Theory of financial risk and derivative pricing : from statistical physics to risk management /

Theory of financial risk and derivative pricing : from statistical physics to risk management /

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Bibliographic Details
Author / Creator:Bouchaud, Jean-Philippe, 1962- author.
Edition:Second edition.
Imprint:Cambridge : Cambridge University Press, 2003.
©2003
Description:1 online resource (xx, 379 pages) : illustrations
Language:English
Subject:
Finance.
Financial engineering.
Derivative securities -- Prices -- Mathematical models.
Risk assessment.
Risk management.
Finance.
Financial engineering.
Derivative securities -- Prices -- Mathematical models
Risk assessment.
Risk management.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11177792
Hidden Bibliographic Details
Other uniform titles:Potters, Marc, 1969-
Bouchaud, Jean-Philippe, 1962- Theory of financial risks.
ISBN:9780511061516
051106151X
9780511055188
0511055188
9780511753893
0511753896
9780511205620
0511205627
9780521819169
0521819164
9780521741866
0521741866
1107135680
9781107135680
1139636995
9781139636995
1280430575
9781280430572
0511169647
9780511169649
0511069979
9780511069970
0511308485
9780511308482
Digital file characteristics:data file
Notes:Revised edition of: Theory of financial risks. 2000.
Includes bibliographical references and indexes.
English.
Print version record and online resource.
Summary:Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. 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. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
Other form:Print version: Bouchaud, Jean-Philippe, 1962- Theory of financial risk and derivative pricing. 2nd ed. Cambridge, UK ; New York : Cambridge University Press, 2003 0521819164
Table of 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
  • 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
  • Index of most important symbols
  • Index

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