Investment Science

Investment Science

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Designed for those individuals interested in the current state of development in the field of investment science, this book emphasizes the fundamental principles and how they can be mastered and transformed into solutions of important and interesting investment problems. The book examines what the essential ideas are behind investment science, how they are represented, and how they can be used in actual investment practice. The book also examines where the field might be headed in the future, and goes much further in terms of mathematical content, featuring varying levels of mathematical sophistication throughout. End-of-chapter exercises are also included to help individuals get a better grasp on investment science.show more

Product details

  • Hardback | 508 pages
  • 193.04 x 231.14 x 27.94mm | 1,020.58g
  • Oxford University Press Inc
  • New York, United States
  • English
  • numerous line figures, tables
  • 0195108094
  • 9780195108095
  • 529,051

Review quote

"This is the best single volume on investments ever written. It is one of the only books to cover both derivatives and portfolio optimization, and it does not get bogged down with unnecessary notation. It is a real page turner. For non-finance types looking for a serious, rigorous introduction to the subject, look no further."--Wayne Winston, Professor of Decision Sciences, Indiana University"This book is well written, clear, and cohesive. There is not a single investment textbook that I am aware of that gives such in-depth and organized treatment of the topics chosen by this book. A distinguishing feature is that it gives you every single detail and tool that you would ever need to solve problems."--Raymond Kan, University of Toronto"Investment Science is a wonderful textbook treatment of investment theory for the quantitatively-minded undergraduate or masters student. This book is typical of David Luenberger's uncanny way of simplifying complex technical material without loss of rigor. He divides and conquers the subject, starting with the basics of simple fixed-income securities, and building up to the valuation and hedging of derivative securities in a dynamic setting under uncertainty. There is a lovely interplay of arbitrage calculations, portfolio selection for individual investors, and market equilibrium. The book will be especially valuable for those entering the subject from other quantitative fields."--Darrell Duffie, Stanford University Graduate School of Business"Options and continuous-time finance are important enough to warrant a whole course in MBA programs. David Luenberger's book makes continuous time finance accessible to any student who has mastered elementary calculus and probability theory, and motivates the subject by using it to solve a broad range of option-type problems relating to stock, bond, and commodity markets."--Jack Treynor, President, Treynor Capital Management, Inc."This textbook takes a refreshing "This is the best single volume on investments ever written. It is one of the only books to cover both derivatives and portfolio optimization, and it does not get bogged down with unnecessary notation. It is a real page turner. For non-finance types looking for a serious, rigorous introduction to the subject, look no further."--Wayne Winston, Professor of Decision Sciences, Indiana University "This book is well written, clear, and cohesive. There is not a single investment textbook that I am aware of that gives such in-depth and organized treatment of the topics chosen by this book. A distinguishing feature is that it gives you every single detail and tool that you would ever need to solve problems."--Raymond Kan, University of Toronto "Investment Science is a wonderful textbook treatment of investment theory for the quantitatively-minded undergraduate or masters student. This book is typical of David Luenberger's uncanny way of simplifying complex technical material without loss of rigor. He divides and conquers the subject, starting with the basics of simple fixed-income securities, and building up to the valuation and hedging of derivative securities in a dynamic setting under uncertainty. There is a lovely interplay of arbitrage calculations, portfolio selection for individual investors, and market equilibrium. The book will be especially valuable for those entering the subject from other quantitative fields."--Darrell Duffie, Stanford University Graduate School of Business "Options and continuous-time finance are important enough to warrant a whole course in MBA programs. David Luenberger's book makes continuous time finance accessible to any student who hasmastered elementary calculus and probability theory, and motivates the subject by using it to solve a broad range of option-type problems relating to stock, bond, and commodity markets."--Jack Treynor, President, Treynor Capital Management, Inc. "This textbook takes a refreshing approach to the science of investing. It is extremely well-written. Financial principles and ideas are laid out clearly and in an orderly fashion." -- Joseph Cherian, Department of Finance, School of Management, Boston University "The book is very clearly written and introduces advanced concepts (e.g. duration and convexity of bonds) in relatively simple and intuitive ways early in the book. There are lots of carefully thought out examples to illustrate important points and applications of particular methodologies. Overall, the book does a great job of taking a reader who knows essentially nothing about finance from very basic concepts up through rather advanced valuation topics."--James E. Hodder, University of Wisconsin-Madison "This text is a breakthrough in the organization of very important theory."--Lloyd Nirenberg, Director, Business Development, National Semiconductor Corp. "This book provides great insights and practical approaches for anyone interested in the relation between markets and decisions. It is written in a unique and creative manner." --Nick V. Arvanitidis, CEO, IDEA GmbH., and Former CEO, Sequus Pharmaceuticals "Luenberger's book is very informative and offers genuinely new insights into important investment problems."--Paul McEntire, Chairman, Skye Investment Advisors LLC "Professor Luenberger's book, particularly Chapters 15 &16, lays the foundation for the analyticapproach Enron takes when assessing and managing risk in its non-traded asset portfolio."--Andrea Vail, Vice President, Enron Capital Management "This is the best single volume on investments ever written. It is one of the only books to cover both derivatives and portfolio optimization, and it does not get bogged down with unnecessary notation. It is a real page turner. For non-finance types looking for a serious, rigorous introduction to the subject, look no further."