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

Name: Theory of Financial Risk and Derivative Pricing From Statistical Physics to Risk Management
Price: 53.98 USD
Availability: InStock
ISBN: 9780521819169

ISBN-10: 0521819164

ISBN-13: 9780521819169

Edition: 2nd 2003 (Revised)

Authors: Jean-Philippe Bouchaud, Marc Potters

List price: $135.00

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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. First edition Hb (2000): 0-521-78232-5

Book details

List price: $135.00
Edition: 2nd
Copyright year: 2003
Publisher: Cambridge University Press
Publication date: 12/11/2003
Binding: Hardcover
Pages: 400
Size: 7.01" wide x 10.00" long x 0.87" tall
Weight: 2.002
Language: English

Marc Potters has been Head of Research at CFM since 1998, where he supervises thirty physics PhD's. He has published numerous articles in the new field of statistical finance, in particular on Random Matrix Theory applied to portfolio management. He works on various concrete applications of financial forecasting, option pricing and risk control.



Foreword


Preface



Probability theory: basic notions



Maximum and addition of random variables



Continuous time limit, Ito calculus and path integrals



Analysis of empirical data



Financial products and financial markets



Statistics of real prices: basic results



Non-linear correlations and volatility fluctuations



Skewness and price-volatility correlations



Cross-correlations



Risk measures



Extreme correlations and variety



Optimal portfolios



Futures and options: fundamental concepts



Options: hedging and residual risk



Options: the role of drift and correlations



Options: the Black and Scholes model



Options: some more specific problems



Options: minimum variance Monte-Carlo



The yield curve



Simple mechanisms for anomalous price statistics


Index of most important symbols


Index