Optimal Mean Reversion Trading:Mathematical Analysis and Practical Applications

Tim Leung and Xin Li
Additional contact information
Xin Li: Columbia University, USA

Keywords: Trading Strategies; Mean Reversion; Optimal Stopping; Optimal Switching; Stop-Loss; Stochastic Processes; Exchange-Traded Funds (ETFS); Ornstein–Uhlenbeck Model; Cox-Ingersoll-Ross (CIR) Model (search for similar items in EconPapers)
Date: 2016
ISBN: 9789814725910
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Citations: View citations in EconPapers (26)

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https://www.worldscientific.com/worldscibooks/10.1142/9839 (text/html)
Ebook Access is available upon purchase

Chapters in this book:

Ch 1 Introduction , pp 1-10: Tim Leung and Xin Li
Ch 2 Trading Under the Ornstein-Uhlenbeck Model , pp 11-50: Tim Leung and Xin Li
Ch 3 Trading Under the Exponential OU Model , pp 51-80: Tim Leung and Xin Li
Ch 4 Trading Under the CIR Model , pp 81-103: Tim Leung and Xin Li
Ch 5 Futures Trading Under Mean Reversion , pp 105-127: Tim Leung and Xin Li
Ch 6 Optimal Liquidation of Options , pp 129-161: Tim Leung and Xin Li
Ch 7 Trading Credit Derivatives , pp 163-199: Tim Leung and Xin Li

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