OPTIMAL MEAN REVERSION TRADING: MATHEMATICAL ANALYSIS AND PRACTICAL APPLICATIONS (Modern Trends in Financial Engineering) - Hardcover

Tim Leung; Xin Li

Hardcover

ISBN 10: 9814725919 ISBN 13: 9789814725910

Publisher: World Scientific Publishing Company, 2015

Synopsis

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 unique 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 curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.

This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments.

About this title

About the Author

Professor Tim S.T. Leung is the Boeing Professor in the Department of Applied Mathematics at the University of Washington (UW) in Seattle. At UW, he is the Director of the Computational Finance & Risk Management (CFRM) program and the CFRM Quantitative Analytics Lab. He obtained his PhD in Operations Research & Financial Engineering from Princeton University, and B.S. in Operations Research & Industrial Engineering from Cornell University. He was a tenure-track Assistant Professor in the Department of Applied Mathematics & Statistics at Johns Hopkins University and in the Department of Industrial Engineering & Operations Research at Columbia University, where he was affiliated with the Center for Financial Engineering, and the Data Science Institute (DSI). 

Professor Leung's research areas are Financial Mathematics and Optimal Stochastic Control. He has worked on a variety of problems, such as derivatives pricing, algorithmic trading, credit risk, exchange-traded funds (ETFs), and more. His research has been funded by the National Science Foundation (NSF), and published in two books and numerous journals. He is the founding editor of the scientific book series "Modern Trends in Financial Engineering" published by World Scientific. Professor Leung regularly supervises Ph.D., M.S., and undergraduate research projects, and collaborates with academics, practitioners, and regulators. 

He is the Chair of the Finance Section of the Institute for Operations Research & Management Sciences (INFORMS), and Vice Chair of the Society for Industrial and Applied Mathematics (SIAM) Activity Group on Financial Mathematics & Engineering (SIAG-FME). He is the 2016 winner of the Emerald Literati Network Award for Excellence.

From the Back Cover

Readership: Doctoral and master's students, advanced undergraduates, practitioners, and researchers in financial engineering, with a particular interest or specialization in algorithmic trading (especially pairs trading) and ETFs, futures, commodities, volatility derivatives and credit risk.

Edition details

• Publisher: World Scientific Publishing Company
• Publication date: 2015
• Language: English
• ISBN 10: 9814725919
• ISBN 13: 9789814725910
• Binding: Hardcover
• Edition number: 1
• Number of pages: 220