Customer Reviews

Investment Science

5 star:		(11)
4 star:		(1)
3 star:		(1)
2 star:		(0)
1 star:		(1)

 

 

This textbook introduces the basics of asset pricing theory and portfolio optimization at a level suitable to advanced undergraduates. The mathematics seems to be just right for practitioners: no martingales, no girsanov theorem, but a complete treatment of binomial lattices and a semi-quantitative introduction to diffusion processes and to stochastic calculus. Problems are very well chosen. The organization of the text is standard, except for the last two chapters, related to optimal growth portfolio and to real options. Final remark: the book is excellent for self-study. I learnt the subject from Prof. Luenberger himself, and he was repeating each single word from the book, saying (as a disclaimer) that "it's not me copying the book... it's the book that copies what I said. After all, I wrote it." Needless to say, the class was excellent.

This book serves very good introduction to mathematical finance. Particularly,
I enjoyed the discussion of bonds immunization, mean-variance theory, CAPM, APT.
It's most suitable for senior undergraduates or any junior graduate students.
But it doesn't deserve 5 star for the following reasons:

1) Most of the theories discussed so far in the book are TOO idealized and
over simplified. Financial data is dynamic and massive. In model quantitative/computational finance, the most important thing is to understand what the data says rather than what one thinks the data structure might be. With the book, one probably can only do some macroeconomic/very coarse analysis. Author should incorporate more data analysis evidence together with proposed theories.

2) The proof of ito's lemma is wrong(i.e. "Deltaz^2 --> deterministic as Deltat --> 0"). It's surprising since most books make the same mistake. It is the law of the large number contributes to the equality!(i.e. integration sense). The misunderstanding of the proof might lead to the misunderstanding of the hedging process.

3) In the commodity option pricing session, author demonstrated the use of futher market to price the option. This should be discussed further (i.e. black's model).

4) The volatility pumping session should be further researched. The explanation is
not satisfactory.

This is the best book by far on the theory of finance. The book covers all the important fundamental concepts and develops them into practical models without going overboard and introducing every possible variation on the model. the style is both conversational and mathematical. It is replete with discussions about the material, but it doesnt gloss over the math. I took professor Luenbergers course at Stanford, and it piqued my interest in finance enough to pursue it professionally. (At the time, I was a masters student in electrical engineering.) I purchased several other books in finance. I dont even know where they are now, every time I have a question or need to build a new model, I go straight to Luenberger. This book is so good, I bought a second copy just as a backup, in case I lose my copy and the book goes out of print.

Luenberger was a professor of optimization and his books on that subject are also very good. Clear and Precise. But sometimes he is extremely concise, so that you need to work a bit to completely understand a point.

In this book, we have again the same style (after all, it is the author style): Clear and precise book, GOOD choice of notation (I cant say the same thing about HULL's books) but sometimes extremely concise.
Overall, a good book to start learning and on a solid foundation.

This should be a required text for all financial engineering and computational finance students. Dr. Luenberger's treatment of portfolio allocation and derivatives is the best I have read. Finance is finally beginning to make sense. Bala Shetty is a professor of information and operations management at Texas A&M University in College Station,Texas.

It is very difficult to find a book on investments with a clear quantitative background that fits the necessity of advanced students. Luenberger's explanations and exercices are the finest I have ever read. His book is a good step for those who want to keep on studying portfolio analysis, CAPM, asset pricing and stochastic process.

I used this book for an undergraduate intro to financial mathematics course. As an electrical engineering student, I had no previous exposure to the subject, but this book did a great job of explaining finance and the mathematics behind it. The book contains many excellent examples and figures, and really helps you to gain an intuitive understanding of the mathematical and financial topics it presents. This book would be great to use for self-study; Luenberger explains everything in detail and with a friendly, conversational style. Highly recommended!

Prof. Luenberger currently teaches at Stanford and this book is used as the textbook for a 2-quarter series in investment science there. The coverage is concise and the math is manageable and yet extremely practical. I agree that this an excellent self-study book in the subject of investment science.

This is the best singlevolume 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 Universit

I attended his courses at Stanford and indeed he's an eminence in the subject, and all his wisdom has been printed in this excellent book. This book provides you with the required tools to fully understand the theory and practical methods for valuation. A plus is the introduction of Real Option valuation concept. It's adequate for advanced undergraduates or mainly for graduate studies in preparation for deeper courses.