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Lioui, Abraham

Dynamic Asset Allocation with Forwards and Futures

Dynamic Asset Allocation with Forwards and Futures

117,80€

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ISBN: 9780387241067
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Table of contents

Part I.The Basics

1. Forward and Futures Markets
2. Standard Pricing Results under Deterministic and Stochastic Interest Rates
Part II.Investment and Hedging

3. Pure Hedging
4. Optimal Dynamic Portfolio Choice in Complete Markets
5. Optimal Dynamic Portfolio Choice in Incomplete Markets
6. Optimal Currency Risk Hedging
7. Optimal Spreading
8. Pricing and Hedging under Stochastic Dividend or Convenience Yield
Part III.General Equilibrium Pricing

9. Equilibrium Asset Pricing in an Endowment Economy with Non-Redundant Forward or Futures Contracts
10. Equilibrium Asset Pricing in a Production Economy with Non-Redundant Forward or Futures Contracts
11. General Equilibrium Pricing of Futures and Forward Contracts Written on the CPI

DRM-restrictions

Printing: not available
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Keywords: BUSINESS & ECONOMICS / Management Science BUS042000

Author(s)
 
Publisher
Springer
Publication year
2005
Language
en
Edition
1
Category
Economy
Format
Ebook
eISBN (PDF)
9780387241067

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