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Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management by Marc Potters and Jean-Philippe Bouchaud (2009, Trade Paperback)
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About this product
Product Identifiers
PublisherCambridge University Press
ISBN-100521741866
ISBN-139780521741866
eBay Product ID (ePID)71670895
Product Key Features
Number of Pages400 Pages
LanguageEnglish
Publication NameTheory of Financial Risk and Derivative Pricing : from Statistical Physics to Risk Management
Publication Year2009
SubjectMethodology, Finance / Financial Engineering, Decision-Making & Problem Solving, Finance / General, Statistics
FeaturesRevised
TypeTextbook
Subject AreaSocial Science, Business & Economics
AuthorMarc Potter`s, Jean-Philippe Bouchaud
FormatTrade Paperback
Dimensions
Item Height0.8 in
Item Weight27.9 Oz
Item Length9.8 in
Item Width6.9 in
Additional Product Features
Edition Number2
Intended AudienceScholarly & Professional
ReviewsFrom reviews of the first edition: '... 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, "The book is interesting not only for physicists working in finance, but also practicioners and scholars with a mathematical or statistical background." Journal of the American Statistical Association, '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, 'The authors dutifully thread the relations between different financial securities and statistical estimation, rewarding the reader with an understanding that could never be obtained from a purely statistical text ... the feeling one is left with after putting the book down is one of time well spent.' Risk, From reviews of the first edition: '… 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, 'It is rare to read a quantitative finance book that has anything new to say. It is even rarer to find such a book written by those who know what they are talking about. Bouchaud and Potters are two of the most innovative, imaginative and experienced researches in finance. In this second edition of their ground-breaking work, they go even further into their field of econo-physics, a field that is changing the way we view the financial markets. Each page is packed with more ideas than most people put into an entire book. An inspirational book to be studied carefully and savoured.' Paul Wilmott, 'The book is well written and self-contained ... It is recommended to anyone interested in a new and fresh approach to the dynamics of financial markets.' Journal of Statistical Physics, "...thought-provoking...The feeling one is left with after putting the book down is one of time well spent." Risk, 'The authors dutifully thread the relations between different financial securities and statistical estimation, rewarding the reader with an understanding that could never be obtained from a purely statistical text … the feeling one is left with after putting the book down is one of time well spent.' Risk, 'This is a terrific book. Some extremely exciting new ideas, questions, and techniques are coming from physics, and many were pioneered by the authors. This book will teach both academics and practitioners a new way of doing finance.' Xavier Gabaix, MIT, 'The book is well written and self-contained … It is recommended to anyone interested in a new and fresh approach to the dynamics of financial markets.' Journal of Statistical Physics, "The book is well written and self-contained...recommended to anyone interested in a new and fresh approach to the dynamics of financial markets." Journal of Statistical Physics, '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, 'An outstanding and original presentation of quantitative finance from a physics perspective.' Nassin Nicholas Taleb, Empirica LLC, author of Fooled by Randomness, 'Coming to the data with fewer preconceptions than those with professional training in finance, and applying sophisticated tools, the authors offer fresh and valuable insights into financial markets.' Mathematical Reviews
Dewey Edition21
IllustratedYes
Dewey Decimal658.15/5
Table Of ContentForeword; 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.
Edition DescriptionRevised edition
SynopsisSummarizing market data developments, some inspired by statistical physics, this book explains how to better predict the actual behavior of financial markets with respect to asset allocation, derivative pricing and hedging, and risk control. Risk control and derivative pricing are major concerns to financial institutions. The need for adequate statistical tools to measure and anticipate amplitude of potential moves of financial markets is clearly expressed, in particular for derivative markets. Classical theories, however, are based on assumptions leading to systematic (sometimes dramatic) underestimation of risks., 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., The substantially expanded 2003 second edition of this ground-breaking book summarizes theoretical developments in statistical tools to measure financial markets. A classic reference for graduate students and researchers working in econophysics, and professionals in the analytical markets.
LC Classification NumberHG101.B68 2009
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