Modern trends in financial engineering: optimal mean reversion trading mathematical analysis and practical applications
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
New Jersey
World Scientific
2015
|
| Schriftenreihe: | Modern trends in financial engineering
v.1 |
| Schlagworte: | |
| Online-Zugang: | FLA01 |
| Beschreibung: | Print version record |
| Beschreibung: | 1 online resource (pages cm) |
| ISBN: | 9789814725927 9814725927 |
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| 505 | 8 | |a "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."-- | |
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| contents | "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."-- |
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| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/2042 |
| dewey-search | 332.63/2042 |
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| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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| id | DE-604.BV045359217 |
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| indexdate | 2025-02-20T07:02:07Z |
| institution | BVB |
| isbn | 9789814725927 9814725927 |
| language | English |
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| series2 | Modern trends in financial engineering |
| spellingShingle | Leung, Tim Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications "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."-- BUSINESS & ECONOMICS / Finance bisacsh Exchange traded funds fast Financial engineering fast Investment analysis / Data processing fast Ornstein-Uhlenbeck process fast Stocks / Mathematical models fast Financial engineering Stocks Mathematical models Investment analysis Data processing Exchange traded funds Ornstein-Uhlenbeck process |
| title | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications |
| title_auth | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications |
| title_exact_search | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications |
| title_full | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications by Tim Leung, Xin Li |
| title_fullStr | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications by Tim Leung, Xin Li |
| title_full_unstemmed | Modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications by Tim Leung, Xin Li |
| title_short | Modern trends in financial engineering |
| title_sort | modern trends in financial engineering optimal mean reversion trading mathematical analysis and practical applications |
| title_sub | optimal mean reversion trading mathematical analysis and practical applications |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Exchange traded funds fast Financial engineering fast Investment analysis / Data processing fast Ornstein-Uhlenbeck process fast Stocks / Mathematical models fast Financial engineering Stocks Mathematical models Investment analysis Data processing Exchange traded funds Ornstein-Uhlenbeck process |
| topic_facet | BUSINESS & ECONOMICS / Finance Exchange traded funds Financial engineering Investment analysis / Data processing Ornstein-Uhlenbeck process Stocks / Mathematical models Financial engineering Stocks Mathematical models Investment analysis Data processing Exchange traded funds Ornstein-Uhlenbeck process |
| work_keys_str_mv | AT leungtim moderntrendsinfinancialengineeringoptimalmeanreversiontradingmathematicalanalysisandpracticalapplications |