Hedging With Futures In An Intertemporal Portfolio Context

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.

Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance. The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.

The use of formal mathematical models and optimization in finance has become common practice in the 1980s and 1990s. This book clearly presents the exciting symbiosis between the fields of finance and management science/operations research. Prominent researchers present the state of the art in financial optimization, while analysts from industry discuss the latest business techniques practised by financial firms in New York, London and Tokyo. The book covers a wide range of topics: portfolio management of equities and fixed income investments, the pricing of complex insurance, mortgage and other asset-backed products, and models for risk-management and diversification.

This volume of The International Symposia in Economic Theory and Econometrics explores and investigates contemporary challenges and issues facing the Asia-Pacific economies. For researchers and students of economics and finance, this volume is a fascinating exploration of emerging topics in one the fastest growing economies in the world.

A collection of 70 influential articles which cover a range of topics, including stock indexes, arbitrage, portfolio insurance, volatility and the October 1987 crash, price distributions, theories and determinants of hedging, portfolio selection with futures, institutions, market characteristics, speculation, pricing, efficiency, interest rates and insurance, and foreign currencies. In addition, the editor has written introductory essays for each volume which analyze speculation and hedging, explore the relatively new idea that futures markets can be modelled as chaotic processes, and demystify financial futures while presenting evidence of their benefits. No subject index. Annotation copyright by Book News, Inc., Portland, OR

Earlier place of publication varies.

Including contributions from Jerome Stein and Guay Lim, this book explores debt and liquidity in finance. In three parts it covers developing country debt and currency crises, risk, and risk management in futures markets and liquidity.