Algorithmic and High-Frequency Trading (Mathematics, Finance and Risk) - Hardcover

Cartea, Álvaro

Hardcover

ISBN 10: 1107091144 ISBN 13: 9781107091146

Publisher: Cambridge University Press, 2015

Synopsis

A straightforward guide to the mathematics of algorithmic trading that reflects cutting-edge research.

About this title

About the Authors

Álvaro Cartea is a Reader in Financial Mathematics at University College London. Before joining UCL, he was Associate Professor of Finance at Universidad Carlos III, Madrid (2009–2012) and from 2002 to 2009 he was a Lecturer (with tenure) in the School of Economics, Mathematics and Statistics at Birkbeck, University of London. He was previously JP Morgan Lecturer in Financial Mathematics at Exeter College, Oxford.

Sebastian Jaimungal is an Associate Professor and Chair of Graduate Studies in the Department of Statistical Sciences, University of Toronto, where he teaches in the PhD and Masters in Mathematical Finance programs. He consults for major banks and hedge funds focusing on implementing advance derivative valuation engines and algorithmic trading strategies. He is also an associate editor for the SIAM Journal on Financial Mathematics, the International Journal of Theoretical and Applied Finance, the journal Risks and the Argo newsletter. Jaimungal is Vice Chair for the SIAM activity group on Financial Engineering and Mathematics, and his research has been widely published in academic and practitioner journals. His recent interests include high-frequency and algorithmic trading, applied stochastic control, mean-field games, real options, and commodity models and derivative pricing.

José Penalva is an Associate Professor at the Universidad Carlos III de Madrid, where he teaches in the PhD and Masters in Finance programs, as well as at the undergraduate level. He is currently working on information models and market microstructure and his research has been published in Econometrica and other top academic journals.

Edition details

• Publisher: Cambridge University Press
• Publication date: 2015
• Language: English
• ISBN 10: 1107091144
• ISBN 13: 9781107091146
• Binding: Hardcover
• Edition number: 1
• Number of pages: 360