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
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Singapore
World Scientific
[2016]
|
| Series: | Modern trends in financial engineering
volume 1 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Summary: | 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 |
| Item Description: | Includes bibliographical references and index |
| Physical Description: | ix, 210 Seiten Diagramme |
| ISBN: | 9789814725910 |
Staff View
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Record in the Search Index
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| author | Leung, Tim Li, Xin |
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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 |
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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 |
Indexes
Sonderstandort Fakultät
| Call Number: |
2000 SK 980 L653 |
|---|---|
| Copy 1 | nicht ausleihbar Checked out – Due: 31.12.2099 Recall This |