金融リスクとデリバティブのプライシング理論:統計物理学からリスク管理へ(第2版)<br>Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management (2ND)

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金融リスクとデリバティブのプライシング理論:統計物理学からリスク管理へ(第2版)
Theory of Financial Risk and Derivative Pricing : From Statistical Physics to Risk Management (2ND)

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  • 製本 Hardcover:ハードカバー版/ページ数 400 p.
  • 言語 ENG
  • 商品コード 9780521819169
  • DDC分類 658.155

基本説明

New in paperback. Hardcover was published in 2004. Summarises recent theoretical developments, some of which were inspired by statistical physics.

Full Description

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.

Contents

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.