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Optimal Mean Reversion Trading: Mathematical Analysis And Practical Applications

By Tim Siu-tang Leung, Xin Li
Hardcover
$106.00
By Tim Siu-tang Leung, Xin Li
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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 t...