Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

by Xin Li and Tim Siu Leung

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...

• Format: Hardcover
• Language: English
• ISBN: 9814725919
• ISBN13: 9789814725910
• Release Date: January 2016
• Publisher: World Scientific Publishing Company
• Length: 220 Pages
• Weight: 1.10 lbs.
• Dimensions: 0.7" x 6.2" x 9.2"