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Advanced Trading Strategies

Reduced Monge—Ampère PDEs of Advanced Optimal Portfolio Hedging and Hypoelliptic Obstacle Problems of Optimal Momentum Trading
  • Srdjan Stojanovic

Abstract

As we have seen so far, mathematics empowered with Mathematical®can be used as a framework for answering many practical questions in the market analysis, investing, and trading of stocks and options. Chapter 5 and 6 present some sophisticated ways as to how to analyze the market from the point of view of estimating the perceived stock volatilities. In Chapter 7 it was shown how mathematics and Mathematical® can be used for synthesizing the available information about market dynamics, market uncertainty, and an investor’s attitude towards uncertainty with respect to explicit trading and investment diversification decisions, provided that the market dynamics is simple enough.

Keywords

Trading Strategy Optimal Portfolio Terminal Condition Obstacle Problem Infinitesimal Generator 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© S. Stojanovic 2003

Authors and Affiliations

  • Srdjan Stojanovic
    • 1
  1. 1.Department of Mathematical SciencesUniversity of CincinnatiCincinnatiUSA

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