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"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 addresse...
The latest research on measuring, managing and pricing financial risk. Three broad perspectives are considered: financial risk in non-financial corporations; in financial intermediaries such as banks; and finally within the context of a portfolio of securities of different credit quality and marketability.
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This book provides an analysis, under both discrete-time and continuous-time frameworks, on the price dynamics of leveraged exchange-traded funds (LETFs), with emphasis on the roles of leverage ratio, realized volatility, investment horizon, and tracking errors. This study provides new insights on the risks associated with LETFs. It also leads to the discussion of new risk management concepts, such as admissible leverage ratios and admissible risk horizon, as well as the mathematical and empirical analyses of several trading strategies, including static portfolios, pairs trading, and stop-loss strategies involving ETFs and LETFs. The final part of the book addresses the pricing of options wr...
En la primera sección, “La ciencia y la fe”, capítulos 1 al 7, desarrollamos la relación entre los conocimientos científicos actuales y la visión cristiana del universo. En la segunda sección, “Los científicos y la fe”, capítulos 8 al 13, recorremos la vida y el testimonio de la fe de más de 140 de los más grandes científicos de todas las épocas. Esta nueva edición revisada, corregida y ampliada, incorpora entre otras cosas: a) El capítulo 14 Cosmovisiones, donde desarrollamos las distintas formas de ver el mundo que tienen las personas de acuerdo a sus creencias y su validación o no, con los conocimientos científicos actuales. b) El discurso del genetista Francis Col...
A comprehensive depository of all information relating to the scientific and technological aspects of Shale Gas and Alternative Energy Conveniently arranged by energy type including Shale Gas, Wind, Geothermal, Solar, and Hydropower Perfect first-stop reference for any scientist, engineer, or student looking for practical and applied energy information Emphasizes practical applications of existing technologies, from design and maintenance, to operating and troubleshooting of energy systems and equipment Features concise yet complete entries, making it easy for users to find the required information quickly, without the need to search through long articles