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

"Adopting a unique approach that combines stochastic modeling and control techniques with option pricing theory Demonstrating formulas and numerical schemes for fast implementation and clear illustration Presenting unique perspectives such as taking into account both the employee's risk aversion...

"Futures play an integral role in the financial markets. Tens of millions of contracts are traded on futures exchanges around the globe every day. In recent years, futures have been incorporated into a wide array of financial securities and have become the driving force behind their price...