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Theory of financial risk and derivative pricing : from statistical physics to risk management /
Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, howev...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2003.
|
| Edición: | Second edition. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Bouchaud, Jean-Philippe, |d 1962- |e author. | |
| 245 | 1 | 0 | |a Theory of financial risk and derivative pricing : |b from statistical physics to risk management / |c Jean-Philippe Bouchaud and Marc Potters. |
| 250 | |a Second edition. | ||
| 264 | 1 | |a Cambridge : |b Cambridge University Press, |c 2003. | |
| 264 | 4 | |c ©2003 | |
| 300 | |a 1 online resource (xx, 379 pages) : |b illustrations | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file | ||
| 500 | |a Revised edition of: Theory of financial risks. 2000. | ||
| 504 | |a Includes bibliographical references and indexes. | ||
| 505 | 0 | 0 | |g 1. |t Probability theory: basic notions -- |g 2. |t Maximum and addition of random variables -- |g 3. |t Continuous time limit, Ito calculus and path integrals -- |g 4. |t Analysis of empirical data -- |g 5. |t Financial products and financial markets -- |g 6. |t Statistics of real prices: basic results -- |g 7. |t Non-linear correlations and volatility fluctuations -- |g 8. |t Skewness and price-volatility correlations -- |g 9. |t Cross-correlations -- |g 10. |t Risk measures -- |g 11. |t Extreme correlations and variety -- |g 12. |t Optimal portfolios -- |g 13. |t Futures and options: fundamental concepts -- |g 14. |t Options: hedging and residual risk -- |g 15. |t Options: the role of drift and correlations -- |g 16. |t Options: the Black and Scholes model -- |g 17. |t Options: some more specific problems -- |g 18. |t Options: minimum variance Monte-Carlo -- |g 19. |t The yield curve -- |g 20. |t Simple mechanisms for anomalous price statistics. |
| 520 | |a Risk control and derivative pricing have become of major concern to financial institutions. The need for adequate statistical tools to measure an anticipate the amplitude of the potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on simplified assumptions and lead to a systematic (and sometimes dramatic) underestimation of real risks. Theory of Financial Risk and Derivative Pricing summarizes recent theoretical developments, some of which were inspired by statistical physics. Starting from the detailed analysis of market data, one can take into account more faithfully the real behaviour of financial markets (in particular the 'rare events') for asset allocation, derivative pricing and hedging, and risk control. This book will be of interest to physicists curious about finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance. | ||
| 588 | 0 | |a Print version record and online resource. | |
| 546 | |a English. | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Financial engineering. | |
| 650 | 0 | |a Derivative securities |x Prices |x Mathematical models. | |
| 650 | 0 | |a Risk assessment. | |
| 650 | 0 | |a Risk management. | |
| 650 | 2 | |a Risk Assessment | |
| 650 | 2 | |a Risk Management | |
| 650 | 6 | |a Finances. | |
| 650 | 6 | |a Ingénierie financière. | |
| 650 | 6 | |a Évaluation du risque. | |
| 650 | 6 | |a Gestion du risque. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Prix |x Modèles mathématiques. | |
| 650 | 7 | |a finance. |2 aat | |
| 650 | 7 | |a risk assessment. |2 aat | |
| 650 | 7 | |a risk management. |2 aat | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Insurance |x Risk Assessment & Management. |2 bisacsh | |
| 650 | 7 | |a Finance |2 fast | |
| 650 | 7 | |a Financial engineering |2 fast | |
| 650 | 7 | |a Derivative securities |x Prices |x Mathematical models |2 fast | |
| 650 | 7 | |a Risk assessment |2 fast | |
| 650 | 7 | |a Risk management |2 fast | |
| 650 | 7 | |a Kreditmarkt |2 gnd | |
| 650 | 7 | |a Risikotheorie |2 gnd | |
| 650 | 1 | 7 | |a Risk management. |2 gtt |
| 650 | 1 | 7 | |a Portfolio-theorie. |2 gtt |
| 650 | 1 | 7 | |a Derivaten (financiën) |2 gtt |
| 650 | 1 | 7 | |a Stochastische processen. |2 gtt |
| 700 | 1 | |a Potters, Marc, |d 1969- |e author. | |
| 700 | 1 | |a Bouchaud, Jean-Philippe, |d 1962- |t Theory of financial risks. | |
| 776 | 0 | 8 | |i Print version: |a Bouchaud, Jean-Philippe, 1962- |t Theory of financial risk and derivative pricing. |b 2nd ed. |d Cambridge, UK ; New York : Cambridge University Press, 2003 |z 0521819164 |w (DLC) 2003044037 |w (OCoLC)51848388 |
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