Description: Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications by Xin Li, 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. FORMAT Hardcover LANGUAGE English CONDITION Brand New Long Description 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. Details ISBN9814725919 Author Tim Siu-tang Leung Short Title OPTIMAL MEAN REVERSION TRADING Language English ISBN-10 9814725919 ISBN-13 9789814725910 Media Book Format Hardcover Pages 220 Imprint World Scientific Publishing Co Pte Ltd Place of Publication Singapore Country of Publication Singapore Birth 1953 Affiliation West Virginia University, Morgantown, USA University of Central Florida University of Central Florida University of Central Florida University of Central Florida Series Modern Trends In Financial Engineering DEWEY 332.632042 Year 2016 Publication Date 2016-01-13 UK Release Date 2016-01-13 Publisher World Scientific Publishing Co Pte Ltd Series Number 1 Audience Tertiary & Higher Education We've got this At The Nile, if you're looking for it, we've got it. With fast shipping, low prices, friendly service and well over a million items - you're bound to find what you want, at a price you'll love! TheNile_Item_ID:126694971;
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ISBN-13: 9789814725910
Book Title: Optimal Mean Reversion Trading: Mathematical Analysis And Practic
Publisher: World Scientific Publishing Co Pte Ltd
Publication Year: 2016
Subject: Finance
Number of Pages: 220 Pages
Language: English
Publication Name: Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications
Type: Textbook
Author: Tim Siu-Tang Leung, Xin Li
Format: Hardcover
