Optimal mean reversion trading : mathematical analysis and practical applications
Tim Leung, Xin Li
| Year of publication: |
[2016]
|
|---|---|
| Authors: | Leung, Tim ; Li, Xin ; Li, Xin |
| Publisher: |
New Jersey : World Scientific Publishing Co Pte. Ltd. |
| Subject: | Kapitalanlage | Financial investment | Derivat | Derivative | Financial Engineering | Financial engineering | Indexderivat | Index derivative | Mean Reversion | Mean reversion |
| Description of contents: | Table of Contents [gbv.de] |
| Extent: | ix, 210 Seiten Illustrationen, Diagramme |
|---|---|
| Series: | Modern trends in financial engineering. - Hackensack, NJ : World Scientific, ZDB-ID 2845431-5. - Vol. Volume 1 |
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Includes bibliographical references and index 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. |
| ISBN: | 978-981-4725-91-0 |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012875844