Theory of Financial Risk and Derivative Pricing

2. Auflage 2019
ISBN: 978-0-521-74186-6
Verlag: Cambridge University Press

Buch, Englisch, 400 Seiten, Paperback, Format (B × H): 178 mm x 254 mm, Gewicht: 750 g

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Autoren/Hrsg.

Bouchaud, Jean-Philippe

Potters, Marc

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Bankwirtschaft
• Interdisziplinäres Wissenschaften Wissenschaften: Forschung und Information Risikobewertung, Risikotheorie
• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie
• Wirtschaftswissenschaften Betriebswirtschaft Bereichsspezifisches Management Kostenmanagement, Budgetierung
• Wirtschaftswissenschaften Betriebswirtschaft Wirtschaftsmathematik und -statistik

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.

Über Autor(innen)

Potters, Marc
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.

Bouchaud, Jean-Philippe
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.