{"id":2329,"date":"2020-09-04T14:32:03","date_gmt":"2020-09-04T21:32:03","guid":{"rendered":"http:\/\/depts.washington.edu\/compfin\/?p=2329"},"modified":"2020-09-04T14:36:33","modified_gmt":"2020-09-04T21:36:33","slug":"prof-leungs-book","status":"publish","type":"post","link":"https:\/\/depts.washington.edu\/compfin\/2020\/09\/04\/prof-leungs-book\/","title":{"rendered":"Prof. Leung’s Book Selected to “100 Best Derivatives Books of All Time”"},"content":{"rendered":"

Computational Finance and Risk Management Director, Professor Tim Leung’s book, Optimal Mean Reversion Trading<\/a><\/em>, has been selected to the BookAuthority<\/a> “100 Best Derivatives Books of All Time<\/a>” list. Among the best books in finance and derivatives, Professor Leung’s book ranks #12.<\/p>\n

The book provides a systematic study to the practical problem of optimal trading in the presence of mean-reverting price \"\"dynamics. It provides rigorous mathematical analysis as well as computational methods for trading ETFs, options, futures on commodities or volatility indices, and credit risk derivatives. “The book is written for anyone who’s interested in financial engineering, particularly algorithmic trading and commodity trading, and would like to understand the mathematically optimal strategies in different market environments,” said Professor Leung.<\/p>\n

Leung also plans to present materials from the book in his upcoming autumn quarter course: CFRM 500, Advanced Computational Finance Journal Club. Mean-reversion trading and trading systems are also covered in other CFRM electives, such as CFRM 522, Introduction to Trading Systems, and CFRM 523, Advanced Trading Systems.<\/p>\n

The book is also ranked #6 on the list: Best Mathematical Analysis Books of All Time<\/a>.<\/p>\n

Tim Leung is the Boeing Professor of Applied Mathematics at the University of Washington. He has served as the Director of the Computational Finance & Risk Management (CFRM) program since 2016. He has written three books<\/a>, over sixty peer-reviewed journal and conference papers<\/a>, as well as over twenty articles on Medium<\/a> and Towards Data Science<\/a>. At the University of Washington, he also founded the Quantitative Analytics Lab<\/a> to facilitate research collaboration and strategic partnership between CFRM and industry.<\/p>\n

BookAuthority is the world’s leading site for nonfiction book recommendations. The list is compiled using dozens of different signals, including ratings, sentiment, popularity and sales history.<\/p>\n","protected":false},"excerpt":{"rendered":"

Computational Finance and Risk Management Director, Professor Tim Leung’s book, Optimal Mean Reversion Trading, has been selected to the BookAuthority “100 Best Derivatives Books of All Time” list. Among the best books in finance and derivatives, Professor Leung’s book ranks #12. The book provides a systematic study to the practical …<\/p>\n","protected":false},"author":6,"featured_media":2331,"comment_status":"closed","ping_status":"closed","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[4],"tags":[],"class_list":["post-2329","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-department-news"],"_links":{"self":[{"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/posts\/2329","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/users\/6"}],"replies":[{"embeddable":true,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/comments?post=2329"}],"version-history":[{"count":7,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/posts\/2329\/revisions"}],"predecessor-version":[{"id":2337,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/posts\/2329\/revisions\/2337"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/media\/2331"}],"wp:attachment":[{"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/media?parent=2329"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/categories?post=2329"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/depts.washington.edu\/compfin\/wp-json\/wp\/v2\/tags?post=2329"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}