Algo Trading
Optimal Mean Reversion Trading: Mathematical Analysis & Practical Applications
Book Description, Contents, and Sample Chapter
The book was selected to the BookAuthority 100 Best Derivatives Books of All Time, ranking #12. It also ranks #6 among their Best Mathematical Analysis Books of All Time.
Book Description
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.
This book offers a rigorous financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. 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.
The explanations in the book are detailed enough to capture the interest of the…
