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OPTIMAL MEAN REVERSION TRADING
Buch von Tim Leung & Xin Li
Sprache: Englisch

117,95 €*

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Beschreibung
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 that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.
This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
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 that combines novel analytical methodologies and applications to a wide array of real-world examples. It extracts the mathematical problems from various trading approaches and scenarios, but also addresses the practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs. The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.
This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.
Details
Erscheinungsjahr: 2015
Fachbereich: Allgemeines
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Gebunden
ISBN-13: 9789814725910
ISBN-10: 9814725919
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Tim Leung & Xin Li
Hersteller: World Scientific
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42 In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 235 x 157 x 17 mm
Von/Mit: Tim Leung & Xin Li
Erscheinungsdatum: 26.11.2015
Gewicht: 0,479 kg
Artikel-ID: 104161583
Details
Erscheinungsjahr: 2015
Fachbereich: Allgemeines
Genre: Importe, Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Inhalt: Gebunden
ISBN-13: 9789814725910
ISBN-10: 9814725919
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Tim Leung & Xin Li
Hersteller: World Scientific
Verantwortliche Person für die EU: Books on Demand GmbH, In de Tarpen 42 In de Tarpen 42, D-22848 Norderstedt, info@bod.de
Maße: 235 x 157 x 17 mm
Von/Mit: Tim Leung & Xin Li
Erscheinungsdatum: 26.11.2015
Gewicht: 0,479 kg
Artikel-ID: 104161583
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