Dynamic Asset Allocation with Forwards and Futures

Abraham Lioui, Patrice Poncet (Autoren)

Buch | Softcover

264 Seiten

2010 | Softcover reprint of hardcover 1st ed. 2005
Springer-Verlag New York Inc.
978-1-4419-3689-9 (ISBN)

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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 what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets.

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.

Erscheint lt. Verlag	29.10.2010
Zusatzinfo	XVIII, 264 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Wirtschaft ► Allgemeines / Lexika
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
ISBN-10	1-4419-3689-0 / 1441936890
ISBN-13	978-1-4419-3689-9 / 9781441936899
Zustand	Neuware