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Medientyp:
Buch
Titel:
Optimal mean reversion trading
:
mathematical analysis and practical applications
Enthält:
PrefaceIntroduction -- 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.
Anmerkungen:
Includes bibliographical references and index
Beschreibung:
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