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Theory of Financial Risk and Derivative Pricing

Theory of Financial Risk and Derivative Pricing

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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.
Summarizes recent theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.

Produktdetails

Autor: Jean-Philippe Bouchaud
ISBN-13: 9780521819169
ISBN: 0521819164
Einband: Buch
Seiten: 0
Gewicht: 910 g
Format: 247x174x22 mm
Sprache: Englisch
Autor: Jean-Philippe Bouchaud
Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Ecoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996. 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.

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Autor: Jean-Philippe Bouchaud
ISBN-13:: 9780521819169
ISBN: 0521819164
Erscheinungsjahr: 01.12.2003
Verlag: CAMBRIDGE UNIVERSITY PRESS
Gewicht: 910g
Sprache: Englisch
Sonstiges: Buch, 247x174x22 mm