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DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES 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. The book proposes an approach of these markets from the perspective of dynamic asset allocation and asset pricing theory within an inter-temporal framework. The main ingredients that are used are the assumed absence of frictions and arbitrage opportunities in financial and real markets, the uniqueness of the economic general equilibrium, when such an equilibrium is required and the tools of continuous time finance, namely martingale theory and stochastic dynamic programming. The scope of DYNAMIC ASSET ALLOCATION WITH FORWARD AND FUTURES is essentially theoretical, with emphasis on economic meaning and financial interpretation. Regarding investment and/or hedging, focus is on optimal strategies rather than on actual practice. Simulations, however, are performed when important insights can be delivered as to the practical relevance of some theoretical results. Also, optimal strategies using futures are shown to differ markedly from those using forwards. The following issues are examined: pure hedging, investment and hedging in complete or incomplete markets, currency risk, optimal spreading, presence of stochastic dividend or convenience yields, pricing of non-redundant futures or forwards by means of general equilibrium analysis, and revisiting of existing Capital Asset Pricing Models.

Capital assets pricing model. --- Hedging (Finance) --- Equilibrium (Economics) --- DGE (Economics) --- Disequilibrium (Economics) --- DSGE (Economics) --- Dynamic stochastic general equilibrium (Economics) --- Economic equilibrium --- General equilibrium (Economics) --- Partial equilibrium (Economics) --- SDGE (Economic theory) --- Economics --- Statics and dynamics (Social sciences) --- Options (Finance) --- Speculation --- Financial futures --- Capital asset pricing model --- CAPM (Capital assets pricing model) --- Pricing model, Capital assets --- Capital --- Finance --- Investments --- Mathematical models --- Finance. --- Macroeconomics. --- Economic theory. --- Finance, general. --- Macroeconomics/Monetary Economics//Financial Economics. --- Economic Theory/Quantitative Economics/Mathematical Methods. --- Economic theory --- Political economy --- Social sciences --- Economic man --- Funding --- Funds --- Currency question

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Money market. Capital market --- Interest rates --- Interest rates. --- Taux d'interet --- Prevision

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FR / France - Frankrijk --- 333.451.2 --- 333.451.3 --- 333.605 --- 333.451.4 --- 333.451.7 --- 333.642 --- 339.4 --- Deviezen op termijn. --- Deviezenarbitrage. --- Nieuwe financiële instrumenten. --- Rente arbitrage. --- Speculatie. Wisselrisico's. --- Termijn. Financial futures. --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's. --- Deviezen op termijn --- Deviezenarbitrage --- Nieuwe financiële instrumenten --- Rente arbitrage --- Speculatie. Wisselrisico's --- Termijn. Financial futures --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's

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Marches a terme d'instruments financiers --- Marchés à terme d'instruments financiers --- 336.761 <44> --- Marchés à terme d'instruments financiers --- FR / France - Frankrijk --- 333.451.2 --- 333.451.3 --- 333.605 --- 333.451.4 --- 333.451.7 --- 333.642 --- 339.4 --- Deviezen op termijn. --- Deviezenarbitrage. --- Nieuwe financiële instrumenten. --- Rente arbitrage. --- Speculatie. Wisselrisico's. --- Termijn. Financial futures. --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's. --- Financial futures --- Deviezen op termijn --- Deviezenarbitrage --- Nieuwe financiële instrumenten --- Rente arbitrage --- Speculatie. Wisselrisico's --- Termijn. Financial futures --- Vermogensbeheer. Financiële analyse. Verspreiding van de beleggingsrisico's --- Marches a terme d'instruments financiers - France - Paris

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Capital market --- Portfolio management --- Marché financier --- Gestion de portefeuille --- Mathematical models --- Modèles mathématiques --- AA / International- internationaal --- 333.600 --- Financiële markten. Kapitaalmarkten (algemeenheden). --- Financiële markten. Kapitaalmarkten (algemeenheden)