Optimal Mean Reversion Trading Mathematical Analysis and Pr
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Engelsk
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamic...
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Forlagsbeskrivelse af Optimal Mean Reversion Trading Mathematical Analysis and Pr af Tim Siu-tang Leung
Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price dynamics. It is self-contained and organized in its presentation, and provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. This book offers a unique financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature. This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
Detaljer
Forlag
World Scientific Publishing Co Pte Ltd
ISBN
9789814725910
Sprog
Engelsk
Sider
220
Udgivelsesdato
13-01-2016
Format
Hardback
Varenr.
3359588
EAN nr.
9789814725910
Varegruppe
Engelsk non fiction div.
Højde/Dybde (mm)
251
Bredde (mm)
236
Længde (mm)
15
Vægt (g)
470