Optimal mean reversion trading: mathematical analysis and practical applications
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
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Singapore
World Scientific
[2016]
|
| Schriftenreihe: | Modern trends in financial engineering
volume 1 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | 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 |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | ix, 210 Seiten Diagramme |
| ISBN: | 9789814725910 |
Internformat
MARC
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| 100 | 1 | |a Leung, Tim |e Verfasser |0 (DE-588)137785097 |4 aut | |
| 245 | 1 | 0 | |a Optimal mean reversion trading |b mathematical analysis and practical applications |c Tim Leung, Xin Li (Columbia University, USA) |
| 264 | 1 | |a Singapore |b World Scientific |c [2016] | |
| 264 | 4 | |c © 2016 | |
| 300 | |a ix, 210 Seiten |b Diagramme | ||
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| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Modern trends in financial engineering |v volume 1 | |
| 500 | |a Includes bibliographical references and index | ||
| 505 | 8 | |a PrefaceIntroduction -- 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. | |
| 520 | 3 | |a 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 | |
| 653 | |a aExchange traded funds | ||
| 653 | |a aFinancial engineering | ||
| 653 | |a aInvestment analysisxData processing | ||
| 653 | |a aOrnstein-Uhlenbeck process | ||
| 653 | |a aStocksxMathematical models | ||
| 700 | 1 | |a Li, Xin |e Verfasser |0 (DE-588)1074264215 |4 aut | |
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| 856 | 4 | 2 | |m V:DE-601;B:DE-206 |q pdf/application |u http://www.gbv.de/dms/zbw/838485014.pdf |y Inhaltsverzeichnis |3 Inhaltsverzeichnis |
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Datensatz im Suchindex
| DE-BY-862_location | 2000 |
|---|---|
| DE-BY-FWS_call_number | 2000/SK 980 L653 |
| DE-BY-FWS_katkey | 877574 |
| DE-BY-FWS_media_number | 083000518894 |
| _version_ | 1824553489199529984 |
| any_adam_object | |
| author | Leung, Tim Li, Xin |
| author_GND | (DE-588)137785097 (DE-588)1074264215 |
| author_facet | Leung, Tim Li, Xin |
| author_role | aut aut |
| author_sort | Leung, Tim |
| author_variant | t l tl x l xl |
| building | Verbundindex |
| bvnumber | BV045009989 |
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| contents | PrefaceIntroduction -- 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. |
| ctrlnum | (OCoLC)928277466 (DE-599)GBV838485014 |
| discipline | Mathematik |
| format | Book |
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| id | DE-604.BV045009989 |
| illustrated | Not Illustrated |
| indexdate | 2025-02-20T06:36:41Z |
| institution | BVB |
| isbn | 9789814725910 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-030401943 |
| oclc_num | 928277466 |
| open_access_boolean | |
| owner | DE-N2 DE-862 DE-BY-FWS |
| owner_facet | DE-N2 DE-862 DE-BY-FWS |
| physical | ix, 210 Seiten Diagramme |
| publishDate | 2016 |
| publishDateSearch | 2016 |
| publishDateSort | 2016 |
| publisher | World Scientific |
| record_format | marc |
| series | Modern trends in financial engineering |
| series2 | Modern trends in financial engineering |
| spellingShingle | Leung, Tim Li, Xin Optimal mean reversion trading mathematical analysis and practical applications Modern trends in financial engineering PrefaceIntroduction -- 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. |
| title | Optimal mean reversion trading mathematical analysis and practical applications |
| title_auth | Optimal mean reversion trading mathematical analysis and practical applications |
| title_exact_search | Optimal mean reversion trading mathematical analysis and practical applications |
| title_full | Optimal mean reversion trading mathematical analysis and practical applications Tim Leung, Xin Li (Columbia University, USA) |
| title_fullStr | Optimal mean reversion trading mathematical analysis and practical applications Tim Leung, Xin Li (Columbia University, USA) |
| title_full_unstemmed | Optimal mean reversion trading mathematical analysis and practical applications Tim Leung, Xin Li (Columbia University, USA) |
| title_short | Optimal mean reversion trading |
| title_sort | optimal mean reversion trading mathematical analysis and practical applications |
| title_sub | mathematical analysis and practical applications |
| url | http://www.gbv.de/dms/zbw/838485014.pdf |
| volume_link | (DE-604)BV045078227 |
| work_keys_str_mv | AT leungtim optimalmeanreversiontradingmathematicalanalysisandpracticalapplications AT lixin optimalmeanreversiontradingmathematicalanalysisandpracticalapplications |
Inhaltsverzeichnis
Sonderstandort Fakultät
| Signatur: |
2000 SK 980 L653 |
|---|---|
| Exemplar 1 | nicht ausleihbar Checked out – Rückgabe bis: 31.12.2099 Vormerken |