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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 |
Tabla de Contenidos:
- 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.