| Document Type
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BL
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| Record Number
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1025011
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| Doc. No
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b779381
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| Main Entry
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Lioui, Abraham.
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| Title & Author
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Dynamic asset allocation with forwards and futures /\ by Abraham Lioui and Patrice Poncet.
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| Publication Statement
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New York :: Springer,, ©2005.
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| Page. NO
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1 online resource (xvii, 263 pages) :: illustrations
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| ISBN
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038724106X
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: 0387241078
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: 1280234105
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: 6610234108
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: 9780387241067
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: 9780387241074
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: 9781280234101
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: 9786610234103
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| Bibliographies/Indexes
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Includes bibliographical references (pages 252-260) and index.
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| Contents
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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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| Abstract
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"Dynamic Asset Allocation with Forwards and Futures is an advanced text on the theory of forwards 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 characterizes such markets, and what major theoretical and practical differences distinguish futures from forwards contracts."--Jacket.
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| Subject
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Capital assets pricing model.
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Equilibrium (Economics)
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Hedging (Finance)
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Affaires.
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BUSINESS ECONOMICS-- Investments Securities-- Futures.
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Capital assets pricing model.
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Economie de l'entreprise.
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Equilibrium (Economics)
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Hedging (Finance)
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Science économique.
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Capital assets pricing model.
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Equilibrium (Economics)
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Hedging (Finance)
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Futures.
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Hedging.
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Termijnhandel.
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| Dewey Classification
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332.64/524
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| LC Classification
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HG4515.2.L56 2005
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| NLM classification
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85.30bcl
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F830. 59-32clc
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| Added Entry
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Poncet, Patrice.
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