Modern Trends in Financial Engineering

This new book series, Modern Trends in Financial Engineering, publishes monographs on important contemporary topics in theory and practice of Financial Engineering.

The series’ objective is to provide cutting-edge mathematical tools and practical financial insights for both academics and professionals in Financial Engineering. The modern trends are motivated by recent market phenomena, new regulations, financial innovations, advanced trading systems and risk management strategies.

The series will serve as a convenient medium for researchers, including professors, graduate students, and practitioners, to track the frontier research and latest advances in the field of Financial Engineering/Quantitative Finance.

Here are some volumes in the series (with free book chapters):

Volume 1: Optimal Mean Reversion Trading: Mathematical Analysis and Practical Applications

Authors: Tim Leung & Xin Li (Columbia University)

This book 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.

It offers a rigorous financial engineering approach that combines novel analytical methodologies and applications to a wide array of real-world examples. Various practical aspects of trading problems, such as model estimation, risk premium, risk constraints, and transaction costs, are also discussed.

The explanations in the book are detailed enough to capture the interest of the curious student or researcher, and complete enough to give the necessary background material for further exploration into the subject and related literature.

This book will be a useful tool for anyone interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies.