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Theory of financial risks : from statistical physics to risk management

Author: Jean-Philippe Bouchaud; Marc Potters
Publisher: Cambridge [England] ; New York : Cambridge University Press, 2000.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
"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. 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
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Jean-Philippe Bouchaud; Marc Potters
ISBN: 0521782325 9780521782326
OCLC Number: 43323634
Description: xiii, 218 pages : illustrations ; 26 cm
Contents: 1. Probability theory: basic notions --
2. Statistics of real prices --
3. Extreme risks and optimal portfolios --
4. Futures and options: fundamental concepts --
5. Options: some more specific problems --
Short glossary of financial terms.
Responsibility: Jean-Philippe Bouchaud and Marc Potters.
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Abstract:

This book summarizes theoretical developments inspired by statistical physics in the description of financial markets.  Read more...

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'... 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 Read more...

 
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