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020 _a9780387241067
_9978-0-387-24106-7
024 7 _a10.1007/b104496
_2doi
035 _avtls000330019
039 9 _a201509031108
_bVLOAD
_c201405070455
_dVLOAD
_c201401311326
_dstaff
_c201401311151
_dstaff
_y201401291445
_zstaff
_wmsplit0.mrc
_x440
050 4 _aHG1-9999
100 1 _aLioui, Abraham.
_eautor
_9302076
245 1 0 _aDynamic Asset Allocation with Forwards and Futures /
_cby Abraham Lioui, Patrice Poncet.
264 1 _aBoston, MA :
_bSpringer US,
_c2005.
300 _aXVIII, 263 páginas,
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
500 _aSpringer eBooks
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.
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700 1 _aPoncet, Patrice.
_eautor
_978888
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9780387241074
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/b104496
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c278439
_d278439