Dynamic Asset Allocation with Forwards and Futures

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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Lioui, Abraham (Autor), Poncet, Patrice (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2005.
Edición:1st ed. 2005.
Temas:
Finance.
Macroeconomics.
Econometrics.
Financial Economics.
Macroeconomics and Monetary Economics.
Quantitative Economics.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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