Theory of Financial Risks: From Statistical Physics to Risk Management - Hardcover

Bouchaud, Jean-Philippe; Potters, Marc

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9780521782326: Theory of Financial Risks: From Statistical Physics to Risk Management
Hardcover
ISBN 10: 0521782325 ISBN 13: 9780521782326
Publisher: Cambridge University Press, 2000

Synopsis

This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view to financial risk by comparing theory with experiment. Starting with important results in probability theory, the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio, and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.

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Book Description

Summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. Of interest to physicists, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.

About the Author

Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Écoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996.

"About this title" may belong to another edition of this title.

Publisher
Cambridge University Press
Publication date
2000
Language
English
ISBN 10 
0521782325
ISBN 13 
9780521782326
Binding
Hardcover
Edition number
1
Number of pages
232
Rating
  • 3.81 out of 5 stars
    16 ratings by Goodreads