Security Analysis, Portfolio Management, and Financial Derivatives

Security Analysis, Portfolio Management, and Financial Derivatives integrates the many topics of modern investment analysis. It provides a balanced presentation of theories, institutions, markets, academic research, and practical applications, and presents both basic concepts and advanced principles. Topic coverage is especially broad: in analyzing securities, the authors look at stocks and bonds, options, futures, foreign exchange, and international securities. The discussion of financial derivatives includes detailed analyses of options, futures, option pricing models, and hedging strategies. A unique chapter on market indices teaches students the basics of index information, calculation, and usage and illustrates the important roles that these indices play in model formation, performance evaluation, investment strategy, and hedging techniques. Complete sections on program trading, portfolio insurance, duration and bond immunization, performance measurements, and the timing of stock selection provide real-world applications of investment theory. In addition, special topics, including equity risk premia, simultaneous-equation approach for security valuation, and Itô's calculus, are also included for advanced students and researchers.
Contents:IntroductionInformation and Security Valuation:Accounting Information and Regression AnalysisCommon Stock: Return, Growth, and RiskIntroduction to Valuation TheoriesBond Valuation and AnalysisThe Uses and Calculation of Market IndexesPortfolio Theory and Asset Pricing:Sources of Risk and Their DeterminationRisk-Aversion, Capital Asset Allocation, and Markowitz Portfolio-Selection ModelCapital Asset Pricing Model and Beta ForecastingIndex Models for Portfolio SelectionPerformance-Measure Approaches for Selecting Optimum PortfoliosThe Efficient-Market Hypothesis and Security ValuationArbitrage Pricing Theory and Intertemporal Capital Asset Pricing ModelFutures and Option:Futures Valuation and HedgingCommodity Futures, Financial Futures, and Stock-Index FuturesOptions and Option StrategiesOption Pricing Theory and Firm ValuationDecision Tree and Microsoft Excel Approach for Option Pricing ModelNormal, Log-Normal Distribution, and Option Pricing ModelComparative Static Analysis of the Option Pricing ModelsApplied Portfolio Management:Security Analysis and Mutual Fund PerformanceInternational Diversification and Asset PricingBond Portfolios: Management and StrategyPortfolio Insurance and Synthetic OptionsSpecial Topics:Capturing Equity Risk PremiaSimultaneous Equation Models for Security ValuationItô's Calculus: Derivation of the Black–Scholes Option Pricing Model
Readership: Advanced undergraduate students/graduate students, academics with interest in investment analysis.