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The Resource Optimal mean reversion trading : mathematical analysis and practical applications, Tim Leung, Xin Li

Optimal mean reversion trading : mathematical analysis and practical applications, Tim Leung, Xin Li

Label
Optimal mean reversion trading : mathematical analysis and practical applications
Title
Optimal mean reversion trading
Title remainder
mathematical analysis and practical applications
Statement of responsibility
Tim Leung, Xin Li
Creator
Contributor
Author
Subject
Language
eng
Summary
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.--
Assigning source
Provided by publisher
Cataloging source
YDXCP
http://library.link/vocab/creatorName
Leung, Tim
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Li, Xin
Series statement
Modern trends in financial engineering
Series volume
1
http://library.link/vocab/subjectName
  • Financial engineering
  • Stocks
  • Investment analysis
  • Exchange traded funds
  • Ornstein-Uhlenbeck process
Label
Optimal mean reversion trading : mathematical analysis and practical applications, Tim Leung, Xin Li
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 201-207) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index
Control code
FIEb17794353
Dimensions
24 cm.
Extent
ix, 210 pages
Isbn
9789814725910
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)927192286
Label
Optimal mean reversion trading : mathematical analysis and practical applications, Tim Leung, Xin Li
Publication
Bibliography note
Includes bibliographical references (pages 201-207) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
Preface -- Introduction -- Trading under the Ornstein-Uhlenbeck model -- Trading under the exponential OU model -- Trading under the CIR model -- Futures trading under mean reversion -- Optimal liquidation of options -- Trading credit derivatives -- Bibliography -- Index
Control code
FIEb17794353
Dimensions
24 cm.
Extent
ix, 210 pages
Isbn
9789814725910
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)927192286

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