Lioui, Abraham
Dynamic Asset Allocation with Forwards and Futures
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
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Nyckelord: BUSINESS & ECONOMICS / Management Science BUS042000
- Författare
- Lioui, Abraham
- Poncet, Patrice
- Utgivare
- Springer
- Utgivningsår
- 2005
- Språk
- en
- Utgåva
- 1
- Kategori
- Ekonomisk
- Format
- E-bok
- eISBN (PDF)
- 9780387241067