Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications (Modern Trends in Financial Engineering)
| Author | : | |
| Rating | : | 4.69 (944 Votes) |
| Asin | : | B01AWC6PKO |
| Format Type | : | |
| Number of Pages | : | 132 Pages |
| Publish Date | : | 2015-10-12 |
| Language | : | English |
DESCRIPTION:
Professor Leung obtained his PhD in Operations Research & Financial Engineering at Princeton University. His research has been funded by the National Science Foundation (NSF), and published in numerous journal articles. He is the founding editor of the book series, Modern Trends in Financial Engineering, that publishes monographs on important contemporary topics in theory and practice of Financial Mathematics & Engineering. He was previously an Assistant Professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University and in the Department of Industrial Engineering & Operations Research at Columbia University.Professor Leung's research areas are
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. 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.. 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. 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
Professor Leung obtained his PhD in Operations Research & Financial Engineering at Princeton University. He was previously an Assistant Professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University and in the Department of Industrial Engineering & Operations Research at Columbia University.Professor Leung's research areas are Financial Mathematics and Optimal Stochastic Control. He is the Chair of the INFORMS Finance Section, and the Vice Chair of th