Optimal mean reversion trading : mathematical analysis and practical applications

Optimal mean reversion trading mathematical analysis and practical applications

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.

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Bibliographische Detailangaben
1. Verfasser: Leung, Tim (VerfasserIn)
Weitere Verfasser: Li, Xin (VerfasserIn)
Format: UnknownFormat
Sprache:eng
Veröffentlicht: New Jersey, London, Singapore und 6 weitere World Scientific Publishing Co Pte. Ltd. 2016
Schriftenreihe:Modern trends in financial engineering Volume 1
Schlagworte:
Kapitalanlage > Derivat > Financial Engineering > Indexderivat > Mean Reversion > Financial engineering > Stocks > Mathematical models > Investment analysis > Data processing > Exchange traded funds > Ornstein-Uhlenbeck process
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Beschreibung
Zusammenfassung: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.
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
Illustrationen, Diagramme
ISBN:9789814725910
978-981-4725-91-0