Optimal mean reversion trading: mathematical analysis and practical applications (Modern trends in financial engineering)

Optimal mean reversion trading: mathematical analysis and practical applications (Modern trends in financial engineering)

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

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Leung, Tim, Li, Xin
Format: Buch
Sprache:eng
Schlagworte:
Derivat
Economics & Finance
Exchange traded funds
Financial engineering
Indexderivat
Investment analysis
Kapitalanlage
Mathematical
Mean Reversion
Ornstein-Uhlenbeck process
Quantitative Finance
Stocks
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Beschreibung
Zusammenfassung: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
DOI:10.1142/9839