Dynamic Asset Allocation with Forwards and Futures
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- Artikel-Nr.: 10196256
Beschreibung
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.
Eigenschaften
Breite: | 155 |
Gewicht: | 585 g |
Höhe: | 235 |
Seiten: | 264 |
Sprachen: | Englisch |
Autor: | Abraham Lioui, Patrice Poncet |
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