ISBN: | 9789814725910 (hbk.) |
语种代码: | eng |
个人名称: | Leung, Tim. |
题名: | Optimal mean reversion trading : mathematical analysis and practical applications / Tim Leung, Xin Li. |
出版发行项: | New Jersey : World Scientific, c2016. |
载体形态: | ix, 210 p: illustrations ; 23 cm |
书目附注: | Includes bibliographical references (pages 201-207) and index. |
格式化内容附注: | 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. |