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Theory of Financial Risk and Derivat...

Bouchaud, Jean-Philippe.

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Theory of Financial Risk and Derivative Pricing :
其他題名:	From Statistical Physics to Risk Management.
作者:	Bouchaud, Jean-Philippe.
其他作者:	Potters, Marc.
出版者:	Cambridge :Cambridge University Press,2003.
面頁冊數:	401 p.
標題:	Finance.
電子資源:	Click here to view book
ISBN:	9780511753893# (electronic bk.)

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.
Bouchaud, Jean-Philippe.

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.[electronic resource]. - 2nd ed. - Cambridge :Cambridge University Press,2003. - 401 p.

Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 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

Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511753893# (electronic bk.)Subjects--Topical Terms:

183252
Finance.
Index Terms--Genre/Form:

214472
Electronic books.

LC Class. No.: HG101 .B68 2003eb

Dewey Class. No.: 658.155

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.
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260 $a Cambridge : $b Cambridge University Press, $c 2003.
300 $a 401 p.
505 0 $a Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 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
505 8 $a 14 Options: hedging and residual risk15 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��arlo; 19 The yield curve; 20 Simple mechanisms for anomalous price statistics; Index of most important symbols; Index
520 $a Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance. $3 183252
655 7 $a Electronic books. $2 local. $3 214472
700 1 $a Potters, Marc. $3 323204
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