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Dynamic Asset Allocation with Forwards and Futures (2005)

Dynamic Asset Allocation with Forwards and Futures (2005)

Abraham Lioui, Patrice Poncet

Published: 2005, March 30
Authors: Abraham Lioui, Patrice Poncet
Publishers: Springer Science & Business Media
Pages: 290
Print type: BOOK

Description:

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.