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Cover: 9780521819169 | Theory of Financial Risk and Derivative Pricing | Bouchaud (u. a.)
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Theory of Financial Risk and Derivative Pricing
From Statistical Physics to Risk Management
Buch von Jean-Philippe Bouchaud (u. a.)
Sprache: Englisch

140,95 €*

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Lieferzeit 2-3 Wochen

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Beschreibung
Summarizes recent theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.
Summarizes recent theoretical developments in statistical tools to measure financial markets, for students and professionals in econophysics and analytical markets.
Über den Autor
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.
Inhaltsverzeichnis
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; 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; Index of most important symbols; Index.
Details
Erscheinungsjahr: 2011
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 400
ISBN-13: 9780521819169
ISBN-10: 0521819164
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Bouchaud, Jean-Philippe
Potters, Marc
Auflage: 2. Auflage
Hersteller: Cambridge University Press
Maße: 260 x 183 x 26 mm
Von/Mit: Jean-Philippe Bouchaud (u. a.)
Erscheinungsdatum: 15.08.2011
Gewicht: 0,947 kg
preigu-id: 102409813
Über den Autor
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.
Inhaltsverzeichnis
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; 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; Index of most important symbols; Index.
Details
Erscheinungsjahr: 2011
Fachbereich: Allgemeines
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Buch
Seiten: 400
ISBN-13: 9780521819169
ISBN-10: 0521819164
Sprache: Englisch
Ausstattung / Beilage: HC gerader Rücken kaschiert
Einband: Gebunden
Autor: Bouchaud, Jean-Philippe
Potters, Marc
Auflage: 2. Auflage
Hersteller: Cambridge University Press
Maße: 260 x 183 x 26 mm
Von/Mit: Jean-Philippe Bouchaud (u. a.)
Erscheinungsdatum: 15.08.2011
Gewicht: 0,947 kg
preigu-id: 102409813
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