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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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Cambridge ; New York, NY ; Port Melbourne, Australia :
Cambridge University Press
2000.
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| Colección: | EBSCO Academic eBook Collection Complete.
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| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b38506324*spi |
| Sumario: | "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. |
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| Descripción Física: | xiii, 218 p. : il |
| Formato: | Forma de acceso: World Wide Web. |
| Bibliografía: | Incluye referencias bibliográficas e índice. |
| ISBN: | 9780511010286 9780511030987 9780511151255 9780511046230 |
