先渡・先物取引による動学的資産配分 Dynamic Asset Allocation with Forwards and Futures

先渡・先物取引による動学的資産配分<br>Dynamic Asset Allocation with Forwards and Futures

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先渡・先物取引による動学的資産配分
Dynamic Asset Allocation with Forwards and Futures

Lioui, Abraham/ Poncet, Patrice

ウェブストア価格 ¥21,327（本体¥19,389）
Springer Verlag（2005/02発売）
外貨定価 US$ 109.99
ポイント 193pt

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製本 Hardcover:ハードカバー版／ページ数 263 p.
言語 ENG
商品コード 9780387241074
DDC分類 332.64524

基本説明

Emphasis is on economic meaning and financial interpretation rather than on mathematical rigor.

Full Description

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.

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.