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Item Details
Title: OPTIMAL MEAN REVERSION TRADING: MATHEMATICAL ANALYSIS AND PRACTICAL APPLICATIONS
By: Tim Siu-Tang Leung, Xin Li
Format: Hardback

List price: £88.00
Our price: £79.20
Discount:
10% off
You save: £8.80
ISBN 10: 9814725919
ISBN 13: 9789814725910
Availability: Usually dispatched within 3-5 days.
 Delivery rates
Stock: Currently 2 available
Publisher: WORLD SCIENTIFIC PUBLISHING CO PTE LTD
Pub. date: 26 November, 2015
Series: Modern Trends In Financial Engineering 1
Pages: 220
Synopsis: 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.
Publication: Singapore
Imprint: World Scientific Publishing Co Pte Ltd
Returns: Returnable
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