An edition of Theory of financial risks (2000)
Theory of Financial Risks
From Statistical Physics to Risk Management
By Jean-Philippe Bouchaud
Publish Date
January 15, 2000
Publisher
Cambridge University Press
Language
eng
Pages
218
Description:
"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. This book 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."--BOOK JACKET.