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Theory of Financial Risk and Derivat...

Bouchaud, Jean-Philippe.

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Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Theory of Financial Risk and Derivative Pricing :/
Reminder of title:	From Statistical Physics to Risk Management.
Author:	Bouchaud, Jean-Philippe.
other author:	Potters, Marc.
Published:	Cambridge :Cambridge University Press, : 2003.,
Description:	401 p.
[NT 15003449]:	Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 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
[NT 15003449]:	14 Options: hedging and residual risk15 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; Index of most important symbols; Index
Subject:	Finance. -
Online resource:	http://dx.doi.org/10.1017/CBO9780511753893#Click here to view book
ISBN:	9780511753893# (electronic bk.)

Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.
Bouchaud, Jean-Philippe.

Theory of Financial Risk and Derivative Pricing :From Statistical Physics to Risk Management.[electronic resource]. - 2nd ed. - Cambridge :Cambridge University Press,2003. - 401 p.

Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 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

Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.

Electronic reproduction.

Available via World Wide Web.

Mode of access: World Wide Web.

ISBN: 9780511753893# (electronic bk.)Subjects--Topical Terms:

542899
Finance.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG101 .B68 2003eb

Dewey Class. No.: 658.155

Theory of Financial Risk and Derivative Pricing : = From Statistical Physics to Risk Management.
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245 1 0 $a Theory of Financial Risk and Derivative Pricing : $b From Statistical Physics to Risk Management. $h [electronic resource].
250 $a 2nd ed.
260 $a Cambridge : $b Cambridge University Press, $c 2003.
300 $a 401 p.
505 0 $a Cover; Half-title; Title; Copyright; Contents; Foreword; Preface; 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
505 8 $a 14 Options: hedging and residual risk15 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; Index of most important symbols; Index
520 $a Risk control and derivative pricing are major concerns to financial institutions. Classical theories are based on assumptions leading to systematic underestimation of risks. This book summarises developments, some from statistical physics, taking into account the real behaviour of financial markets for asset allocation, derivative pricing and hedging, and risk control.
533 $a Electronic reproduction. $n Available via World Wide Web.
538 $a Mode of access: World Wide Web.
650 4 $a Finance. $3 542899
655 7 $a Electronic books. $2 lcsh $3 542853
700 1 $a Potters, Marc. $3 1898710
710 2 $a Ebooks Corporation. $3 1314793
776 1 $z 9780521819169
856 4 0 $z Click here to view book $u http://dx.doi.org/10.1017/CBO9780511753893#