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Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

SPAR
kr 217

Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

 

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.

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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.

Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 220
ISBN-13: 9789814725910
Indbinding: Hardback
Udgave:
ISBN-10: 9814725919
Kategori: Finans
Udg. Dato: 13 jan 2016
Længde: 15mm
Bredde: 236mm
Højde: 251mm
Forlag: World Scientific Publishing Co Pte Ltd
Oplagsdato: 13 jan 2016
Forfatter(e) Xin (Columbia Univ Li, Tim Siu-tang (Univ Of Washington Leung, Tim Siu-tang Leung, Xin Li


Kategori Finans


Sprog Engelsk


Indbinding Hardback


Sider 220


Udgave


Længde 15mm


Bredde 236mm


Højde 251mm


Udg. Dato 13 jan 2016


Oplagsdato 13 jan 2016

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