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Theory of financial risk and derivative pricing : from statistical physics to risk management
- Author / Creator
- Available as
- Physical
- Summary
-
"Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, ...
"Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control."--BOOK JACKET.
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- Creator
- Jean-Philippe Bouchaud and Marc Potters
- Format
- Books
- Language
- English
- Publication
-
- Second edition
- New York : Cambridge University Press, 2003
- Physical Details
-
- xx, 379 pages ; 26 cm
- ISBNs
- 9780521819169, 0521819164
- OCLC
- ocm51848388
- Rev. ed. of: Theory of financial risks. 2000.
- Includes bibliographical references and indexes.
- 1. Probability theory: basic notions -- 2. Maximum and addition of random variables -- 3. Continuous time limit, Ito calculus and path integrals -- 4. Analysis of empirical data -- 5. Financial products and financial markets -- 6. Statistics of real prices: basic results -- 7. Non-linear correlations and volatility fluctuations -- 8. Skewness and price-volatility correlations -- 9. Cross-correlations -- 10. Risk measures -- 11. Extreme correlations and variety -- 12. Optimal portfolios -- 13. Futures and options: fundamental concepts -- 14. Options: hedging and residual risk -- 15. Options: the role of drift and correlations -- 16. Options: the Black and Scholes model -- 17. Options: some more specific problems -- 18. Options: minimum variance Monte-Carlo -- 19. The yield curve -- 20. Simple mechanisms for anomalous price statistics