Optimal Mean Reversion Trading - Tim Leung
Výrobce: World Scientific
EAN: 9789814725910
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
Parametry
Autor | Tim Leung |
Jazyk | anglický |
Nakladatelství | Nakladatelství |
Počet stran | 220 |
Rok vydania | 2015 |
Rok vydání | Rok vydání |
Žánr | Žánr |
Cena od 2 595 Kč - 3 487 Kč v 2 obchodech
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