Download or read book Optimal Forward Contracts written by Sanjoy Ghosh and published by . This book was released on 1999 with total page 98 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing and optimal use of forward contracts with default risk written by Ian A. Cooper and published by . This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Forward Contracts written by Ian Anthony Cooper and published by . This book was released on 1990 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Pricing and Optimal Use of Forward Contracts with Default Risks written by Ian Anthony Cooper and published by . This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 2005-12-06 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Download or read book Forward Contracts written by Ian Cooper and published by Legare Street Press. This book was released on 2023-07-18 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book introduces the concept of forward contracts and explains how they can be used to manage risk in the context of commodity markets. It provides a comprehensive overview of the various pricing models and risk management strategies that are used by traders and investors in the industry. The authors, Antnio Sampaio Mello and Ian Cooper, are experts in the field and their insights make this book an invaluable resource for anyone interested in commodity markets and trading. This work has been selected by scholars as being culturally important, and is part of the knowledge base of civilization as we know it. This work is in the "public domain in the United States of America, and possibly other nations. Within the United States, you may freely copy and distribute this work, as no entity (individual or corporate) has a copyright on the body of the work. Scholars believe, and we concur, that this work is important enough to be preserved, reproduced, and made generally available to the public. We appreciate your support of the preservation process, and thank you for being an important part of keeping this knowledge alive and relevant.

Download or read book Pricing and Optimal Use of Forward Contracts with Default Risk written by Ian A. Cooper and published by . This book was released on 1991 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Implicit Delivery Options and Optimal Delivery Strategies for Financial Futures Contracts written by Gerald D. Gay and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book On the Innovation of Forward Contracts written by Man-chung Ng and published by . This book was released on 1991 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Settlement Specifications on Futures Contracts written by Da-Hsiang Donald Lien and published by . This book was released on 1989 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Hedging in Continuous Time with Futures and Forward Contracts in a Stochastic Interest Rate Environment written by H. Pham and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optional Forward Contracts for Electric Power Markets written by Thomas Webster Gedra and published by . This book was released on 1991 with total page 250 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Innovation of Futures Contracts written by Darrell Duffie and published by . This book was released on 1986 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Optimal Number of Contracts in Cross Or Delta Hedges written by Piet Sercu and published by . This book was released on 1997 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book An Optimal Strategy for Hedging with Short Term Futures Contracts written by Gerhard Larcher and published by . This book was released on 2000 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Optimal Dynamic Liquidation of an Inventory Via Forward Markets written by Behzad Ghafouri and published by . This book was released on 2017 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: In commodity markets, a trader selling her inventory over a finite time horizon has access not only to the spot market but also to forward contracts. The trader has the choice to sell at the spot price, or to short a forward contract for later delivery, or a combination of both. While the commodity is hedged with the forward contract and carried in the inventory, the trader can dynamically adjust the maturity of the forward contract at each time step until the inventory is completely depleted. This paper investigates the optimal liquidation strategy for such a trader in the above framework, which can be considered a dynamic extension of the cash and carry arbitrage that may arise in contango markets. It is proved, independent of the underlying stochastic forward price model, that a 'partial sale' strategy involving the sale of the inventory across different contracts is not optimal. In addition, under a linearity assumption on the forward price differences, the optimally selected forward maturity is limited to a subset comprising the immediate (spot), next, or last time stage. The theoretical results imply that the optimal actions set is considerably smaller than the feasible set. An Approximate Dynamic Programming (ADP) policy is developed, and compared to the solution achieved by an exact grid-based technique and a Forward Dynamic Optimization (FDO) approach. The risk and return characteristics of ADP and FDO methods are contrasted. The theoretical propositions are verified numerically, and found to reduce computational times significantly.

Download or read book Optimal Futures Contract Design written by Elizabeth Tashjian and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Designing successful futures contracts is no easy task. Most new contracts fail to attract a sustainable level of trading volume. A comparatively new approach to identifying the attributes of successful futures contracts comes from applying the emerging literature on security design to the futures problem. A second and more complicated issue is to determine the optimal contract form. This paper describes the characteristics of successful futures contracts implied by the design literature, and, where possible, relates these observations to empirical studies. The paper also describes how the design literature can be applied to reveal the link between the specific terms of successful futures contracts and characteristics of the cash market.