Stochastic Control Approach To Futures Trading
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A01=Tim Siu-tang Leung
A01=Yang Zhou
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Author_Tim Siu-tang Leung
Author_Yang Zhou
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Category1=Non-Fiction
Category=KFF
Category=PBWL
Commodity Trading Advisors
COP=Singapore
CTAs
Delivery_Pre-order
Dynamic Futures Trading
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Finance
Finance Modelling
Finance Portfolio
Financial Securities
Futures
Futures Contract Pricing
Futures Contracts
Futures Trading
Hedge Fund
Hedge Funds
Hedge Funds Industry
Language_English
Market Environment
Market Structure
Modelling
PA=Not yet available
Portfolio
Portfolio Building
Price_€50 to €100
Pricing
PS=Forthcoming
Quantitative Finance
Securities
Securities Trading
softlaunch
Stochastic
Stochastic Control Approach
Stochastic Modelling
Stochastic Models
Stochastic Processes
Trading Strategies
Trading Strategy
Product details
- ISBN 9789811282744
- Publication Date: 02 Jan 2025
- Publisher: World Scientific Publishing Co Pte Ltd
- Publication City/Country: SG
- Product Form: Hardback
- Language: English
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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.
