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Econophysics and physical economics /
An understanding of the behaviour of financial assets and the evolution of economies has never been as important as today. This book looks at these complex systems from the perspective of the physicist. So called 'econophysics' and its application to finance has made great strides in recen...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Oxford :
Oxford University Press,
2013.
|
| Edición: | First edition. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 4.3 The Chapman-Kolmogorov equation5 The Langevin approach to modelling Brownian motion; 5.1 Langevin equations; 5.2 The velocity distribution of a Brownian particle; 5.3 Modelling the position of a Brownian particle; 5.4 Beyond Brownian motion; 6 The Brownian motion model of asset prices; 6.1 Modelling the distribution of returns; 6.2 Evolution of prices; 6.3 Comparing computer simulations for the geometric Brownian model with real stock data; 6.4 Issues arising; 7 Generalized diffusion processes and the Fokker-Planck equation; 7.1 Introduction of n-th order diffusion constants
- 7.2 Evolution of the average of a random variable7.3 Application to simple stock price model; 7.4 The Fokker-Planck equation; 7.5 Application: The Maxwell-Boltzmann distribution of velocities; 7.6 The Langevin equation for a general random variable; 7.7 Application to geometric Brownian motion model of stock prices; 8 Derivatives and options; 8.1 Forward contracts and call and put options; 8.2 A simple example illustrating the effect of options; 8.3 The theory of Black and Scholes; 8.4 Implied volatility; 8.5 Other developments and issues; 9 Asset fluctuations and scaling
- 9.1 Stable distributions9.2 Lévy distributions and their scaling properties; 9.3 Analysis of empirical data; 9.4 Small times and independence; 9.5 The Heston model; 10 Models of asset fluctuations; 10.1 Generalized diffusion coeffcients and the distribution function of returns; 10.2 Correlation functions; 10.3 Time dependent distribution function and scaling; 10.4 Comparison with financial data; 10.5 Volatility correlation function revisited; 10.6 Non-Gaussian fluctuations and option pricing; 11 Risk; 11.1 Statistics of extreme events; 11.2 The efficient portfolio
- 11.3 Portfolios and correlated assets11.4 Portfolio analysis using minimum spanning trees; 11.5 Portfolio analysis using random matrix theory; 11.6 Practical issues; 11.7 Appendix: Lagrange multipliers; 11.8 Appendix: Wigner's semicircle law; 12 Why markets crash; 12.1 Market booms and crashes: some illustrations; 12.2 A mathematical model of rational crashes; 12.3 Continuous and discrete scale invariance; 12.4 Agent models; 12.5 What happens after a crash?; 13 Two non-financial markets; 13.1 An analysis of online betting markets; 13.2 House price dynamics