Jean-Philippe Bouchaud (Commissariat a l'Energie Atomique (CEA) Sa, Marc Potters

Theory of Financial Risk and Derivative Pricing

• Broschiertes Buch

Produktbeschreibung

The substantially expanded 2003 second edition of this ground-breaking book summarizes theoretical developments in statistical tools to measure financial markets. A classic reference for graduate students and researchers working in econophysics, and professionals in the analytical markets.

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Produktdetails

• Verlag: Cambridge University Press
• 2 Revised edition
• Seitenzahl: 400
• Erscheinungstermin: 2. April 2019
• Englisch
• Abmessung: 254mm x 178mm x 22mm
• Gewicht: 770g
• ISBN-13: 9780521741866
• ISBN-10: 0521741866
• Artikelnr.: 25686337

Autorenporträt

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 Écoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996.

Inhaltsangabe

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.