The Statistical Mechanics of Financial Mar...

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Sprache: Englisch

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Beschreibung

The third edition of this highly praised reference offers new chapters on the basic notions and tools of risk management, and capital requirements for financial institutions, including an overview of the new Basel II capital framework which may well set the risk management standards in scores of countries for years to come. Using empirical financial data and analogies to physical models such as fluid flows, turbulence, or superdiffusion, the book develops a more accurate description of financial markets based on random walks. This approach permits the formulation of novel methods for derivative pricing and risk management.

Zusammenfassung

Inhaltsverzeichnis

Introduction.- Basic Information on Capital Markets.- Random Walks in Finance and Physics.- The Black-Scholes Theory of Option Prices.- Scaling in Financial Data and in Physics.- Turbulence and Foreign Exchange Markets.- Derivative Pricing Beyond Black-Scholes.- Microscopic Market Models.- Theory of Stock Exchange Crashes.- Risk Management.- Economic and Regulatory Capital for Financial Institutions.- Appendix.- Notes and References.- Index.

Details

Erscheinungsjahr:	2010
Fachbereich:	Volkswirtschaft
Genre:	Recht , Sozialwissenschaften , Wirtschaft
Rubrik:	Recht & Wirtschaft
Medium:	Taschenbuch
Reihe:	Theoretical and Mathematical Physics
Inhalt:	xvi 378 S.
ISBN-13:	9783642065781
ISBN-10:	3642065783
Sprache:	Englisch
Einband:	Kartoniert / Broschiert
Autor:	Voit, Johannes
Auflage:	Third Edition 2005
Hersteller:	Springer J.B. Metzler Springer-Verlag GmbH Theoretical and Mathematical Physics
Verantwortliche Person für die EU:	Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com
Maße:	235 x 155 x 22 mm
Von/Mit:	Johannes Voit
Erscheinungsdatum:	19.10.2010
Gewicht:	0,598 kg