I. BACKGROUND. 1. Introduction to Modern Investment Theory. 2. Securities and Markets. 3. Some Statistical Concepts. 4. Combining Individual Securities into Portfolios. II. PORTFOLIO MANAGEMENT. 5. Finding the Efficient Set. 6. Factor Models. 7. Asset Allocation. III. ASSET PRICING THEORIES AND PERFORMANCE MEASUREMENT. 8. The Capital Asset Pricing Model. 9. Empirical Tests of the Asset Pricing Model. 10. The Arbitrage Pricing Theory. 11. Measuring Portfolio Performance with Asset Pricing Models. 12. Measuring Performance without Asset Pricing Models. IV. INTEREST RATES AND BOND MANAGEMENT. 13. The Level of Interest Rates. 14. The Term Structure of Interest Rates. 15. Bond Portfolio Management. 16. Interest Immunization. V. DERIVATIVE SECURITIES. 17. European Option Pricing. 18. American Option Pricing. 19. Additional Issues in Option Pricing. 20. Financial Forward and Futures Contracts. VI. TAXES, STOCK VALUATION, AND MARKET EFFICIENCY. 21. The Effect of Taxes on Investment Strategy and Securities Prices. 22. Stock Valuation. 23. Issues in Estimating Future Earnings and Dividends. 24. Market Efficiency: The Concept. 25. Market Efficiency: The Evidence.

The one‐factor version of the Cox, Ingersoll, and Ross model of the term structure is estimated using monthly quotes on U.S. Treasury issues trading from 1952 through 1983. Using data from a single yield curve, it is possible to estimate implied short and long term zero coupon rates and the implied variance of changes in short rates. Analysis of residuals points to a probable neglected tax effect.