Description: Further DetailsTitle: Optimal Mean Reversion Trading: Mathematical Analysis And Practical ApplicationsCondition: NewEAN: 9789814725910ISBN: 9789814725910Publisher: World Scientific Publishing Co Pte LtdFormat: HardbackRelease Date: 01/13/2016Description: 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.Language: EnglishCountry/Region of Manufacture: SGAuthor: Tim Siu-tang Leung, Xin LiGenre: Business & FinanceBook Series: Modern Trends In Financial EngineeringRelease Year: 2016 Missing Information?Please contact us if any details are missing and where possible we will add the information to our listing.
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Publication Name: Optimal Mean Reversion Trading: Mathematical Analysis And Practic
Title: Optimal Mean Reversion Trading: Mathematical Analysis And Practic
EAN: 9789814725910
ISBN: 9789814725910
Release Date: 01/13/2016
Release Year: 2016
Country/Region of Manufacture: SG
Series: Modern Trends In Financial Engineering
Book Title: Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications
Number of Pages: 224 Pages
Language: English
Publisher: World Industries Scientific Publishing Co Pte LTD
Topic: Finance / Financial Engineering, Investments & Securities / Analysis & Trading Strategies, Investments & Securities / Stocks, Mathematical Analysis
Publication Year: 2016
Illustrator: Yes
Genre: Mathematics, Business & Economics
Author: Xin Li, Tim Siu Leung
Book Series: Modern Trends in Financial Engineering Ser.
Format: Hardcover
