Catalogue


Theory of financial risks : from statistical physics to risk management /
Jean-Philippe Bouchaud and Marc Potters.
imprint
Cambridge [England] ; New York : Cambridge University Press, 2000.
description
xiii, 218 p. : ill. ; 26 cm.
ISBN
0521782325 (hbk.)
format(s)
Book
Holdings
More Details
added author
imprint
Cambridge [England] ; New York : Cambridge University Press, 2000.
isbn
0521782325 (hbk.)
catalogue key
3970512
 
Includes bibliographical references and indexes.
A Look Inside
Reviews
Review Quotes
'This book does not try to be a comprehensive text on theoretical finance, but instead picks out classical problems in finance that are overlooked by the generalizations introduced by beautiful, ideal models such as the Black and Scholes model and discusses tools, concepts and paradigms of statistical finance that can contribute to the resolution of such problems ... However, given the themes treated by the book and the expertise and knowledge of the authors, Theory of Financial Risks should certainly find a place on the bookshelves of professionals in risk management who are interested in new quantitative methods of risk minimization.' Rosario Mantegna, Institute of Physics
' ... addresses the expert who is interested in statistical properties of financial time series and the problem of constructing 'good' hedge strategies in the presence of unavoidable residual risk.' Zentralblatt für Mathematik und ihre Grenzgebiete Mathematics Abstracts
' ... addresses the expert who is interested in statistical properties of financial time series and the problem of constructing 'good' hedge strategies in the presence of unavoidable residual risk.'Zentralblatt für Mathematik und ihre Grenzgebiete Mathematics Abstracts
'... provides a very useful stepping stone to understand the limitations of the Black-Scholes world to that of a more generalized theory of financial markets ... Bouchard and Potters will then provide the reader with an insight and generalization that they may otherwise miss with direct application of more 'traditional' theory to the financial markets. To the experienced reader of financial theory, the book provides a useful reminder of the limitations of traditional theories and a number of useful tools that can be used in the more generalized world of financial risk.' David A. Scott C. Math.FIMA, Mathematics Today
'... provides a very useful stepping stone to understand the limitations of the Black-Scholes world to that of a more generalized theory of financial markets ... Bouchard and Potters will then provide the reader with an insight and generalization that they may otherwise miss with direct application of more 'traditional' theory to the financial markets. To the experienced reader of financial theory, the book provides a useful reminder of the limitations of traditional theories and a number of useful tools that can be used in the more generalized world of financial risk.'David A. Scott C. Math.FIMA, Mathematics Today
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Summaries
Description for Library
Risk control has become one of the major concerns for financial institutions. The need for adequate statistical tools to anticipate the potential moves of financial markets is obvious. Classical theories, however, are based on simplified assumptions that lead to a systematic underestimation of real risks. This book summarises recent theoretical developments, inspired by statistical physics, in the analysis and prediction of moves in financial markets, and its application to derivative pricing. It will be of interest to risk managers and graduate level physicists and quantitative analysts interested in finance.
Bowker Data Service Summary
This text summarises recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control.
Description for Bookstore
Summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. Of interest to physicists, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
Main Description
This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view to financial risk by comparing theory with experiment. Starting with important results in probability theory, the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio, and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
Table of Contents
Probability theory: basic notions
Statistics of real prices
Extreme risks and optimal portfolios
Futures and options: fundamental concepts
Options: some more specific problems
Glossary
Table of Contents provided by Publisher. All Rights Reserved.

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