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

著者

書誌事項

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

Jean-Philippe Bouchaud and Marc Potters

Cambridge University Press, 2009

2nd ed

  • : pbk

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注記

Originally published: 2003

Includes bibliographical references and index

内容説明・目次

内容説明

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

目次

  • 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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