LIBROS DEL AUTOR: patrice poncet

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  • Dynamic Asset Allocation with Forwards and Futures
    Abraham Lioui / Patrice Poncet
    Preface.- Acknowledgements.- Notations.- Part I: The Basics.- Forward and Futures Markets.- Standard Pricing Results Under Deterministic and Stochastic Interest Rates.- Part II: 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....
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