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Optimal mean reversion trading = mat...

Leung, Tim.

Optimal mean reversion trading = mathematical analysis and practical applications /

紀錄類型:	書目-語言資料,印刷品 : Monograph/item
正題名/作者:	Optimal mean reversion trading/ Tim Leung, Xin Li.
其他題名:	mathematical analysis and practical applications /
作者:	Leung, Tim.
其他作者:	Li, Xin.
出版者:	Singapore ;World Scientific, : c2016.,
面頁冊數:	1 online resource (ix, 210 p.) :ill. :
標題:	Financial engineering. -
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/9839#t=toc
ISBN:	9789814725927

Optimal mean reversion trading = mathematical analysis and practical applications /
Leung, Tim.

Optimal mean reversion tradingmathematical analysis and practical applications /[electronic resource] :Tim Leung, Xin Li. - 1st ed. - Singapore ;World Scientific,c2016. - 1 online resource (ix, 210 p.) :ill. - Modern trends in financial engineering ;v. 1. - Modern trends in financial engineering ;v. 1..

Includes bibliographical references (p. 201-207) and 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.

ISBN: 9789814725927

LCCN: 2015034540Subjects--Topical Terms:

591542
Financial engineering.

LC Class. No.: HG176.7 / .L478 2016

Dewey Class. No.: 332.63/2042

Optimal mean reversion trading = mathematical analysis and practical applications /
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