ENGLISH

Theory of financial risk and derivative pricing

By Bouchaud J.-P. , Potters M.

Book information

Publisher
CUP
Year
2003
ISBN
0521819164, 9780521819169
LCC
HG101 .B68 2003
Open Library ID
OL22572148M
Language
english
Format
PDF
Filesize
4 MB (4113252 bytes)
Pages
401\401
Library
Kolxo3
Time added
2011-07-22 07:35:22

Description

Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.

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