Dynamic Asset Allocation with Forwards and Futures

• Κύριοι συγγραφείς: Lioui, Abraham (Συγγραφέας), Poncet, Patrice (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Boston, MA : Springer US, 2005.
• Θέματα: Finance.; Economic theory.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.

DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what cha...

Πίνακας περιεχομένων:

• The Basics
• Forward and Futures Markets
• Standard Pricing Results under Deterministic and Stochastic Interest Rates
• Investment and Hedging
• Pure Hedging
• Optimal Dynamic Portfolio Choice in Complete Markets
• Optimal Dynamic Portfolio Choice in Incomplete Markets
• Optimal Currency Risk Hedging
• Optimal Spreading
• Pricing and Hedging under Stochastic Dividend or Convenience Yield
• General Equilibrium Pricing
• Equilibrium Asset Pricing in an Endowment Economy with Non-Redundant Forward or Futures Contracts
• Equilibrium Asset Pricing in a Production Economy with Non-Redundant Forward or Futures Contracts
• General Equilibrium Pricing of Futures and Forward Contracts Written on the CPI.