Research Catalog
Optimal mean reversion trading : mathematical analysis and practical applications
- Title
- Optimal mean reversion trading : mathematical analysis and practical applications / Tim Leung, Xin Li.
- Author
- Leung, Tim (Professor of industrial engineering)
- Publication
- Singapore ; Hackensack, NJ : World Scientific Publishing Co. Pte. Ltd., [2016]
Items in the Library & Off-site
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1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | HG176.7 .L478 2016 | Off-site |
Holdings
Details
- Additional Authors
- Li, Xin
- Description
- ix, 210 pages; 24 cm.
- Series Statement
- Modern trends in financial engineering ; vol. 1
- Uniform Title
- Modern trends in financial engineering ; v. 1.
- Subjects
- Bibliography (note)
- Includes bibliographical references and index.
- Contents
- 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
- 9789814725910
- 9814725919
- LCCN
- 2015034540
- 99966181709
- OCLC
- 933713613
- ocn933713613
- SCSB-9427462
- Owning Institutions
- Columbia University Libraries