MARC details
| 000 -LEADER |
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| fixed length control field |
03877nam a22004455i 4500 |
| 001 - CONTROL NUMBER |
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| control field |
978-0-387-24106-7 |
| 003 - CONTROL NUMBER IDENTIFIER |
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| control field |
DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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| control field |
20250710083930.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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| fixed length control field |
cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
100301s2005 xxu| s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780387241067 |
| -- |
99780387241067 |
| 024 7# - OTHER STANDARD IDENTIFIER |
|---|
| Standard number or code |
10.1007/b104496 |
| Source of number or code |
doi |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
657.8333 |
| Edition information |
23 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
658.152 |
| Edition information |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Lioui, Abraham. |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Dynamic Asset Allocation with Forwards and Futures |
| Medium |
[recurso electrónico] / |
| Statement of responsibility, etc. |
by Abraham Lioui, Patrice Poncet. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
|---|
| Place of production, publication, distribution, manufacture |
Boston, MA : |
| Name of producer, publisher, distributor, manufacturer |
Springer US, |
| Date of production, publication, distribution, manufacture, or copyright notice |
2005. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XVIII, 263 p. |
| Other physical details |
online resource. |
| 336 ## - CONTENT TYPE |
|---|
| Content type term |
text |
| Content type code |
txt |
| Source |
rdacontent |
| 337 ## - MEDIA TYPE |
|---|
| Media type term |
computer |
| Media type code |
c |
| Source |
rdamedia |
| 338 ## - CARRIER TYPE |
|---|
| Carrier type term |
recurso en línea |
| Carrier type code |
cr |
| Source |
rdacarrier |
| 347 ## - DIGITAL FILE CHARACTERISTICS |
|---|
| File type |
text file |
| Encoding format |
PDF |
| Source |
rda |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc. |
DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES 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 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 forward contracts. The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when such an equilibrium is required and the tools of continuous time finance, namely martingale theory and stochastic dynamic programming. The scope of DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is essentially theoretical, with emphasis on economic meaning and financial interpretation. Regarding investment and/or hedging, focus is on optimal strategies rather than on actual practice. Simulations, however, are performed when important insights can be delivered as to the practical relevance of some theoretical results. Also, optimal strategies using futures are shown to differ markedly from those using forwards. The following issues are examined: pure hedging, investment and hedging in complete or incomplete markets, currency risk, optimal spreading, presence of stochastic dividend or convenience yields, pricing of non-redundant futures or forwards by means of general equilibrium analysis, and revisiting of existing Capital Asset Pricing Models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
ECONOMICS. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
FINANCE. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
BANKS AND BANKING. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
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| Topical term or geographic name entry element |
ECONOMICS/MANAGEMENT SCIENCE. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
FINANCE /BANKING. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
FINANCIAL ECONOMICS. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name entry element |
ECONOMIC THEORY. |
| 700 1# - ADDED ENTRY--PERSONAL NAME |
|---|
| Personal name |
Poncet, Patrice. |
| Relator term |
author. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Relationship information |
Printed edition: |
| International Standard Book Number |
9780387241074 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
<a href="http://dx.doi.org/10.1007/b104496">http://dx.doi.org/10.1007/b104496</a> |
| Public note |
Ver el texto completo en las instalaciones del CICY |
| 912 ## - |
|---|
| -- |
ZDB-2-SBE |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
Dewey Decimal Classification |
| Koha item type |
Libros electrónicos |
