The Statistical Mechanics of Financial Markets

This highly praised introductory treatment describes the parallels between statistical physics and finance - both those established in the 100-year long interaction between these disciplines, as well as new research results on financial markets. The random-walk technique, well known in physics, is a...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Voit, Johannes (Auteur)
Collectivité auteur: SpringerLink (Online service)
Format: Électronique eBook
Langue:Inglés
Publié: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2005.
Édition:3rd ed. 2005.
Collection:Theoretical and Mathematical Physics,
Sujets:
Game theory.
System theory.
Statistics .
Econometrics.
Mathematical physics.
Game Theory.
Complex Systems.
Statistics in Business, Management, Economics, Finance, Insurance.
Quantitative Economics.
Theoretical, Mathematical and Computational Physics.
Accès en ligne:Texto Completo
Table des matières:
  • Basic Information on Capital Markets
  • Random Walks in Finance and Physics
  • The Black-Scholes Theory of Option Prices
  • Scaling in Financial Data and in Physics
  • Turbulence and Foreign Exchange Markets
  • Derivative Pricing Beyond Black-Scholes
  • Microscopic Market Models
  • Theory of Stock Exchange Crashes
  • Risk Management
  • Economic and Regulatory Capital for Financial Institutions.

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