ENGLISH

Theory of Financial Risks: From Statistical Physics to Risk Management

By Jean-Philippe Bouchaud , Marc Potters

Book information

Publisher
Cambridge University Press
Year
2000
ISBN
0521782325, 9780521782326
Open Library ID
OL7753600M
Language
english
Format
PDF
Filesize
22 MB (23186553 bytes)
Edition
1
Pages
116\116
Topic
Physics
Time added
2011-01-24 12:34:20

Description

The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book 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. It takes a physicist's point of view to financial risk by comparing theory with experiment. Starting with important results in probability theory, the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio, and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.

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