Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications: 1 - Rilegato

Leung, Tim; Li, Xin

Rilegato

ISBN 10: 9814725919 ISBN 13: 9789814725910

Casa editrice: World Scientific Pub Co Inc, 2016

Riassunto

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.

Dettagli dell'edizione

• Editore: World Scientific Pub Co Inc
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 9814725919
• ISBN 13: 9789814725910
• Rilegatura: Copertina rigida
• Numero di pagine: 220
• Contatto del produttore: non disponibile
• Persona responsabile: gpsr@libri.de; gpsr@libri.de; ; Friedensallee 273; Hamburg; 22763; Germania