Dynamic Allocation and Pricing in Incomplete Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Dynamic Allocation and Pricing in Incomplete Markets write by Makoto Saito. This book was released on 1998. Dynamic Allocation and Pricing in Incomplete Markets available in PDF, EPUB and Kindle.
Dynamic Asset Allocation with Forwards and Futures
Dynamic Asset Allocation with Forwards and Futures - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Dynamic Asset Allocation with Forwards and Futures write by Abraham Lioui. This book was released on 2005-12-06. Dynamic Asset Allocation with Forwards and Futures available in PDF, EPUB and Kindle. 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.
Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets
Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets write by Rune Mølgaard. This book was released on 2015. Dynamic Asset Allocation in the Presence of Housing and Incomplete Markets available in PDF, EPUB and Kindle. This paper studies in continuous time and in an incomplete market setting the optimal housing, consumption, labor and portfolio choice of an agent in the presence of stochastic house prices and wages. Thus, the house prices and wage rates cannot be spanned by the financial market. In particular, the paper investigates the optimal strategies under two different preference specifications with respect to housing. The paper provides new closed-form solutions in the special case in which the market is complete. In addition, the paper also studies the optimal housing, consumption, labor, portfolio and welfare implications of frictions in the housing market. Particularly, the optimal strategies and welfare loss are analyzed if the house is a non-traded asset. This paper suggests that the consumption, labor, speculative investment and hedging of human capital is similar across preference specification and frictions in the market for housing when the economy is complete. The consumption and labor strategies are, however, dependent on frictions in the market for housing in the case where the economy is incomplete. The welfare loss from these frictions is small in magnitude but will influence the optimal consumption, labor and portfolio choice.
Money, Credit and Allocation Under Complete Dynamic Contracts and Incomplete Markets
Money, Credit and Allocation Under Complete Dynamic Contracts and Incomplete Markets - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Money, Credit and Allocation Under Complete Dynamic Contracts and Incomplete Markets write by S. Rao Aiyagari. This book was released on 1997. Money, Credit and Allocation Under Complete Dynamic Contracts and Incomplete Markets available in PDF, EPUB and Kindle.
Handbooks in Operations Research and Management Science: Financial Engineering
Handbooks in Operations Research and Management Science: Financial Engineering - read free eBook in online reader or directly download on the web page. Select files or add your book in reader. Download and read online ebook Handbooks in Operations Research and Management Science: Financial Engineering write by John R. Birge. This book was released on 2007-11-16. Handbooks in Operations Research and Management Science: Financial Engineering available in PDF, EPUB and Kindle. The remarkable growth of financial markets over the past decades has been accompanied by an equally remarkable explosion in financial engineering, the interdisciplinary field focusing on applications of mathematical and statistical modeling and computational technology to problems in the financial services industry. The goals of financial engineering research are to develop empirically realistic stochastic models describing dynamics of financial risk variables, such as asset prices, foreign exchange rates, and interest rates, and to develop analytical, computational and statistical methods and tools to implement the models and employ them to design and evaluate financial products and processes to manage risk and to meet financial goals. This handbook describes the latest developments in this rapidly evolving field in the areas of modeling and pricing financial derivatives, building models of interest rates and credit risk, pricing and hedging in incomplete markets, risk management, and portfolio optimization. Leading researchers in each of these areas provide their perspective on the state of the art in terms of analysis, computation, and practical relevance. The authors describe essential results to date, fundamental methods and tools, as well as new views of the existing literature, opportunities, and challenges for future research.
