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Investment Science PDF

510 Pages·2009·17.35 MB·English
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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

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