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Dynamic Asset Allocation with Forwards and Futures

Dynamic Asset Allocation with Forwards and Futures

Abraham Lioui / Patrice Poncet

220,02 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Finanzas
ISBN:
9781441936899
220,02 €
IVA incluido
Disponible

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Sobre IBD

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.- Pricing and Hedging under Stochastic Dividend or Convenience Yield.- Part III: 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.- References.- Subject Index.

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Otros libros del autor

  • Dynamic Asset Allocation with Forwards and Futures
    Abraham Lioui / Patrice Poncet
    This book 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 in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and wha...