Dynamic Asset Allocation With Forwards And Futures

Author : Abraham Lioui
Publisher : Springer Science & Business Media
ISBN 13 : 9780387241074
Total Pages : 290 pages
Book Rating : 4.78/5 ( download)

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Download or read book Dynamic Asset Allocation with Forwards and Futures written by Abraham Lioui and published by Springer Science & Business Media. This book was released on 2005-03-30 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: This 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. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators.

Author : David A. Hammer
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.83/5 ( download)

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Download or read book Dynamic Asset Allocation written by David A. Hammer and published by . This book was released on 1991-04-25 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt: Includes an examination of traditional asset allocation methods, why they do and do not work, and which elements can be used in overseeing the professional's own portfolio. In addition, the author introduces his own proven method of portfolio management and asset allocation strategies--the ``7-Step System''--using simple statistical techniques to forecast stock, bond, commodity, and money market returns. Free of complex mathematics, charts, graphs, and technical jargon, this is a highly readable guide to getting the most from today's sophisticated investment techniques.

Author : Richard E. Oberuc
Publisher : McGraw Hill Professional
ISBN 13 : 9780071426695
Total Pages : 344 pages
Book Rating : 4.98/5 ( download)

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Download or read book Dynamic Portfolio Theory and Management written by Richard E. Oberuc and published by McGraw Hill Professional. This book was released on 2004 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description

Author : Patrice Poncet
Publisher : Springer Nature
ISBN 13 : 3030846008
Total Pages : 1385 pages
Book Rating : 4.08/5 ( download)

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Download or read book Capital Market Finance written by Patrice Poncet and published by Springer Nature. This book was released on 2022-11-07 with total page 1385 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a comprehensive and coherent presentation of almost all aspects of Capital Market Finance, providing hands-on knowledge of advanced tools from mathematical finance in a practical setting. Filling the gap between traditional finance textbooks, which tend to avoid advanced mathematical techniques used by professionals, and books in mathematical finance, which are often more focused on mathematical refinements than on practical uses, this book employs advanced mathematical techniques to cover a broad range of key topics in capital markets. In particular, it covers all primitive assets (equities, interest and exchange rates, indices, bank loans), most vanilla and exotic derivatives (swaps, futures, options, hybrids and credit derivatives), portfolio theory and management, and risk assessment and hedging of individual positions as well as portfolios. Throughout, the authors emphasize the methodological aspects and probabilistic foundations of financial asset valuation, risk assessment and measurement. Background in financial mathematics, particularly stochastic calculus, is provided as needed, and over 200 fully worked numerical examples illustrate the theory. Based on the authors' renowned master's degree courses, this book is written for students in business and finance, as well as practitioners in quantitative finance. Apart from an undergraduate-level knowledge of calculus, linear algebra and probability, the book is self-contained with no prior knowledge of market finance required.

Author :
Publisher : PediaPress
ISBN 13 :
Total Pages : 1231 pages
Book Rating : 4./5 ( download)

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Download or read book Financial Derivatives written by and published by PediaPress. This book was released on with total page 1231 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author :
Publisher : PediaPress
ISBN 13 :
Total Pages : 1295 pages
Book Rating : 4./5 ( download)

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Download or read book Derivatives written by and published by PediaPress. This book was released on with total page 1295 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Author : Patrick Boyle
Publisher : Walter de Gruyter GmbH & Co KG
ISBN 13 : 1547401214
Total Pages : 298 pages
Book Rating : 4.15/5 ( download)

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Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Author : Darrell Duffie
Publisher : Princeton University Press
ISBN 13 : 1400829208
Total Pages : 488 pages
Book Rating : 4.00/5 ( download)

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Download or read book Dynamic Asset Pricing Theory written by Darrell Duffie and published by Princeton University Press. This book was released on 2010-01-27 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for doctoral students and researchers on the theory of asset pricing and portfolio selection in multiperiod settings under uncertainty. The asset pricing results are based on the three increasingly restrictive assumptions: absence of arbitrage, single-agent optimality, and equilibrium. These results are unified with two key concepts, state prices and martingales. Technicalities are given relatively little emphasis, so as to draw connections between these concepts and to make plain the similarities between discrete and continuous-time models. Readers will be particularly intrigued by this latest edition's most significant new feature: a chapter on corporate securities that offers alternative approaches to the valuation of corporate debt. Also, while much of the continuous-time portion of the theory is based on Brownian motion, this third edition introduces jumps--for example, those associated with Poisson arrivals--in order to accommodate surprise events such as bond defaults. Applications include term-structure models, derivative valuation, and hedging methods. Numerical methods covered include Monte Carlo simulation and finite-difference solutions for partial differential equations. Each chapter provides extensive problem exercises and notes to the literature. A system of appendixes reviews the necessary mathematical concepts. And references have been updated throughout. With this new edition, Dynamic Asset Pricing Theory remains at the head of the field.

Author : John Y. Campbell
Publisher : OUP Oxford
ISBN 13 : 019160691X
Total Pages : 272 pages
Book Rating : 4.15/5 ( download)

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Download or read book Strategic Asset Allocation written by John Y. Campbell and published by OUP Oxford. This book was released on 2002-01-03 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: Academic finance has had a remarkable impact on many financial services. Yet long-term investors have received curiously little guidance from academic financial economists. Mean-variance analysis, developed almost fifty years ago, has provided a basic paradigm for portfolio choice. This approach usefully emphasizes the ability of diversification to reduce risk, but it ignores several critically important factors. Most notably, the analysis is static; it assumes that investors care only about risks to wealth one period ahead. However, many investors—-both individuals and institutions such as charitable foundations or universities—-seek to finance a stream of consumption over a long lifetime. In addition, mean-variance analysis treats financial wealth in isolation from income. Long-term investors typically receive a stream of income and use it, along with financial wealth, to support their consumption. At the theoretical level, it is well understood that the solution to a long-term portfolio choice problem can be very different from the solution to a short-term problem. Long-term investors care about intertemporal shocks to investment opportunities and labor income as well as shocks to wealth itself, and they may use financial assets to hedge their intertemporal risks. This should be important in practice because there is a great deal of empirical evidence that investment opportunities—-both interest rates and risk premia on bonds and stocks—-vary through time. Yet this insight has had little influence on investment practice because it is hard to solve for optimal portfolios in intertemporal models. This book seeks to develop the intertemporal approach into an empirical paradigm that can compete with the standard mean-variance analysis. The book shows that long-term inflation-indexed bonds are the riskless asset for long-term investors, it explains the conditions under which stocks are safer assets for long-term than for short-term investors, and it shows how labor income influences portfolio choice. These results shed new light on the rules of thumb used by financial planners. The book explains recent advances in both analytical and numerical methods, and shows how they can be used to understand the portfolio choice problems of long-term investors.

Author : Ephraim Matanda
Publisher : Cambridge Scholars Publishing
ISBN 13 : 1527545202
Total Pages : 301 pages
Book Rating : 4.05/5 ( download)

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Download or read book Modern Financial Investment Management written by Ephraim Matanda and published by Cambridge Scholars Publishing. This book was released on 2020-01-10 with total page 301 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book stresses the importance of aligning developing countries’ economic activities towards sustainable development purposes. A revamp of the financial systems of emerging economies is necessary to allow the financial resources needed for investment purposes to become readily available on these markets. The failure of most countries to grow and develop is often caused by the inability of potential investors to access capital for investment purposes. By modernizing the financial sectors of developing nations, this book argues, it is possible to industrialize their approaches to growth and development.