Garantía de entrega
Artículo: AMZ-B0G6TD2JBL
Forward–Backward SDEs in Algorithmic Trading: BSDEs, Deep BSDE Solvers, and Risk-Sensitive Control With Python (Computational Mathematics Library)
Format:
Paperback
Detalles del producto
Disponibilidad
En stock
En stock
Peso con empaque
1.09 kg
1.09 kg
Devolución
Sí
Sí
Condición
Nuevo
Nuevo
Producto de
Amazon
Amazon
Viaja desde
USA
USA
Sobre este producto
- Harness modern stochastic control and deep learning to design, price, and manage algorithmic trading strategies in continuous time.This book takes you from first principles of stochastic price dynamics through fully coupled forward backward stochastic differential equations and on to state of the art deep BSDE solvers, always in the concrete setting of execution, market making, and portfolio problems. Every chapter is accompanied by complete Python code that reproduces all numerical examples, so you can move directly from theory to implementation.Starting from trading PnL modeled as stochastic differential equations, you will see how execution, inventory, and risk constraints naturally lead to BSDE and FBSDE formulations. You will learn how risk neutral, risk averse, and risk sensitive objectives are embedded in generators, how they connect to nonlinear expectations and entropic risk, and how they change optimal trading behavior in realistic market impact models.On the computational side, the book shows how to discretize and solve BSDEs with Monte Carlo and regression, then scales up to high dimensional settings with deep BSDE solvers implemented in Python. You will build full workflows that simulate forward dynamics, propagate backward value and costate processes, and train neural networks to approximate optimal controls in problems that are out of reach for classical PDE methods.You will learn how to:Model prices, inventory, and execution costs with controlled SDEs tailored to high frequency and institutional tradingFormulate optimal execution, market making, and portfolio problems as BSDE or FBSDE systemsIncorporate permanent, transient, and nonlinear market impact into continuous time trading modelsEncode risk neutral, mean variance, and risk sensitive objectives using quadratic and nonlinear BSDE generatorsApply regression based Monte Carlo methods to solve discretized BSDEs in PythonUse deep BSDE solvers for high dimensional control, including multi asset execution and multi venue tradingDesign risk sensitive strategies with dynamic risk constraints and robust formulations that account for model uncertaintyCalibrate SDE and BSDE parameters to real market data and adapt models online in changing conditionsEach chapter includes:A carefully chosen trading or risk management problemStep by step derivation of the associated BSDE or FBSDEDiscussion of existence, uniqueness, and qualitative behavior of solutionsA complete, well commented Python implementation with simulation and numerical resultsThe result is a self contained path from mathematical foundations to production ready prototypes. Whether you are a quant researcher, a practitioner responsible for algorithmic execution and risk, or an advanced student in financial engineering, this book gives you a rigorous framework and executable code to develop and test sophisticated continuous time strategies driven by forward backward SDEs.
$168,18
31% OFF
$115,99
IMPORT EASILY
By purchasing this product you can deduct VAT with your RUT number
$168,18
31% OFF
$115,99
3 meses de gracia en diferidos y hasta 6 meses sin intereses con Pacificard
Envío gratis
Llega en 5 a 12 días hábiles
Con envío
Tienes garantia de entrega
Este producto viaja
de USA ![]()
a tus manos en
![]()
a tus manos en
Compra protegida
Disfruta de una experiencia de compra segura y confiable
![]()
Garantía de entrega
Con Tiendamia todas tus compras cuentan con Garantía de Entrega o devolución total de tu dinero.
Compras 100% seguras y garantizadas, para que pidas lo que sueñas y lo recibas del mundo a tu puerta.
Tarjetas de Débito y Crédito
Visa
Mastercard
American Express
Dinners
Discover
Alias
Pagos a través de PayPal
Compra procesada en dólares con dinero en cuenta o tarjetas internacionales.
PayPal
.svg)
