Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management - Couverture souple

Bouchaud, Jean-Philippe

 
9780521741866: Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management
Couverture souple
ISBN 10 : 0521741866 ISBN 13 : 9780521741866
Editeur : Cambridge University Press, 2009

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos des auteurs

Jean-Philippe Bouchaud co-founded the company Science & Finance, which merged with Capital Fund Management (CFM) in 2000, where he now supervises the research team with Marc Potters. He teaches statistical mechanics and finance in various Grandes Écoles, and has worked at CRNS and CEA-Saclay. He was awarded the CRNS Silver Medal in 1996.

Marc Potters has been Head of Research at CFM since 1998, where he supervises thirty physics PhD's. He has published numerous articles in the new field of statistical finance, in particular on Random Matrix Theory applied to portfolio management. He works on various concrete applications of financial forecasting, option pricing and risk control.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Cambridge University Press
Date d'édition
2009
Langue
anglais
ISBN 10 
0521741866
ISBN 13 
9780521741866
Reliure
Broché
Numéro d'édition
2
Nombre de pages
400
Coordonnées du fabricant
non disponible
Personne responsable
Avery
https://www.avery.fr/

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