"Sinopsis" puede pertenecer a otra edición de este libro.
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.
"Sobre este título" puede pertenecer a otra edición de este libro.
Gastos de envío:
GRATIS
A Estados Unidos de America
Descripción Condición: New. Buy with confidence! Book is in new, never-used condition. Nº de ref. del artículo: bk0387241078xvz189zvxnew
Descripción Hardcover. Condición: new. Nº de ref. del artículo: 9780387241074
Descripción Condición: New. Nº de ref. del artículo: ABLIING23Feb2215580171094
Descripción Condición: New. New! This book is in the same immaculate condition as when it was published. Nº de ref. del artículo: 353-0387241078-new
Descripción TAPA DURA. Condición: New. Nº de ref. del artículo: 100744214
Descripción Condición: New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. Nº de ref. del artículo: ria9780387241074_lsuk
Descripción Buch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book 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 in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets. 286 pp. Englisch. Nº de ref. del artículo: 9780387241074
Descripción Gebunden. Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Advanced text on the theory of forward and futures markets, in-between a streamlined textbook and a research monographEmphasis is on economic meaning and financial interpretation rather than on mathematical rigor, also theoretical and practical di. Nº de ref. del artículo: 5909328
Descripción Buch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - This book 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 in time, what optimal strategies one can expect the participants to follow, whether they pertain to arbitrage, speculation or hedging, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (MBAs majoring in finance with quantitative skills and PhDs in finance and financial economics), academics (both theoreticians and empiricists), practitioners, and regulators. Standard textbooks dealing with forward and futures markets generally focus on the description of the contracts, institutional details, and the effective (as opposed to theoretically optimal) use of these instruments by practitioners. The theoretical analysis is often reduced to the (undoubtedly important) cash-and-carry relationship and the computation of the simple, static, minimum variance hedge ratio. This book proposes an alternative approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework that is in line with what has been done many years ago for options markets. Nº de ref. del artículo: 9780387241074
Descripción Hardback. Condición: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days. Nº de ref. del artículo: C9780387241074