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Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications (Hardcover)
Loot Price: R2,473
Discovery Miles 24 730
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Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications (Hardcover)
Series: Modern Trends In Financial Engineering, 1
Expected to ship within 9 - 15 working days
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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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