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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
Mortgage, biweekly      68
Mortgage-backed security      44 383
Mukiperiod securities      444—447
Multiperiod fallacy      221—222
Multiplicative model      300—303
Municipal bonds      43
Mutual fund      163
Net present value      25
Newton’s method      35
No arbitrage      4 388
Nominal interest      15
Nondiversifiable risk      201
Nonlinear risk      287—290
Nonsatiation      157
Nonsystematic risk      182—183
Normal random variable      217 239—240 476—477
Normal random variable, prices      300
Notional principal      273
One-fund theorem      166—168
Optimal hedging      285—287
Optimal management      114—121
Optimal portfolio growth      417—440
Optimal pricing      448—452
Optimization      102
Optimization conditions      481—482
Optimization portfolio      108
Option      263 319—346 351—377
Option on futures      335—337
Option, American      320
Option, call      319
Option, European      320
Option, exercise      319 327 332—333
Option, exotic      368—370
Option, pay later      380
Option, premium      319
Option, put      319
Option, strike price      320
Out of the money      323
PAR      50 55
Path dependent      371
Pay later option      380
Perfect hedge      282
Performance evaluation      184—187
Perpetual annuity (perpetuity)      435
Perpetual call      348 353
Perpetual put      378
Piain vanilla swap      273
Portfolio choice theorem      242—243
Portfolio diagram      153—155
Portfolio insurance      362
Portfolio pricing theorem      244
Positive state prices      249—251 257
Power utility function      230
Premium      7
Premium, call      319
Present value      18—22
Present value, main theorem      22
Present value, net      25
Present worth      25
Price of risk      176
Price process      445
Price sensitivity      60 67
Price-yield curve      53—57
Pricing form of CAPM      187—190
Principal      13
Principal component      225
Principal, notional      273
Private uncertainty      458—463
probability      475—478
Probability, density      142 475
Probability, distribution      475
put      319 333—334
Put, perpetual      378
Put-call parity      325—326 346 347
Quadratic program      161
Quadratic utility      230
Quadratic utility and mean-variance criterion      237—239
Quasi-modified duration      93
Random variables      141 475
Random variables, independent      144
Random walk      305—307
Rapido oil well      460—463 468
Rate of return      138
Ratio theorem      455
Real options      337—343
Rebalance      65 359
Rendleman and Banter model      406
Replication      360—362
Repo rate      269
RETURN      138
Return, asset      137—141
Return, portfolio      140
Risk aversion      5 157 231—234
Risk aversion coefficient      233 256
Risk, diversifiable      201
Risk, nonlinear      287—290
Risk, systematic      201
Risk-free asset      165
Risk-free asset, short term      446—447
Risk-neutral pricing      251—252 253 255 344—345 357 409 447—448
Risk-neutral probabilities      251—252
Risk-neutral probabilities for options      329
Risk-neutral probabilities, existence of      448
Risk-neutral utility      229
Risk-neutral world      469—471
Running amortization      48
Running dynamic programming      115—121
Running present value      88—90
Security      40
Security market line      181—183
Self-financing      360
Seven-sen rule      15
Seventy-two rule      15 34 35
Sharpe index      187
Short bond      57
Short position      265
Short rate      85—86 385
Short rate, lattice      385—389
Short sales      138
Short-term risk-free rate      446—447
Shorting      138
Simple interest      13
Simplico gold mine      28 76 337—339 341—343 349 456—457
Simulation      311—312
Sinking fund      43
Specific risk      182
Spot market      265
Spot price, expected      281—282
Spot rale      73—77 96
Spot rale curve      74
Spot rale forecasts      83—85
Standard deviation      143
State gtaph      444—447
State prices, elementary      248
State prices, positive      249—251
Stationary process      419
Storage costs      371—373 291—292
Strike price      320
Swaps      273—275 384 411—412
Swaptions      384 412
Synthetic derivative      360
Systematic risk      181—183 201
taxes      30—32
Term structure      72—97 386—388 397—400
Term structure, explanations      80—83 96 101
Theorem, CAPM      177—178
Theorem, equivalence      87
Theorem, existence of probabilities      448
Theorem, floating rate      91
Theorem, forward price      267 269
Theorem, futures-forward equivalence      278—279
Theorem, growth efficiency proposition      427
Theorem, harmony      124 133 191—192
Theorem, Ito’s lemma      312—313 318
Theorem, log-optimal pricing      245—247
Theorem, one fund      167
Theorem, portfolio choice      242—243
Theorem, portfolio pricing      244
Theorem, positive state prices      249—250 257
Theorem, present value      22
Theorem, ratio      455
Theorem, simple APT      209
Theorem, two fund      163 431
Theta      359
Tight markets      271—272
Tilting      220—221 226—227
Time value of money      13 34
Total return      138
Tracking      171
Trading strategy      446
Tree culling      25 26 349 458—460 466—468
Trinomial lattice      131
Trinomial lattice for options      366—368
Two-fund theorem      162—165 431
Type A arbitrage      240—241
Type B arbitrage      241—242
U.S. Treasury securities      42
Uncorrected      145
Underlying security      264
Utility functions      228—240
Utility functions and mean-variance criterion      237—240
Utility functions, concave      231—232
Utility functions, equivalent      230—231
Utility functions, exponential      229
Utility functions, logarithmic      229 254 419
Utility functions, power      230
Utility functions, quadratic      230
Utility functions, specification of      234—237
Valuation of firm      124—128
Variance      143 476
Variance reduction      364
Vasicek model      407
Volatility parameter      398
Volatility pumping      422—425 429—430
Weights      140
Weights, capitalization      174
Weiner process      305—308 318
Well-diversified      210
Wheel of Fortune      146
Wheel of fortune, investment      417—419 423—425 441 442
Wheel, betting      148 171
When to cut a tree      25 26 458—459 466—467
Write an option      320
Yield      52—57
Yield curve      72
Yield curve, inverted      72
Zero-beta asset      194 196
Zero-coupon bond      43 61 77
Zero-level pricing      458—463
Zero-one variable      103
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