Investment Science

David G. Luenberger
Pub: Oxford University Press, New York, 1997

From the introduction: Investment Science is the application of scientific principles to investments. The scientific tools used are primarily mathematical, but only a modest level of mathematics is required to understand the primary concepts discussed in this book. The purpose of this book is to convey both the principles of investment science and an understanding of how these principles can be used in practice to make calculations that lead to good investment decisions.

CONTENTS

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. Models and Data
9. General Principles

   PART III DERIVATIVE SECURITIES

10. Forwards and Futures
11. Models of Asset Dynamics
12. Basic Options Theory
13. Additional Options Topics
14. Interest-Rate Derivatives

    PART IV GENERAL INVESTMENTS

15. Optimal Portfolio Growth
16. General Investment Evaluation

    APPENDICES

1. Basic Probability Theory
2. Calculus and Optimization