Theory of financial risks : from statistical physics to risk management

Theory of financial risks : from statistical physics to risk management /

"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 mark...

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Online Access: Full text (MCPHS users only)
Main Authors: Bouchaud, Jean-Philippe, 1962- (Author), Potters, Marc, 1969- (Author)
Format: Electronic eBook
Language:English
Published: Cambridge ; New York, NY ; Port Melbourne, Australia : Cambridge University Press, 2000
Subjects:
Finance.
Financial engineering.
Risk assessment.
Risk management.
Risk Assessment
Risk Management
finance.
risk assessment.
risk management.
Local Note:ProQuest Ebook Central

MARC

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100 1 |a Bouchaud, Jean-Philippe,  |d 1962-  |e author.  |1 https://id.oclc.org/worldcat/entity/E39PBJw8Xvv9Q8qRdmKkjhhj4q 
245 1 0 |a Theory of financial risks :  |b from statistical physics to risk management /  |c Jean-Philippe Bouchaud and Marc Potters. 
264 1 |a Cambridge ;  |a New York, NY ;  |a Port Melbourne, Australia :  |b Cambridge University Press,  |c 2000. 
264 4 |c ©2003 
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505 0 0 |g 1.  |t Probability theory: basic notions --  |g 2.  |t Statistics of real prices --  |g 3.  |t Extreme risks and optimal portfolios --  |g 4.  |t Futures and options: fundamental concepts --  |g 5.  |t Options: some more specific problems. 
520 |a "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 of 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."--Publisher's description 
546 |a English. 
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590 |a ProQuest Ebook Central  |b Ebook Central College Complete 
650 0 |a Finance. 
650 0 |a Financial engineering. 
650 0 |a Risk assessment. 
650 0 |a Risk management. 
650 2 |a Risk Assessment 
650 2 |a Risk Management 
650 7 |a finance.  |2 aat 
650 7 |a risk assessment.  |2 aat 
650 7 |a risk management.  |2 aat 
700 1 |a Potters, Marc,  |d 1969-  |e author.  |1 https://id.oclc.org/worldcat/entity/E39PCjKrBYHXxTygGPDCMphyh3 
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