Voit The Statistical Mechanics of Financial Markets
Third Auflage 2005
ISBN: 978-3-540-26289-3
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 393 Seiten, Web PDF
Reihe: Mathematics and Statistics (R0)
ISBN: 978-3-540-26289-3
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
