Stanford MS&E242S: Investment Science - Everything you need to know for retirement investment management, is included in this summer program from the Stanford Center for Professional Development.

Emphasis is on a cash flow approach. Topics include deterministic cash flow analysis (time value of money, present value, internal rate of return, taxes, inflation), fixed income securities, duration and bond portfolio immunization, term structure of interest rates (spot rates, discount factors, forward rates), Fisher-Weill duration and immunization, capital budgeting, dynamic optimization problems, investments under uncertainty, mean-variance portfolio theory, capital asset pricing, and basic options theory. Goal is to create a link between engineering analysis and business decision making.

Prereqs: Calculus, probability, and optimization. Students should be well versed in multivariable differential and integral calculus, including Lagrange multipliers and the theory of constrained optimization. Students should also know probability with a single and multiple random variables. Familiarity with Excel is helpful.

Text: Investment Science by David. G. Luenberger (Oxford Press, 1998)

http://www.stanford.edu/class/msande242s/