Investment Science

510 Pages·2009·17.35 MB·English

by  David G. Luenberger

INVESTMENT SCIENCE

INVEST MENT SCIENCE

Davip G, LUENBFRGER

STANTORD UNIVERSE

CONTENTS

Profice xii

1 INTRODUCTION 7
ah Fins 2

2 lgeanees and Riders 2

2 Typed seams Prilecs — &

4 Spacer ete tate a

Part | DETERMINSSTIC CASH FLOW STREAMS

? C THEORY OF INTEREST 13
24 Frcstianlliseer 12
2a preees tue a
opie val Sewmicr® 38
ica
Referees 2a
3. FIXELFINGOWE SECURITIES 49

‘le Sabet ba osha

me ms
end eels a8
sald SS
msauicaticn 82

38 Stay 36
Part Il

ewes 8
falnerces 7

THE TERM STRUCTURE OF IN:ERES! RATES
41 Theta Cure 72

LE the fen Srstem 74

43 Eamoard Rake

34 Teen insure repocatbess 80

SE ning Pree ne 2

20 eng se Balt

5 APPLIED INTEREST RATE ANALYSIS. 102

eit ation
(Guinal Pots

Simic Coe Hw Pores

(phil wiaragecrent

heanrang theses 135

SINGLE-PFRIGD RANDOM CASH FLOWS

6 AEA

&2

N-VARIANCE HORIFOLI THEORY

Random seas.

Nemfeawiean ae neces
Bret ee

The tnFua Ther 16

inked a Kehoe nee
G8 TheOnetand thewern 86
Sto Savers res

THe CAPITAL ASSET PI

tare: Eo tio
re Capa! a

ur

ENG MODEL 178

ny Uke ine)

ne

77
CONTENTS i

Entorsga eisai 8
& MODELS AND LAIA 197
Mca 9

82 Tae omdel
DE Theca ase saci Medel 207

34 cing hooey Ze
an 1-9 Otis Paravitses

17 Thing fo Zab
AR Melted Faley
03 Sumy 22

Rearnces
GENERAL PRINCIPLES 228
£1 meedicran 228
2 dite Eeeon 238
4 Speciation of Ulty Futana 252
® Se vctone sic ees Nakane ace 297

9 Pott ol 2 Chace
oe

ot

811 Picing dase

Rekrness | £36

Part ill DERIVATIVE SECURITIES
1) FORWARDS, FLILKES, ANID SWAPS 267

iy bvrkei
10% Feonere Carvers
03 Fervans Pat 26
U4 The Vale of Fossa Cena

rlavicr co Cxnacted Spat Vice” 282
130. The Perse: Hear!
{EP 1 Te Minne ane
uu

011 Seal He
ELI Hedging Sot

MODELS OF ASSET DYNAMICS 296
TT Bnoreie Lace Meds) 29°
he neta hell 268
113 Fhestlpiat ve Mode! 30%
M13 ignores Boer voile 30
116 Random irl 9nd Wierer Pron, 10

BASIC. OPHIONS THEORY 439
21 Spilen Goneapls 20

2 Te Nol Chis Vs
123 Dyan Cnectirn a2 Cal Pansy 28
124 aly soci a

rid enemies Ossers Theory 32

126 Mublated Optans 3.0
127 Mote Gensel Sinema Preble 939
126 eertaieg Wes nse at Ope
TE Cova esata! Pan 24

ADDITIONAL OPTIONS TOPICS 351
1 eaiion 752

13> The lnieS be Bowtion 252
134 GA Sli Poem

Fhe abetted tone

35 Deby 250

36 Replat. fac
137 Cerputtiona Wath
39. lb ge Cost ane Liters? 3/4

SY Malm Pitig’

spperche Meeratie Back-Scholes retina 125
ees 278

Cele, and Povo este

20