Stochastic Control Approach To Futures Trading (Modern Trends in Financial Engineering, Band 4) - Hardcover

Zhou, Yang; Leung, Tim Siu-tang

 
9789811282744: Stochastic Control Approach To Futures Trading (Modern Trends in Financial Engineering, Band 4)
Hardcover
ISBN 10: 9811282749 ISBN 13: 9789811282744
Verlag: WSPC, 2024

Inhaltsangabe

Futures play an integral role in the financial markets. Tens of millions of contracts are traded on futures exchanges around the globe every day. In recent years, futures have been incorporated into a wide array of financial securities and have become the driving force behind their price dynamics. Managed futures portfolios and commodity trading advisors (CTAs), with hundreds of billions under management, are major parts of the hedge fund industry. This book presents a unique stochastic control approach to dynamic futures trading. Multiple stochastic models are designed to capture the salient features of various market regimes and dynamics. They are useful for pricing futures contracts and building futures portfolios. The authors analyze the mathematical problems associated with futures trading problems in different market environments. A series of numerical examples are presented to illustrate the optimal trading strategies. In addition, analytic formulas and numerical methods are provided for fast implementation. The book is useful for practitioners interested in futures trading as well as graduate students and researchers in Quantitative Finance.

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Verlag
WSPC
Erscheinungsdatum
2024
Sprache
Englisch
ISBN 10 
9811282749
ISBN 13 
9789811282744
Einband
Gebundene Ausgabe
Anzahl der Seiten
174
Kontakt zum Hersteller
World Scientific Publishing
https://www.worldscientific.com/

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