--Wayne Winston, Professor of Decision Sciences, Indiana University "This book is well written, clear, and cohesive. There is not a single investment textbook that I am aware of that gives such in-depth and organized treatment of the topics chosen by this book. A distinguishing feature is that it gives you every single detail and tool that you would ever need to solve problems."--Raymond Kan, University of Toronto "Investment Science is a wonderful textbook treatment of investment theory for the quantitatively-minded undergraduate or masters student. This book is typical of David Luenberger's uncanny way of simplifying complex technical material without loss of rigor. He divides and conquers the subject, starting with the basics of simple fixed-income securities, and building up to the valuation and hedging of derivative securities in a dynamic setting under uncertainty. There is a lovely interplay of arbitrage calculations, portfolio selection for individual investors, and market equilibrium. The book will be especially valuable for those entering the subject from other quantitative fields."--Darrell Duffie, Stanford University Graduate School of Business "Options and continuous-time finance are important enough to warrant a whole course in MBA programs. David Luenberger's book makescontinuous time finance accessible to any student who has mastered elementary calculus and probability theory, and motivates the subject by using it to solve a broad range of option-type problems relating to stock, bond, and commodity markets."--Jack Treynor, President, Treynor Capital Management, Inc. "This textbook takes a refreshing approach to the science of investing. It is extremely well-written. Financial principles and ideas are laid out clearly and in an orderly fashion." -- Joseph Cherian, Department of Finance, School of Management, Boston University "The book is very clearly written and introduces advanced concepts (e.g. duration and convexity of bonds) in relatively simple and intuitive ways early in the book. There are lots of carefully thought out examples to illustrate important points and applications of particular methodologies. Overall, the book does a great job of taking a reader who knows essentially nothing about finance from very basic concepts up through rather advanced valuation topics."--James E. Hodder, University of Wisconsin-Madison "This text is a breakthrough in the organization of very important theory."--Lloyd Nirenberg, Director, Business Development, National Semiconductor Corp. "This book provides great insights and practical approaches for anyone interested in the relation between markets and decisions. It is written in a unique and creative manner." --Nick V. Arvanitidis, CEO, IDEA GmbH., and Former CEO, Sequus Pharmaceuticals "Luenberger's book is very informative and offers genuinely new insights into important investment problems."--Paul McEntire, Chairman, Skye Investment AdvisorsLLC "Professor Luenberger's book, particularly Chapters 15 & 16, lays the foundation for the analytic approach Enron takes when assessing and managing risk in its non-traded asset portfolio."--Andrea Vail, Vice President, Enron Capital Management "This is the best single volume on investments ever written. It is one of the only books to cover both derivatives and portfolio optimization, and it does not get bogged down with unnecessary notation. It is a real page turner. For non-finance types looking for a serious, rigorous introduction tothe subject, look no further."--Wayne Winston, Professor of Decision Sciences, Indiana University"This book is well written, clear, and cohesive. There is not a single investment textbook that I am aware of that gives such in-depth and organized treatment of the topics chosen by this book. A distinguishing feature is that it gives you every single detail and tool that you would ever need tosolve problems."--Raymond Kan, University of Toronto"Investment Science is a wonderful textbook treatment of investment theory for the quantitatively-minded undergraduate or masters student. This book is typical of David Luenberger's uncanny way of simplifying complex technical material without loss of rigor. He divides and conquers the subject, starting with the basics of simple fixed-income securities, and building up to the valuation and hedging of derivative securities in a dynamic setting under uncertainty. There is a lovely interplay of arbitrage calculations, portfolio selection for individual investors, and market equilibrium. Thebook will be especially valuable for those entering the subject from other quantitative fields."--Darrell Duffie, Stanford University Graduate School of Business"Options and continuous-time finance are important enough to warrant a whole course in MBA programs. David Luenberger's book makes continuous time finance accessible to any student whohas mastered elementary calculus and probability theory, and motivates the subject by using it to solve a broadrange of option-type problems relating to stock, bond, and commodity markets."--Jack Treynor, President, Treynor Capital Management, Inc."This textbook takes a refreshing approach to the science of investing. It is extremely well-written. Financial principles and ideas are laid out clearly and in an orderly fashion." -- Joseph Cherian, Department of Finance, School of Management, Boston University"The book is very clearly written and introduces advanced concepts (e.g. duration and convexity of bonds) in relatively simple and intuitive ways early in the book. There are lots of carefully thought out examples to illustrate important points and applications of particular methodologies. Overall, the book does a great job of taking a reader who knows essentially nothing about finance from very basic concepts up through rather advanced valuation topics."--James E. Hodder, University of Wisconsin-Madison"This text is a breakthrough in the organization of very important theory."--Lloyd Nirenberg, Director, Business Development, National Semiconductor Corp."This book provides great insights and practical approaches for anyone interested in the relation between markets and decisions. It is written in a unique and creative manner." --Nick V. Arvanitidis, CEO, IDEA GmbH., and Former CEO, Sequus Pharmaceuticals"Luenberger's book is very informative and offers genuinely new insights into important investment problems."--Paul McEntire, Chairman, Skye Investment Advisors LLC"Professor Luenberger's book, particularly Chapters 15 &16, lays the foundation for theanalytic approach Enron takes when assessing and managing risk in its non-traded asset portfolio."--Andrea Vail, Vice President, Enron Capital Managementshow more

About David G. Luenberger

David G. Luenberger, Professor in Engineering-Economics Systems & Operations Research, Stanford University. He has written several successful books with Addison-Wesley and John Wiley publishers.show more

Rating details

79 ratings
3.72 out of 5 stars
5 30% (24)
4 33% (26)
3 22% (17)
2 9% (7)
1 6% (5)
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