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Stochastic Control Approach To Futures Trading by Tim Siu-tang Leung (University Of Washington, Usa) at Abbey's Bookshop,
Stochastic Control Approach To Futures Trading
— —
Tim Siu-tang Leung (University Of Washington, Usa) Yang Zhou (University Of Washington, Usa)

Stochastic Control Approach To Futures Trading

Tim Siu-tang Leung (University Of Washington, Usa),  Yang Zhou (University Of Washington, Usa)

$180.95   $144.48

Hardback

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English
World Scientific Publishing Co Pte Ltd
02 January 2025
Finance; Stochastics
Series: Modern Trends In Financial Engineering
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.
By:   , ,
Imprint:   World Scientific Publishing Co Pte Ltd
Country of Publication:   Singapore
Volume:   4
ISBN:   9789811282744
ISBN 10:   9811282749
Series:   Modern Trends In Financial Engineering
Pages:   176
Publication Date:  
Audience:   College/higher education ,  Professional and scholarly ,  Primary ,  Undergraduate
Format:   Hardback
Publisher's Status:   Active

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