Dynamic Asset Allocation with Forwards and Futures
Softcover reprint of hardcover 1st ed. 2005
Book Details
Format
Paperback / Softback
ISBN-10
1441936890
ISBN-13
9781441936899
Edition
Softcover reprint of hardcover 1st ed. 2005
Publisher
Springer-Verlag New York Inc.
Imprint
Springer-Verlag New York Inc.
Country of Manufacture
US
Country of Publication
GB
Publication Date
Oct 29th, 2010
Print length
264 Pages
Ksh 15,850.00
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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.
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