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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 |
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| Autores principales: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2003.
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| Edición: | Second edition. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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. |
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| Notas: | Revised edition of: Theory of financial risks. 2000. |
| Descripción Física: | 1 online resource (xx, 379 pages) : illustrations |
| Bibliografía: | Includes bibliographical references and indexes. |
| ISBN: | 9780511061516 051106151X 9780511055188 0511055188 9780511753893 0511753896 9780511205620 0511205627 1107135680 9781107135680 1139636995 9781139636995 1280430575 9781280430572 0511169647 9780511169649 0511069979 9780511069970 0511308485 9780511308482 |