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Автор: Tim Leung and Xin Li
Издательство: World Scientific Publishing
Год: 2016
Формат: PDF
Размер: 51 Мб
Язык: английский / English
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. 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.