000			03877nam a22004455i 4500
001			978-0-387-24106-7
003			DE-He213
005			20250710083930.0
007			cr nn 008mamaa
008			100301s2005 xxu| s |||| 0|eng d
020			_a9780387241067 _a99780387241067
024	7		_a10.1007/b104496 _2doi
082	0	4	_a657.8333 _223
082	0	4	_a658.152 _223
100	1		_aLioui, Abraham. _eauthor.
245	1	0	_aDynamic Asset Allocation with Forwards and Futures _h[recurso electrónico] / _cby Abraham Lioui, Patrice Poncet.
264		1	_aBoston, MA : _bSpringer US, _c2005.
300			_aXVIII, 263 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_atext file _bPDF _2rda
505	0		_aThe 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			_aDYNAMIC 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	_aECONOMICS.
650		0	_aFINANCE.
650		0	_aBANKS AND BANKING.
650	1	4	_aECONOMICS/MANAGEMENT SCIENCE.
650	2	4	_aFINANCE /BANKING.
650	2	4	_aFINANCIAL ECONOMICS.
650	2	4	_aECONOMIC THEORY.
700	1		_aPoncet, Patrice. _eauthor.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9780387241074
856	4	0	_uhttp://dx.doi.org/10.1007/b104496 _zVer el texto completo en las instalaciones del CICY
912			_aZDB-2-SBE
942			_2ddc _cER
999			_c56303 _d56303