Theory of Financial Risk and Derivative Pricing From Statistical Physics to Risk Management
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Uitgever: Cambridge University Press
Auteur:
Jean-Philippe Bouchaud
Marc Potters
Co-auteur:
Marc Potters
- Engels
- Hardcover
- 9780521819169
- 11 december 2003
- 400 pagina's
Samenvatting
Summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
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- Hardcover
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- 11 december 2003
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- 400
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- Hoofdauteur
- Jean-Philippe Bouchaud
- Tweede Auteur
- Marc Potters
- Co Auteur
- Marc Potters
- Hoofduitgeverij
- Cambridge University Press
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- 178 mm
- Verpakking hoogte
- 22 mm
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- 9780521819169
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