ACC 2011 tutorial session: An introduction to option trading from a control perspective

摘要

The purpose of this tutorial session is to explain how control-theoretic tools and associated mathematical concepts can be used in option trading. No previous knowledge of options will be assumed. After explaining the theory and mechanics of options and introducing the requisite mathematical models, the speakers will present a number of examples to demonstrate application of various trading algorithms, option hedging techniques and the use of both technical and fundamental analysis. The session will also include discussion of new and exciting research problems for the control field. One main theme of this tutorial session is that trading concepts can be explained in the context of a basic feedback loop with the control corresponding to modulation of the amount invested as a function of time.