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

Bouchaud, Jean-Philippe

ISBN 10: 0521819164 / ISBN 13: 9780521819169

Published by Cambridge University Press, 2004

About this Item

This 2003 book summarizes theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets. Num Pages: 400 pages, 20 tables. BIC Classification: KFF; KJMD; PBT; PHS. Category: (P) Professional & Vocational. Dimension: 247 x 174 x 22. Weight in Grams: 955. . 2003. 2nd Edition. hardcover. . . . . Books ship from the US and Ireland.

Seller Inventory # V9780521819169

Bibliographic Details

• Title: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management
• Publisher: Cambridge University Press
• Publication Date: 2004
• Language: English
• ISBN 10: 0521819164
• ISBN 13: 9780521819169
• Binding: Hardcover
• Edition: 2nd Edition
• Condition: New

About this title

Synopsis

Summarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks.

About the Authors

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.

Marc Potters has been Head of Research at CFM since 1998, where he supervises thirty physics PhD's. He has published numerous articles in the new field of statistical finance, in particular on Random Matrix Theory applied to portfolio management. He works on various concrete applications of financial forecasting, option pricing and risk control.