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Optimal mean reversion trading[elect...

Leung, Tim.

Optimal mean reversion trading[electronic resource] :mathematical analysis and practical applications /

紀錄類型:	書目-電子資源 : Monograph/item
杜威分類號:	332.63/2042
書名/作者:	Optimal mean reversion trading : mathematical analysis and practical applications // Tim Leung, Xin Li.
作者:	Leung, Tim.
其他作者:	Li, Xin.
出版者:	Singapore ; : World Scientific,, c2016.
面頁冊數:	1 online resource (ix, 210 p.) : : ill.
標題:	Financial engineering.
標題:	Stocks - Mathematical models.
標題:	Investment analysis - Data processing.
標題:	Exchange traded funds.
標題:	Ornstein-Uhlenbeck process.
ISBN:	9789814725927
書目註:	Includes bibliographical references (p. 201-207) and index.
內容註:	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.
電子資源:	http://www.worldscientific.com/worldscibooks/10.1142/9839#t=toc

Optimal mean reversion trading[electronic resource] :mathematical analysis and practical applications /
Leung, Tim.

Optimal mean reversion tradingmathematical analysis and practical applications /[electronic resource] :Tim Leung, Xin Li. - 1st ed. - Singapore ;World Scientific,c2016. - 1 online resource (ix, 210 p.) :ill. - Modern trends in financial engineering ;v. 1. - Modern trends in financial engineering ;v. 1..

Includes bibliographical references (p. 201-207) and index.

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.

ISBN: 9789814725927

LCCN: 2015034540Subjects--Topical Terms:

339966
Financial engineering.

LC Class. No.: HG176.7 / .L478 2016

Dewey Class. No.: 332.63/2042

Optimal mean reversion trading[electronic resource] :mathematical analysis and practical applications /
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050 0 0 $a HG176.7 $b .L478 2016
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245 1 0 $a Optimal mean reversion trading $h [electronic resource] : $b mathematical analysis and practical applications / $c Tim Leung, Xin Li.
250 $a 1st ed.
260 $a Singapore ; $a New Jersey : $b World Scientific, $c c2016.
300 $a 1 online resource (ix, 210 p.) : $b ill.
490 1 $a Modern trends in financial engineering ; $v v. 1
504 $a Includes bibliographical references (p. 201-207) and index.
505 0 $a 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.
588 $a Description based on print version record.
650 0 $a Financial engineering. $3 339966
650 0 $a Stocks $x Mathematical models. $3 573401
650 0 $a Investment analysis $x Data processing. $3 709227
650 0 $a Exchange traded funds. $3 367110
650 0 $a Ornstein-Uhlenbeck process. $3 709228
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830 0 $a Modern trends in financial engineering ; $v v. 1. $3 709226
856 4 0 $u http://www.worldscientific.com/worldscibooks/10.1142/9839#t=toc

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