Feasible region, continuous time      430—435
Financial instrument      40
Finite state model      247—251
Finite-difference method      364—366
Finn valuation      124—128
Fisher — Weil duration      91—93
Fixed-income securities      40—67
Fixed-proportions strategy      418
Floating rate bonds      90—91
Forward contract      263 264—273
Forward equation      395—397
Forward market      265
Forward price      265 266—272
Forward rates      77—80
Forward value      273 274
Forwards, on interest rates      389—391
Free cash How      126—128
Function      479
future value      19—20
Futures contract      275—282 335—336
Futures contract on interest rates      389—391
Futures market      276—277
Futures options      335—337
Futures—forward equivalence      278—281 390—391
Gamma      359
Gaussian random variable      476—477
Generalized Weiner process      307—308
Geometric Brownian motion      309 310
Geometric growth      14
Geometric mean      316
Gold mine, Complexico      119—121 132 339—340 349 473
Gold mine, Continues      470—471 474
Gold mine, Simplico      28 76 337—339 341—343 349 456—457
Gordon formula      125
Graph      111
Graph for assets      445
Growth efficiency proposition      427
HARA utility      256
Harmony theorem      121—124 133 191—192
Heath, Jarrow, Morton model      413
Hedge      7 282—290
Hedge, minimum-variance      283—286
Hedge, nonlinear      287—290
Hedge, optimal      285—287
Hedge, perfect      282
Ho — Lee model      398—400 407 413
Hull and White model      407
Ideal bank      19
Idiosyncratic risk      182
Immunization      62—66 67 71 94—96 294 400—402
In the money      323
Independence      144
Index fund      183
Inflation      32—34
information      220—221
intercept      199
Interest      13—34
Interest rale derivatives      382—411
Interest rate caps      383—384
Interest, compound      14
Interest, effective      15
Interest, nominal      15 32
Interest, real      32
Interest, simple      13
Internal rate of return      22—24
Internal rate of return, main theorem      23
Invariance Theorem      87—88
Inverted yield curve      72
Investment science      1 3
Investment wheel      417—419 423—425 441 442
Ito process      307—308
Ito’s lemma      312—313
Jensen’s 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      391—395
Libor      264 383
Limits      480
Linear pricing      188—190 240—242 343—344
Liquidity preference      82 101
Log-optimal portfolio      432
Log-optimal pricing      245—247 253
Log-optimal pricing and Biack — Sehoies equation      438—440
Log-optimal pricing of option      450
Log-optimal pricing, discrete time      443
Log-optimal pricing, formula (LOPF)      435—438
Log-optimal strategy      425
Logarithmic utility      229 254 419
Lognormal, prices      301—303 309
Lognormal, random variables      304—305 477—478
Long bond      57
Long position      265
Lookback option      369
Macaulay duration      57—62
Margin      320
Margin account      276
Margin call      277
Market portfolio      174
Market segmentation      82—83
Market uncertainty      458—463
Marking to market      276
Markowhz problem      157—162 169 172
Martingale      373—375
Mean      142
Mean blur      214—216
Mean reversion      407
Mean-variance theory      137—170
Minimum-variance hedge      283—286
Minimum-variance point      156
Minimum-variance set      156
Modified duration      60
Money market      17 41 71
Monte Carlo simulation      363—364
Mortgage      43—44
Mortgage, adjustable rate      44
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